Pair Correlation Between SP 500 and Nasdaq

This module allows you to analyze existing cross correlation between S&P 500 and Nasdaq. You can compare the effects of market volatilities on SP 500 and Nasdaq and check how they will diversify away market risk if combined in the same portfolio for a given time horizon. You can also utilize pair trading strategies of matching a long position in SP 500 with a short position of Nasdaq. See also your portfolio center. Please also check ongoing floating volatility patterns of SP 500 and Nasdaq.
Investment Horizon     30 Days    Login   to change
Symbolsvs
 S&P 500  vs   Nasdaq
 Performance (%) 
      Timeline 

Pair Volatility

Assuming 30 trading days horizon, SP 500 is expected to generate 4.38 times less return on investment than Nasdaq. But when comparing it to its historical volatility, S&P 500 is 1.83 times less risky than Nasdaq. It trades about 0.09 of its potential returns per unit of risk. Nasdaq is currently generating about 0.22 of returns per unit of risk over similar time horizon. If you would invest  658,683  in Nasdaq on October 22, 2017 and sell it today you would earn a total of  19,596  from holding Nasdaq or generate 2.98% return on investment over 30 days.

Correlation Coefficient

Pair Corralation between SP 500 and Nasdaq
0.65

Parameters

Time Period1 Month [change]
DirectionPositive 
StrengthSignificant
Accuracy100.0%
ValuesDaily Returns

Diversification

Poor diversification

Overlapping area represents the amount of risk that can be diversified away by holding S&P 500 and Nasdaq in the same portfolio assuming nothing else is changed. The correlation between historical prices or returns on Nasdaq and SP 500 is a relative statistical measure of the degree to which these equity instruments tend to move together. The correlation coefficient measures the extent to which returns on S&P 500 are associated (or correlated) with Nasdaq. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Nasdaq has no effect on the direction of SP 500 i.e. SP 500 and Nasdaq go up and down completely randomly.
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Comparative Volatility

 Predicted Return Density 
      Returns