SPDR SP Correlations

VLU Etf

USD 193.37 1.17 0.61%

The current 90-days correlation between SPDR SP 1500 and JPMorgan Fundamental Data is 0.9 (i.e., Almost no 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

Poor diversification

The correlation between SPDR SP 1500 and DJI is 0.69 (i.e., Poor diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding SPDR SP 1500 and DJI in the same portfolio, assuming nothing else is changed.

Check out World Market Map to better understand how to build diversified portfolios, which includes a position in SPDR SP 1500. Also, note that the market value of any etf could be closely tied with the direction of predictive economic indicators such as signals in bureau of economic analysis.

Moving together with SPDR Etf

0.95	VTV	Vanguard Value Index	Pair Corr
0.83	VYM	Vanguard High Dividend	Pair Corr
0.86	IWD	iShares Russell 1000	Pair Corr
0.96	DGRO	iShares Core Dividend	Pair Corr
0.87	IVE	iShares SP 500	Pair Corr
0.87	DVY	iShares Select Dividend	Pair Corr
0.88	SPYV	SPDR Portfolio SP	Pair Corr
0.82	FVD	First Trust Value	Pair Corr
0.88	IUSV	iShares Core SP	Pair Corr
0.78	NOBL	ProShares SP 500	Pair Corr
0.81	UPRO	ProShares UltraPro SP500	Pair Corr
0.9	QQEW	First Trust NASDAQ	Pair Corr
0.73	HD	Home Depot	Pair Corr
0.67	TRV	The Travelers Companies	Pair Corr
0.63	VZ	Verizon Communications	Pair Corr

Moving against SPDR Etf

0.4

Boeing

Pair Corr

Related Correlations Analysis

	MCDS	DINT	DISV	PY	VB	VO	MDYG	MDYV	XC
MCDS		0.49	0.58	0.8	0.75	0.91	0.87	0.91	0.35	MCDS
DINT	0.49		0.63	0.46	0.49	0.47	0.57	0.49	0.84	DINT
DISV	0.58	0.63		0.53	0.51	0.58	0.57	0.59	0.56	DISV
PY	0.8	0.46	0.53		0.97	0.88	0.85	0.85	0.34	PY
VB	0.75	0.49	0.51	0.97		0.86	0.86	0.83	0.41	VB
VO	0.91	0.47	0.58	0.88	0.86		0.96	0.98	0.39	VO
MDYG	0.87	0.57	0.57	0.85	0.86	0.96		0.97	0.54	MDYG
MDYV	0.91	0.49	0.59	0.85	0.83	0.98	0.97		0.4	MDYV
XC	0.35	0.84	0.56	0.34	0.41	0.39	0.54	0.4		XC
	MCDS	DINT	DISV	PY	VB	VO	MDYG	MDYV	XC

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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
MCDS	0.49	0.03	0.00	0.11	0.58	(0.90)	1.26	(0.91)	6.57
DINT	0.91	(0.12)	0.00	(1.32)	0.00	0.00	1.70	(2.09)	7.17
DISV	0.61	(0.01)	(0.07)	0.01	0.87	(0.57)	1.26	(1.69)	3.82
PY	0.58	0.03	(0.02)	0.13	0.65	(0.66)	1.20	(0.83)	6.04
VB	0.83	0.05	0.02	0.15	1.02	(0.85)	1.60	(1.16)	8.20
VO	0.65	0.03	0.01	0.11	0.76	(0.73)	1.37	(0.99)	6.01
MDYG	0.78	(0.01)	(0.02)	0.06	1.01	(0.86)	1.61	(1.34)	7.63
MDYV	0.73	0.02	0.01	0.09	0.89	(0.81)	1.52	(1.10)	8.44
XC	0.67	(0.09)	0.00	(0.24)	0.00	0.00	1.09	(1.40)	4.47

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