SPDR Portfolio Correlations

SPTM Etf

USD 84.21 0.21 0.25%

The current 90-days correlation between SPDR Portfolio SP and Dimensional International Core is 0.79 (i.e., Poor diversification). A perfect positive correlation (i.e., a correlation coefficient of +1) implies that as SPDR Portfolio moves, either up or down, the other security will move in the same direction. Alternatively, perfect negative correlation means that if SPDR Portfolio SP moves in either direction, the perfectly negatively correlated security will move in the opposite direction.

SPDR Portfolio Correlation With Market

Almost no diversification

The correlation between SPDR Portfolio SP and DJI is 0.94 (i.e., Almost no diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding SPDR Portfolio SP and DJI in the same portfolio, assuming nothing else is changed.

Build AI portfolio with SPDR Etf

Check out World Market Map to better understand how to build diversified portfolios, which includes a position in SPDR Portfolio SP. Also, note that the market value of any etf could be closely tied with the direction of predictive economic indicators such as signals in persons.

Moving together with SPDR Etf

1.0	VTI	Vanguard Total Stock	Pair Corr
1.0	SPY	SPDR SP 500	Pair Corr
1.0	IVV	iShares Core SP	Pair Corr
0.92	VIG	Vanguard Dividend	Pair Corr
0.98	VV	Vanguard Large Cap	Pair Corr
0.91	RSP	Invesco SP 500 Aggressive Push	Pair Corr
0.99	IWB	iShares Russell 1000	Pair Corr
0.97	ESGU	iShares ESG Aware	Pair Corr
0.96	DFAC	Dimensional Core Equity	Pair Corr
0.71	SPLG	SSgA Symbol Change	Pair Corr
0.72	OIH	VanEck Oil Services	Pair Corr
0.89	WTMF	WisdomTree Managed	Pair Corr
0.89	EWC	iShares MSCI Canada	Pair Corr
1.0	TOT	Advisor Managed Port	Pair Corr
0.84	BST	BlackRock Science Tech	Pair Corr
0.7	RDIV	Invesco SP Ultra	Pair Corr
0.88	AHYB	American Century ETF	Pair Corr
0.61	JNJ	Johnson Johnson Sell-off Trend	Pair Corr
0.8	DD	Dupont De Nemours	Pair Corr
0.73	MRK	Merck Company	Pair Corr
0.69	INTC	Intel	Pair Corr

Moving against SPDR Etf

0.56	HPQ	HP Inc Aggressive Push	Pair Corr
0.46	MSFT	Microsoft Sell-off Trend	Pair Corr

Related Correlations Analysis

	ESGV	SPSM	XLG	SCHM	VTRIX	VTMFX	SCHE	VPL	NOBL	DFAI
ESGV		0.67	0.8	0.69	0.59	0.86	0.52	0.5	0.45	0.62	ESGV
SPSM	0.67		0.14	0.99	0.84	0.91	0.81	0.9	0.94	0.94	SPSM
XLG	0.8	0.14		0.14	0.07	0.45	0.03	-0.01	-0.09	0.1	XLG
SCHM	0.69	0.99	0.14		0.88	0.93	0.86	0.92	0.94	0.96	SCHM
VTRIX	0.59	0.84	0.07	0.88		0.83	0.79	0.85	0.84	0.92	VTRIX
VTMFX	0.86	0.91	0.45	0.93	0.83		0.83	0.86	0.82	0.92	VTMFX
SCHE	0.52	0.81	0.03	0.86	0.79	0.83		0.95	0.85	0.9	SCHE
VPL	0.5	0.9	-0.01	0.92	0.85	0.86	0.95		0.94	0.97	VPL
NOBL	0.45	0.94	-0.09	0.94	0.84	0.82	0.85	0.94		0.95	NOBL
DFAI	0.62	0.94	0.1	0.96	0.92	0.92	0.9	0.97	0.95		DFAI
	ESGV	SPSM	XLG	SCHM	VTRIX	VTMFX	SCHE	VPL	NOBL	DFAI

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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

SCHM	+ 0.99	SPSM
DFAI	+ 0.97	VPL
DFAI	+ 0.96	SCHM
VPL	+ 0.95	SCHE
DFAI	+ 0.95	NOBL
NOBL	+ 0.94	SPSM

High negative correlations

NOBL	- 0.09	XLG
VPL	- 0.01	XLG

SPDR Portfolio Constituents Risk-Adjusted Indicators

There is a big difference between SPDR Etf performing well and SPDR Portfolio 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 SPDR Portfolio'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
ESGV	0.62	(0.07)	(0.09)	0.00	0.88	(0.60)	1.14	(1.39)	3.75
SPSM	0.82	0.07	0.09	0.15	0.72	(0.95)	2.31	(1.78)	4.98
XLG	0.60	(0.09)	0.00	(0.04)	0.00	0.00	1.11	(1.51)	4.45
SCHM	0.73	0.08	0.09	0.16	0.65	(0.82)	1.79	(1.30)	3.61
VTRIX	0.83	0.42	0.46	0.98	0.00	(1.00)	1.34	(0.86)	18.54
VTMFX	0.28	(0.01)	(0.15)	0.06	0.32	(0.30)	0.55	(0.57)	1.83
SCHE	0.60	0.06	0.03	0.18	0.60	(0.68)	1.44	(1.12)	4.51
VPL	0.71	0.18	0.17	0.31	0.66	(0.80)	1.74	(1.42)	3.36
NOBL	0.57	0.13	0.17	0.31	0.29	(0.69)	1.37	(0.86)	3.16
DFAI	0.61	0.14	0.15	0.28	0.50	(0.68)	1.50	(1.26)	3.02

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