SPDR SP Correlations

ZPDS Etf

EUR 40.83 0.06 0.15%

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.

SPDR SP Correlation With Market

Poor diversification

The correlation between SPDR SP Consumer and DJI is 0.67 (i.e., Poor diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding SPDR SP Consumer 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 Consumer to buy it.

Moving together with SPDR Etf

0.97	XDWS	Xtrackers MSCI World	Pair Corr
0.81	SPYC	SSgA SPDR ETFs	Pair Corr
0.67	EXV1	iShares STOXX Europe	Pair Corr
0.64	SC0U	Invesco Markets plc	Pair Corr
0.89	AMEE	Amundi ETF MSCI	Pair Corr
0.71	ETLX	LG Gold Mining	Pair Corr
0.69	UBUD	UBS ETF Public	Pair Corr
0.73	ETLX	LG Gold Mining	Pair Corr
0.84	XDWM	Xtrackers Public	Pair Corr
0.84	DBX8	Xtrackers MSCI	Pair Corr
0.7	D6RR	Deka MSCI Europe	Pair Corr
0.65	VGEA	Vanguard EUR Eurozone	Pair Corr
0.64	C099	Lyxor Bloomberg Equal	Pair Corr
0.64	C006	Lyxor FAZ 100	Pair Corr
0.73	SPYQ	SSgA SPDR ETFs	Pair Corr
0.8	VALD	BNP Paribas Easy	Pair Corr
0.77	LASI	Multi Units Luxembourg	Pair Corr
0.89	LM9E	BNP Paribas Easy	Pair Corr
0.88	XDNY	Xtrackers MSCI Japan	Pair Corr
0.79	GQEU	Goldman Sachs Alpha	Pair Corr
0.89	EGV3	MULTI UNITS LUXEMBOURG	Pair Corr
0.68	GSXG	Goldman Sachs Global	Pair Corr
0.72	CMOE	Invesco Bloomberg	Pair Corr

Moving against SPDR Etf

0.69	6TVL	Lyxor Index Fund	Pair Corr
0.52	36BB	iShares MSCI World	Pair Corr
0.51	XDWC	Xtrackers MSCI World	Pair Corr
0.33	ZPDD	SPDR SP Consumer	Pair Corr

Related Correlations Analysis

	SYBN	ZPR6	ZPDU	ZPR6	SPP3	ZPDT	ZPDM	SYBI	SYB1
SYBN		-0.7	0.31	-0.29	0.69	0.74	-0.65	0.0	0.0	SYBN
ZPR6	-0.7		-0.28	0.65	-0.62	-0.69	0.81	0.0	0.0	ZPR6
ZPDU	0.31	-0.28		-0.48	0.59	0.1	-0.2	0.0	0.0	ZPDU
ZPR6	-0.29	0.65	-0.48		-0.49	-0.3	0.56	0.0	0.0	ZPR6
SPP3	0.69	-0.62	0.59	-0.49		0.49	-0.57	0.0	0.0	SPP3
ZPDT	0.74	-0.69	0.1	-0.3	0.49		-0.69	0.0	0.0	ZPDT
ZPDM	-0.65	0.81	-0.2	0.56	-0.57	-0.69		0.0	0.0	ZPDM
SYBI	0.0	0.0	0.0	0.0	0.0	0.0	0.0		0.0	SYBI
SYB1	0.0	0.0	0.0	0.0	0.0	0.0	0.0	0.0		SYB1
	SYBN	ZPR6	ZPDU	ZPR6	SPP3	ZPDT	ZPDM	SYBI	SYB1

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

ZPDM	+ 0.81	ZPR6
ZPDT	+ 0.74	SYBN
SPP3	+ 0.69	SYBN
ZPR6	+ 0.65	ZPR6
SPP3	+ 0.59	ZPDU
ZPDM	+ 0.56	ZPR6

High negative correlations

ZPR6	- 0.7	SYBN
ZPDM	- 0.69	ZPDT
ZPDT	- 0.69	ZPR6
ZPDM	- 0.65	SYBN
SPP3	- 0.62	ZPR6
ZPDM	- 0.57	SPP3

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
SYBN	0.49	(0.06)	0.00	1.78	0.00	0.00	0.97	(1.23)	3.87
ZPR6	0.07	0.01	(0.57)	(0.60)	0.00	(0.10)	0.20	(0.13)	0.43
ZPDU	0.68	0.05	(0.03)	(0.22)	0.76	(0.71)	1.65	(1.29)	3.44
ZPR6	0.10	0.00	(0.44)	0.12	0.04	(0.12)	0.23	(0.20)	0.75
SPP3	0.26	(0.02)	0.00	0.43	0.00	0.00	0.47	(0.59)	1.35
ZPDT	1.02	(0.16)	0.00	(4.09)	0.00	0.00	2.03	(2.24)	5.69
ZPDM	0.84	0.26	0.21	0.55	0.75	(0.93)	1.97	(1.48)	4.37
SYBI	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00
SYB1	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00

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.

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