SPDR Portfolio Correlations

SPTM Etf

USD 83.29 0.60 0.73%

The current 90-days correlation between SPDR Portfolio SP and Vanguard ESG Stock is 0.99 (i.e., No risk reduction). 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

Significant diversification

The correlation between SPDR Portfolio SP and DJI is 0.06 (i.e., Significant 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

0.77	VTI	Vanguard Total Stock	Pair Corr
0.76	SPY	SPDR SP 500	Pair Corr
0.76	IVV	iShares Core SP	Pair Corr
0.9	VIG	Vanguard Dividend	Pair Corr
1.0	VV	Vanguard Large Cap	Pair Corr
0.83	RSP	Invesco SP 500	Pair Corr
0.99	IWB	iShares Russell 1000	Pair Corr
0.99	ESGU	iShares ESG Aware	Pair Corr
0.97	DFAC	Dimensional Core Equity	Pair Corr
0.79	QLD	ProShares Ultra QQQ Potential Growth	Pair Corr
0.63	SMH	VanEck Semiconductor ETF	Pair Corr
0.97	SPXL	Direxion Daily SP500	Pair Corr
0.97	UPRO	ProShares UltraPro SP500	Pair Corr
0.61	SOXX	iShares Semiconductor ETF	Pair Corr
0.92	PSI	Invesco Dynamic Semi	Pair Corr

Moving against SPDR Etf

0.34	GBTC	Grayscale Bitcoin Trust	Pair Corr
0.32	PG	Procter Gamble	Pair Corr

Related Correlations Analysis

	ESGV	SPSM	XLG	SCHM	VTRIX	VTMFX	SCHE	VPL	NOBL	DFAI
ESGV		0.73	0.93	0.8	0.52	0.96	0.34	0.84	0.55	0.75	ESGV
SPSM	0.73		0.54	0.85	0.61	0.71	0.18	0.66	0.75	0.81	SPSM
XLG	0.93	0.54		0.56	0.36	0.93	0.34	0.77	0.37	0.59	XLG
SCHM	0.8	0.85	0.56		0.7	0.78	0.06	0.73	0.83	0.89	SCHM
VTRIX	0.52	0.61	0.36	0.7		0.58	0.04	0.67	0.7	0.85	VTRIX
VTMFX	0.96	0.71	0.93	0.78	0.58		0.26	0.88	0.64	0.82	VTMFX
SCHE	0.34	0.18	0.34	0.06	0.04	0.26		0.44	-0.12	0.13	SCHE
VPL	0.84	0.66	0.77	0.73	0.67	0.88	0.44		0.57	0.85	VPL
NOBL	0.55	0.75	0.37	0.83	0.7	0.64	-0.12	0.57		0.86	NOBL
DFAI	0.75	0.81	0.59	0.89	0.85	0.82	0.13	0.85	0.86		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

VTMFX	+ 0.96	ESGV
XLG	+ 0.93	ESGV
VTMFX	+ 0.93	XLG
DFAI	+ 0.89	SCHM
VPL	+ 0.88	VTMFX
DFAI	+ 0.86	NOBL

High negative correlations

NOBL

- 0.12

SCHE

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	0.65	0.03	(0.03)	0.50	1.01	(0.60)	1.37	(1.35)	3.56
SPSM	0.88	(0.03)	(0.01)	0.05	1.02	(0.98)	1.86	(1.78)	4.35
XLG	0.67	0.03	(0.03)	0.43	0.93	(0.67)	1.57	(1.40)	3.92
SCHM	0.81	0.06	(0.01)	(1.48)	0.99	(0.82)	1.67	(1.64)	3.97
VTRIX	0.84	0.39	0.33	(1.63)	0.23	(1.02)	1.19	(1.01)	17.80
VTMFX	0.29	0.02	(0.10)	0.48	0.37	(0.30)	0.59	(0.57)	1.67
SCHE	0.67	(0.01)	(0.03)	0.05	0.87	(0.77)	1.44	(1.13)	4.22
VPL	0.69	0.10	0.03	0.96	0.99	(0.69)	1.55	(1.42)	3.38
NOBL	0.52	0.02	(0.07)	0.38	0.62	(0.55)	1.15	(0.91)	3.16
DFAI	0.55	0.09	0.03	0.83	0.57	(0.60)	1.08	(1.04)	2.35

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