SP Funds Correlations

SPUS Etf

USD 51.24 0.02 0.04%

The current 90-days correlation between SP Funds SP and JPMorgan Momentum Factor is 0.9 (i.e., Almost no diversification). The correlation of SP Funds 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. If the correlation is 0, the equities are not correlated; they are entirely random.

SP Funds Correlation With Market

Poor diversification

The correlation between SP Funds SP and DJI is 0.68 (i.e., Poor diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding SP Funds SP and DJI in the same portfolio, assuming nothing else is changed.

Build AI portfolio with SPUS Etf

Check out World Market Map to better understand how to build diversified portfolios, which includes a position in SP Funds 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 private.

Moving together with SPUS Etf

0.91	VUG	Vanguard Growth Index	Pair Corr
0.86	IWF	iShares Russell 1000	Pair Corr
0.95	IVW	iShares SP 500	Pair Corr
0.95	SPYG	SPDR Portfolio SP	Pair Corr
0.95	IUSG	iShares Core SP	Pair Corr
0.86	VONG	Vanguard Russell 1000	Pair Corr
0.96	MGK	Vanguard Mega Cap	Pair Corr
0.86	VRGWX	Vanguard Russell 1000	Pair Corr
0.79	QQQM	Invesco NASDAQ 100	Pair Corr
0.86	IWY	iShares Russell Top	Pair Corr
0.7	FB	ProShares Trust ProShares	Pair Corr
0.92	VTI	Vanguard Total Stock	Pair Corr
0.95	SPY	SPDR SP 500	Pair Corr
0.95	IVV	iShares Core SP	Pair Corr
0.91	TOT	Advisor Managed Port	Pair Corr
0.61	INTC	Intel Sell-off Trend	Pair Corr
0.73	CAT	Caterpillar	Pair Corr
0.8	IBM	International Business	Pair Corr
0.74	BAC	Bank of America	Pair Corr

Moving against SPUS Etf

0.59	NFLX	Netflix	Pair Corr
0.55	T	ATT Inc	Pair Corr
0.47	PG	Procter Gamble	Pair Corr
0.32	HD	Home Depot	Pair Corr

Related Correlations Analysis

	JMOM	RPG	IYJ	BALT	EWA	TCHP	SMMD	IAI	FXU	XSD
JMOM		0.64	0.82	0.64	0.43	0.92	0.75	0.82	-0.38	0.64	JMOM
RPG	0.64		0.73	0.05	0.87	0.56	0.57	0.47	-0.11	0.81	RPG
IYJ	0.82	0.73		0.64	0.56	0.67	0.84	0.87	-0.48	0.52	IYJ
BALT	0.64	0.05	0.64		-0.02	0.56	0.71	0.83	-0.65	0.01	BALT
EWA	0.43	0.87	0.56	-0.02		0.43	0.47	0.3	-0.03	0.68	EWA
TCHP	0.92	0.56	0.67	0.56	0.43		0.65	0.67	-0.37	0.61	TCHP
SMMD	0.75	0.57	0.84	0.71	0.47	0.65		0.83	-0.56	0.44	SMMD
IAI	0.82	0.47	0.87	0.83	0.3	0.67	0.83		-0.65	0.32	IAI
FXU	-0.38	-0.11	-0.48	-0.65	-0.03	-0.37	-0.56	-0.65		-0.05	FXU
XSD	0.64	0.81	0.52	0.01	0.68	0.61	0.44	0.32	-0.05		XSD
	JMOM	RPG	IYJ	BALT	EWA	TCHP	SMMD	IAI	FXU	XSD

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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

TCHP	+ 0.92	JMOM
EWA	+ 0.87	RPG
IAI	+ 0.87	IYJ
SMMD	+ 0.84	IYJ
IAI	+ 0.83	BALT
IAI	+ 0.83	SMMD

High negative correlations

FXU	- 0.65	IAI
FXU	- 0.65	BALT
FXU	- 0.56	SMMD
FXU	- 0.48	IYJ
FXU	- 0.38	JMOM
FXU	- 0.37	TCHP

SP Funds Constituents Risk-Adjusted Indicators

There is a big difference between SPUS Etf performing well and SP Funds 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 SP Funds' 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
JMOM	0.68	(0.04)	(0.04)	0.03	0.99	(0.63)	1.24	(1.73)	3.79
RPG	0.86	(0.09)	(0.06)	0.00	1.29	(0.79)	1.44	(2.46)	4.35
IYJ	0.75	(0.02)	(0.01)	0.06	0.87	(0.74)	1.67	(1.34)	3.30
BALT	0.13	0.02	(0.26)	0.41	0.00	(0.15)	0.30	(0.30)	0.73
EWA	0.68	(0.03)	0.00	(0.04)	0.00	0.00	1.25	(1.59)	3.80
TCHP	0.77	(0.05)	(0.04)	0.02	1.28	(0.68)	1.67	(1.83)	4.38
SMMD	0.87	0.03	(0.02)	0.17	1.08	(0.88)	1.57	(1.73)	4.55
IAI	0.87	0.03	0.03	0.10	1.10	(0.86)	1.58	(2.14)	4.63
FXU	0.55	(0.04)	0.00	(0.08)	0.00	0.00	1.04	(1.14)	3.35
XSD	1.91	(0.06)	0.01	0.05	2.49	(1.97)	3.69	(4.56)	12.81

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