SP Funds Correlations

SPUS Etf

USD 50.93 0.45 0.88%

The current 90-days correlation between SP Funds SP and SPDR SP Semiconductor is 0.7 (i.e., Poor 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

Very weak diversification

The correlation between SP Funds SP and DJI is 0.48 (i.e., Very weak 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 manufacturing.

Moving together with SPUS Etf

0.69	IVW	iShares SP 500	Pair Corr
0.68	SPYG	SPDR Portfolio SP	Pair Corr
0.76	IUSG	iShares Core SP	Pair Corr
0.77	QQQM	Invesco NASDAQ 100	Pair Corr
0.7	SIXD	AIM ETF Products	Pair Corr
0.73	GOCT	FT Cboe Vest	Pair Corr

Moving against SPUS Etf

0.55	VXX	iPath Series B Low Volatility	Pair Corr
0.54	VIXY	ProShares VIX Short Low Volatility	Pair Corr

Related Correlations Analysis

	JMOM	RPG	IYJ	BALT	EWA	TCHP	SMMD	IAI	FXU	XSD
JMOM		0.97	0.87	0.92	0.79	-0.3	0.93	0.24	0.52	0.92	JMOM
RPG	0.97		0.92	0.95	0.85	-0.42	0.96	0.18	0.59	0.9	RPG
IYJ	0.87	0.92		0.93	0.91	-0.64	0.96	-0.02	0.69	0.86	IYJ
BALT	0.92	0.95	0.93		0.83	-0.41	0.93	0.21	0.54	0.87	BALT
EWA	0.79	0.85	0.91	0.83		-0.75	0.84	-0.29	0.84	0.77	EWA
TCHP	-0.3	-0.42	-0.64	-0.41	-0.75		-0.52	0.67	-0.87	-0.41	TCHP
SMMD	0.93	0.96	0.96	0.93	0.84	-0.52		0.14	0.6	0.93	SMMD
IAI	0.24	0.18	-0.02	0.21	-0.29	0.67	0.14		-0.61	0.17	IAI
FXU	0.52	0.59	0.69	0.54	0.84	-0.87	0.6	-0.61		0.5	FXU
XSD	0.92	0.9	0.86	0.87	0.77	-0.41	0.93	0.17	0.5		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

RPG	+ 0.97	JMOM
SMMD	+ 0.96	RPG
SMMD	+ 0.96	IYJ
BALT	+ 0.95	RPG
SMMD	+ 0.93	JMOM
BALT	+ 0.93	IYJ

High negative correlations

FXU	- 0.87	TCHP
TCHP	- 0.75	EWA
TCHP	- 0.64	IYJ
FXU	- 0.61	IAI
SMMD	- 0.52	TCHP
TCHP	- 0.42	RPG

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	0.05	0.04	0.13	0.75	(0.73)	1.27	(1.51)	4.56
RPG	0.89	0.09	0.08	0.17	0.97	(0.92)	1.65	(1.81)	5.69
IYJ	0.70	0.11	0.11	0.18	0.70	(0.71)	1.67	(1.43)	4.70
BALT	0.12	0.02	(0.27)	0.20	0.00	(0.14)	0.30	(0.33)	0.78
EWA	0.69	0.24	0.25	0.50	0.49	(0.85)	1.96	(0.93)	4.60
TCHP	0.77	(0.09)	0.00	(0.04)	0.00	0.00	1.59	(1.82)	5.01
SMMD	0.77	0.09	0.12	0.17	0.64	(0.90)	1.64	(1.37)	5.17
IAI	1.11	(0.08)	(0.03)	0.02	1.58	(1.06)	2.16	(2.81)	6.59
FXU	0.65	0.14	0.07	2.80	0.69	(0.67)	1.42	(1.21)	3.77
XSD	1.43	0.15	0.11	0.19	1.52	(1.61)	3.71	(2.75)	9.17

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