SPDR MSCI Correlations

WMAT Etf

EUR 66.83 0.62 0.92%

The current 90-days correlation between SPDR MSCI World and Vanguard SP 500 is 0.52 (i.e., Very weak 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

Weak diversification

The correlation between SPDR MSCI World and DJI is 0.34 (i.e., Weak diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding SPDR MSCI World 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 World to buy it.

Moving together with SPDR Etf

0.7	DIA	SPDR Dow Jones	Pair Corr
0.67	EMIM	iShares Core MSCI	Pair Corr
0.77	VWRL	Vanguard FTSE All	Pair Corr
0.83	CNYB	iShares China CNY	Pair Corr
0.96	IMEU	iShares Core MSCI	Pair Corr
0.77	IWRD	iShares MSCI World	Pair Corr
0.7	IEMM	iShares MSCI EM	Pair Corr
0.91	TSWE	VanEck Sustainable World	Pair Corr
0.96	VERX	Vanguard FTSE Developed	Pair Corr
0.93	EUEA	iShares II Public	Pair Corr
0.96	VEUR	Vanguard FTSE Developed	Pair Corr
0.73	TOF	VanEck Multi Asset	Pair Corr
0.81	IKRA	iShares Public	Pair Corr
0.64	SXLY	SSgA SPDR ETFs	Pair Corr
0.87	IDVA	iShares EURO STOXX	Pair Corr
0.87	EXCH	iShares MSCI EM	Pair Corr
0.76	SMUA	iShares MSCI EMU	Pair Corr
0.83	SXLF	SSgA SPDR ETFs	Pair Corr
0.85	U13C	Lyxor Treasury 1	Pair Corr
0.85	JPSR	UBSFund Solutions MSCI	Pair Corr
0.75	IFFI	iShares MSCI AC	Pair Corr
0.96	VHYL	Vanguard FTSE All	Pair Corr
0.82	EXXY	iShares Diversified	Pair Corr
0.84	MPAB	iShares MSCI EMU	Pair Corr
0.86	EXCD	iShares MSCI EM	Pair Corr
0.72	MUSD	iShares MSCI USA	Pair Corr
0.82	IJPA	iShares Core MSCI	Pair Corr
0.81	VAPX	Vanguard FTSE Developed	Pair Corr
0.82	ISAE	iShares Agribusiness	Pair Corr

Moving against SPDR Etf

0.49	IBGL	iShares Govt Bond	Pair Corr
0.43	IBGM	iShares Euro Government	Pair Corr

Related Correlations Analysis

	META	MSFT	UBER	F	T	A	CRM	JPM	MRK	XOM
META		0.6	0.32	-0.39	0.24	-0.24	0.43	-0.19	-0.35	-0.43	META
MSFT	0.6		0.8	-0.55	0.48	0.06	0.13	-0.45	-0.84	-0.7	MSFT
UBER	0.32	0.8		-0.49	0.44	0.32	-0.14	-0.5	-0.81	-0.54	UBER
F	-0.39	-0.55	-0.49		-0.71	0.09	0.24	0.66	0.71	0.73	F
T	0.24	0.48	0.44	-0.71		0.32	-0.45	-0.6	-0.51	-0.64	T
A	-0.24	0.06	0.32	0.09	0.32		-0.5	-0.26	-0.06	-0.09	A
CRM	0.43	0.13	-0.14	0.24	-0.45	-0.5		0.52	0.11	0.02	CRM
JPM	-0.19	-0.45	-0.5	0.66	-0.6	-0.26	0.52		0.64	0.52	JPM
MRK	-0.35	-0.84	-0.81	0.71	-0.51	-0.06	0.11	0.64		0.79	MRK
XOM	-0.43	-0.7	-0.54	0.73	-0.64	-0.09	0.02	0.52	0.79		XOM
	META	MSFT	UBER	F	T	A	CRM	JPM	MRK	XOM

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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

UBER	+ 0.8	MSFT
XOM	+ 0.79	MRK
XOM	+ 0.73	F
MRK	+ 0.71	F
JPM	+ 0.66	F
MRK	+ 0.64	JPM

High negative correlations

MRK	- 0.84	MSFT
MRK	- 0.81	UBER
T	- 0.71	F
XOM	- 0.7	MSFT
XOM	- 0.64	T
JPM	- 0.6	T

SPDR MSCI Competition 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
META	1.32	(0.28)	0.00	(0.20)	0.00	0.00	2.30	(2.67)	13.46
MSFT	0.94	(0.21)	0.00	(0.38)	0.00	0.00	1.65	(2.50)	4.90
UBER	1.46	(0.23)	0.00	(0.17)	0.00	0.00	2.60	(3.82)	10.23
F	1.42	0.13	0.12	0.18	1.27	(1.72)	3.38	(2.35)	16.30
T	0.89	(0.18)	0.00	(0.42)	0.00	0.00	1.53	(1.85)	4.30
A	1.14	(0.09)	(0.05)	0.02	1.39	(1.20)	2.34	(2.22)	6.50
CRM	1.57	(0.16)	0.00	(0.06)	0.00	0.00	3.66	(2.92)	12.37
JPM	1.12	(0.07)	(0.02)	0.04	1.59	(1.13)	2.00	(2.34)	7.38
MRK	1.23	0.32	0.23	0.44	1.01	(1.55)	3.59	(1.98)	8.09
XOM	1.07	0.23	0.12	2.92	0.98	(1.24)	2.37	(1.51)	5.82

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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