SPDR SP Correlations

SXLE Etf

36.79 0.52 1.39%

The current 90-days correlation between SPDR SP Energy and Leverage Shares 3x is 0.27 (i.e., Modest diversification). The correlation of SPDR SP 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 SP Correlation With Market

Weak diversification

The correlation between SPDR SP Energy and DJI is 0.35 (i.e., Weak diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding SPDR SP Energy and DJI in the same portfolio, assuming nothing else is changed.

The ability to find closely correlated positions to SPDR SP 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 SP 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 SP - 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 SP Energy to buy it.

Moving together with SPDR Etf

0.61	1AMZ	LS 1x Amazon	Pair Corr
0.72	2GOO	Leverage Shares 2x	Pair Corr

Moving against SPDR Etf

0.65	VWCG	Vanguard FTSE Developed	Pair Corr
0.42	AAVC	Albion Venture Capital	Pair Corr

Related Correlations Analysis

	3ARE	3CON	3PLT	SGBP	NVD3	3NVD	NVD2	QQQ5	5QQQ	3UBE
3ARE		0.93	0.95	0.78	0.69	0.72	0.71	0.78	0.83	-0.32	3ARE
3CON	0.93		0.89	0.79	0.7	0.72	0.7	0.69	0.75	-0.33	3CON
3PLT	0.95	0.89		0.89	0.72	0.75	0.74	0.72	0.79	-0.32	3PLT
SGBP	0.78	0.79	0.89		0.7	0.74	0.72	0.54	0.63	-0.32	SGBP
NVD3	0.69	0.7	0.72	0.7		1.0	1.0	0.89	0.91	0.12	NVD3
3NVD	0.72	0.72	0.75	0.74	1.0		1.0	0.88	0.91	0.09	3NVD
NVD2	0.71	0.7	0.74	0.72	1.0	1.0		0.89	0.91	0.12	NVD2
QQQ5	0.78	0.69	0.72	0.54	0.89	0.88	0.89		0.99	0.18	QQQ5
5QQQ	0.83	0.75	0.79	0.63	0.91	0.91	0.91	0.99		0.11	5QQQ
3UBE	-0.32	-0.33	-0.32	-0.32	0.12	0.09	0.12	0.18	0.11		3UBE
	3ARE	3CON	3PLT	SGBP	NVD3	3NVD	NVD2	QQQ5	5QQQ	3UBE

Click cells to compare fundamentals

Check Volatility

Backtest Portfolio

Please upgrade your account to get full access to Macroaxis premium features

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

3NVD	+ 1.0	NVD3
NVD2	+ 1.0	NVD3
NVD2	+ 1.0	3NVD
5QQQ	+ 0.99	QQQ5
3PLT	+ 0.95	3ARE
3CON	+ 0.93	3ARE

High negative correlations

3UBE	- 0.33	3CON
3UBE	- 0.32	SGBP
3UBE	- 0.32	3PLT
3UBE	- 0.32	3ARE

SPDR SP Constituents Risk-Adjusted Indicators

There is a big difference between SPDR Etf performing well and SPDR SP 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 SP'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
3ARE	4.96	0.51	0.16	0.21	5.35	(5.12)	10.60	(9.50)	40.25
3CON	12.71	0.69	0.14	0.17	13.97	(14.19)	29.54	(19.42)	99.07
3PLT	8.84	2.71	0.45	0.51	6.39	(11.18)	20.13	(10.82)	76.95
SGBP	0.32	0.09	(0.09)	(2.49)	0.00	(0.38)	0.98	(0.52)	1.94
NVD3	6.45	(0.02)	0.02	0.11	8.21	(6.24)	12.69	(12.07)	39.29
3NVD	6.46	0.05	0.03	0.14	8.03	(6.32)	12.28	(11.63)	38.75
NVD2	4.30	0.01	0.02	0.12	5.45	(4.18)	8.22	(7.48)	26.09
QQQ5	3.81	(0.08)	0.04	0.10	5.22	(4.04)	10.53	(10.08)	29.25
5QQQ	3.75	0.00	0.05	0.12	5.13	(3.67)	9.49	(9.85)	28.48
3UBE	5.22	(0.21)	0.00	0.04	8.33	(5.35)	10.10	(9.89)	60.76

Be your own money manager

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

Did you try this?

Run Portfolio Optimization Now

Portfolio Optimization

Compute new portfolio that will generate highest expected return given your specified tolerance for risk

All Next

Launch Module

Macroaxis helps investors of all levels and skills to maximize the upside of all their holdings and minimize the risk associated with market volatility, economic swings, and company-specific events. View terms and conditions

Feedback Blog

Made with optimal in San Francisco

2024 Macroaxis LLC