SPDR MSCI Correlations

STZX Etf

CHF 129.74 0.40 0.31%

The current 90-days correlation between SPDR MSCI Europe and iShares SLI ETF is 0.68 (i.e., Poor diversification). The correlation of SPDR MSCI 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.

SPDR MSCI Correlation With Market

Very poor diversification

The correlation between SPDR MSCI Europe and DJI is 0.87 (i.e., Very poor diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding SPDR MSCI Europe and DJI in the same portfolio, assuming nothing else is changed.

The ability to find closely correlated positions to SPDR MSCI could be a great tool in your tax-loss harvesting strategies, allowing investors a quick way to find a similar-enough asset to replace SPDR MSCI 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 SPDR MSCI - 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 SPDR MSCI Europe to buy it.

Moving together with SPDR Etf

0.79	IUFS	iShares SP 500	Pair Corr
0.97	SX7EEX	iShares EURO STOXX	Pair Corr
0.95	LYBNK	Multi Units Luxembourg	Pair Corr
0.95	SX7PEX	iShares STOXX Europe	Pair Corr
0.79	XLFS	Invesco Financials	Pair Corr
0.96	X7PS	Invesco STOXX Europe	Pair Corr
0.97	LYFINW	Lyxor MSCI World	Pair Corr
0.7	IUKP	iShares UK Property	Pair Corr
0.87	SRFCHA	UBS ETF SXI	Pair Corr
0.74	IASP	iShares Asia Property	Pair Corr
0.82	LYHLT	Multi Units Luxembourg	Pair Corr
0.71	CCUSAS	UBS Fund Solutions	Pair Corr
0.92	EUREUA	UBS Core MSCI	Pair Corr
0.79	AUCHAH	UBS ETF Gold	Pair Corr

Moving against SPDR Etf

0.32

XLKS

Invesco Technology

Pair Corr

Related Correlations Analysis

	STNX	CSGLDC	CSBGC0	STUX	XBAC	AETH	XDCH	CSSLI
STNX		0.37	0.28	0.44	-0.08	-0.25	0.03	0.05	STNX
CSGLDC	0.37		-0.56	0.87	-0.68	-0.53	0.71	0.72	CSGLDC
CSBGC0	0.28	-0.56		-0.44	0.75	0.46	-0.7	-0.8	CSBGC0
STUX	0.44	0.87	-0.44		-0.58	-0.52	0.71	0.76	STUX
XBAC	-0.08	-0.68	0.75	-0.58		0.71	-0.52	-0.66	XBAC
AETH	-0.25	-0.53	0.46	-0.52	0.71		-0.19	-0.46	AETH
XDCH	0.03	0.71	-0.7	0.71	-0.52	-0.19		0.89	XDCH
CSSLI	0.05	0.72	-0.8	0.76	-0.66	-0.46	0.89		CSSLI
	STNX	CSGLDC	CSBGC0	STUX	XBAC	AETH	XDCH	CSSLI

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

CSSLI	+ 0.89	XDCH
STUX	+ 0.87	CSGLDC
CSSLI	+ 0.76	STUX
XBAC	+ 0.75	CSBGC0
CSSLI	+ 0.72	CSGLDC
XDCH	+ 0.71	CSGLDC

High negative correlations

CSSLI	- 0.8	CSBGC0
XDCH	- 0.7	CSBGC0
XBAC	- 0.68	CSGLDC
CSSLI	- 0.66	XBAC
XBAC	- 0.58	STUX
CSBGC0	- 0.56	CSGLDC

SPDR MSCI Constituents Risk-Adjusted Indicators

There is a big difference between SPDR Etf performing well and SPDR MSCI 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 MSCI'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
STNX	0.84	0.09	0.04	4.15	1.01	(0.91)	1.84	(1.60)	5.62
CSGLDC	1.05	0.17	0.06	2.87	1.95	(1.04)	2.13	(2.95)	9.30
CSBGC0	0.16	(0.02)	0.00	(0.91)	0.00	0.00	0.33	(0.39)	1.13
STUX	0.59	0.16	0.19	0.66	0.39	(0.69)	1.44	(1.02)	3.98
XBAC	0.19	(0.04)	0.00	(4.25)	0.00	0.00	0.39	(0.45)	1.30
AETH	3.50	(0.73)	0.00	(2.68)	0.00	0.00	6.11	(7.13)	23.48
XDCH	0.61	0.03	(0.01)	0.13	0.74	(0.65)	1.44	(1.48)	3.69
CSSLI	0.51	0.06	0.03	0.57	0.56	(0.53)	1.22	(1.09)	3.37

Be your own money manager

Our tools can tell you how much better you can do entering a position in SPDR MSCI 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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