SSGA SPDR Correlations

SPFE Etf

EUR 26.02 0.01 0.04%

The current 90-days correlation between SSGA SPDR ETFs and Invesco EURO STOXX is -0.2 (i.e., Good diversification). The correlation of SSGA SPDR is a statistical measure of how it moves in relation to other instruments. This measure is expressed in what is known as the correlation coefficient, which ranges between -1 and +1. A correlation greater than 0.8 is generally described as strong, whereas a correlation less than 0.5 is generally considered weak.

SSGA SPDR Correlation With Market

Excellent diversification

The correlation between SSGA SPDR ETFs and DJI is -0.52 (i.e., Excellent diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding SSGA SPDR ETFs and DJI in the same portfolio, assuming nothing else is changed.

The ability to find closely correlated positions to SSGA SPDR could be a great tool in your tax-loss harvesting strategies, allowing investors a quick way to find a similar-enough asset to replace SSGA SPDR when you sell it. If you don't do this, your portfolio allocation will be skewed against your target asset allocation. So, investors can't just sell and buy back SSGA SPDR - that would be a violation of the tax code under the "wash sale" rule, and this is why you need to find a similar enough asset and use the proceeds from selling SSGA SPDR ETFs to buy it.

Moving against SSGA Etf

0.76	XDWS	Xtrackers MSCI World	Pair Corr
0.74	DVDE	Franklin European Quality	Pair Corr
0.71	SPYC	SSgA SPDR ETFs	Pair Corr
0.65	AMEE	Amundi ETF MSCI	Pair Corr
0.62	VGEK	Vanguard FTSE Developed	Pair Corr
0.6	EXSD	iShares STOXX Europe	Pair Corr
0.55	JEAA	JPM EUR Aggregate	Pair Corr
0.54	PRAM	Amundi Prime Emerging	Pair Corr
0.53	EXV1	iShares STOXX Europe	Pair Corr
0.52	SC0U	Invesco Markets plc	Pair Corr
0.51	S7XE	Invesco EURO STOXX	Pair Corr
0.51	H410	HSBC MSCI Emerging	Pair Corr
0.5	IQQF	iShares Public	Pair Corr
0.49	LASI	Multi Units Luxembourg	Pair Corr
0.46	EXX1	iShares EURO STOXX	Pair Corr
0.46	EXV4	iShares STOXX Europe	Pair Corr
0.46	VMID	Vanguard FTSE 250	Pair Corr
0.46	CMOE	Invesco Bloomberg	Pair Corr
0.45	LYBK	Lyxor UCITS Stoxx	Pair Corr
0.45	EXX1	iShares EURO STOXX	Pair Corr
0.45	C006	Lyxor FAZ 100	Pair Corr
0.43	ETLX	LG Gold Mining	Pair Corr
0.41	ETLX	LG Gold Mining	Pair Corr
0.38	UBUD	UBS ETF Public	Pair Corr
0.37	XYPD	Xtrackers II	Pair Corr
0.74	C1V0	C1V0 Split	Pair Corr
0.71	DVDG	Franklin Global Quality	Pair Corr
0.68	LM9E	BNP Paribas Easy	Pair Corr
0.68	T3MP	JPMorgan ETFs ICAV	Pair Corr
0.67	S0LR	Invesco Solar Energy	Pair Corr
0.67	IUS4	iShares III Public	Pair Corr
0.65	VALD	BNP Paribas Easy	Pair Corr
0.64	EXX7	iShares Nikkei 225	Pair Corr
0.62	CHSR	UBSFund Solutions MSCI	Pair Corr
0.62	IUS2	iShares SP Banks	Pair Corr

Related Correlations Analysis

	E907	E903	SC0Y	EXSC	H41K	C006	PRAS	S7XE
E907		0.9	0.42	0.93	0.7	0.83	-0.49	0.87	E907
E903	0.9		0.27	0.93	0.6	0.81	-0.56	0.84	E903
SC0Y	0.42	0.27		0.22	0.2	0.27	-0.11	0.36	SC0Y
EXSC	0.93	0.93	0.22		0.81	0.9	-0.54	0.9	EXSC
H41K	0.7	0.6	0.2	0.81		0.85	-0.3	0.72	H41K
C006	0.83	0.81	0.27	0.9	0.85		-0.44	0.8	C006
PRAS	-0.49	-0.56	-0.11	-0.54	-0.3	-0.44		-0.69	PRAS
S7XE	0.87	0.84	0.36	0.9	0.72	0.8	-0.69		S7XE
	E907	E903	SC0Y	EXSC	H41K	C006	PRAS	S7XE

Correlation Matchups

Over a given time period, the two securities move together when the Correlation Coefficient is positive. Conversely, the two assets move in opposite directions when the Correlation Coefficient is negative. Determining your positions' relationship to each other is valuable for analyzing and projecting your portfolio's future expected return and risk.

High positive correlations

EXSC	+ 0.93	E907
EXSC	+ 0.93	E903
E903	+ 0.9	E907
C006	+ 0.9	EXSC
S7XE	+ 0.9	EXSC
S7XE	+ 0.87	E907

High negative correlations

S7XE	- 0.69	PRAS
PRAS	- 0.56	E903
PRAS	- 0.54	EXSC
PRAS	- 0.49	E907
PRAS	- 0.44	C006
PRAS	- 0.3	H41K

SSGA SPDR Constituents Risk-Adjusted Indicators

There is a big difference between SSGA Etf performing well and SSGA SPDR ETF doing well as a business compared to the competition. There are so many exceptions to the norm that investors cannot definitively determine what's good or bad unless they analyze SSGA SPDR's multiple risk-adjusted performance indicators across the competitive landscape. These indicators are quantitative in nature and help investors forecast volatility and risk-adjusted expected returns across various positions.

	Mean Deviation	Jensen Alpha	Sortino Ratio	Treynor Ratio	Semi Deviation	Expected Shortfall	Potential Upside	Value @Risk	Maximum Drawdown
E907	0.72	0.11	0.07	0.70	0.72	(0.80)	1.68	(1.72)	3.62
E903	0.55	0.10	0.07	0.67	0.57	(0.62)	1.09	(1.22)	3.66
SC0Y	0.76	(0.01)	(0.06)	(0.01)	0.90	(0.84)	1.61	(1.52)	3.96
EXSC	0.50	0.10	0.08	0.75	0.41	(0.56)	1.18	(0.99)	2.75
H41K	0.70	0.03	(0.01)	0.42	1.02	(0.69)	1.24	(1.49)	3.98
C006	0.58	0.04	0.01	0.18	0.67	(0.67)	1.10	(1.45)	3.04
PRAS	0.26	0.00	(0.14)	0.07	0.36	(0.28)	0.46	(0.58)	1.52
S7XE	1.13	0.09	0.04	0.17	1.69	(1.09)	2.12	(2.32)	9.77

Be your own money manager

Our tools can tell you how much better you can do entering a position in SSGA SPDR without increasing your portfolio risk or giving up the expected return. As an individual investor, you need to find a reliable way to track all your investment portfolios. However, your requirements will often be based on how much of the process you decide to do yourself. In addition to allowing all investors analytical transparency into all their portfolios, our tools can evaluate risk-adjusted returns of your individual positions relative to your overall portfolio.

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