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Benchmark  United States  NYSE  10,937   0.781 Index Moved Up 0.01%  


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Collecting data for ^GSPC and XSPY ...

Correlation analysis between SP 500 and SPY Inc

   
Investment horizon:  
  30 Days    Login   to change
  
 
This module allows you to analyze existing cross correlation between S&P 500 and SPY Inc. You can compare the effects of market volatilities on SP 500 and SPY Inc 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 SPY Inc. Please also check ongoing floating volatility patterns of SP 500 and SPY Inc.
 
 S&P 500  vs   SPY Inc.
Daily Returns (%)
GSPC   XSPY   
 
Change Benchmark  Embed  Timeline 
Assuming 30 trading days horizon, SP 500 is expected to generate 8.33 times less return on investment than SPY Inc. But when comparing it to its historical volatility, S&P 500 is 5.69 times less risky than SPY Inc. It trades about 0.06 of its potential returns per unit of risk. SPY Inc is currently generating about 0.08 of returns per unit of risk over similar time horizon. If you would invest  90.00  in SPY Inc on June 30, 2014 and sell it today you would earn a total of  4.00  from holding SPY Inc or generate 4.44% return on investment over 30 days.

Diversification

Modest diversification
Overlapping area represents amount of risk that can be diversified away by holding S&P 500 and SPY Inc. in the same portfolio assuming nothing else is changed
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Correlation Coefficient

0.26
Parameters
Time Period1 Month [change]
DirectionPositive XSPY Moved Up vs ^GSPC
StrengthVery Weak
Accuracy100.0%
ValuesDaily Returns
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Historical Performance Chart

Comparative Volatility

Predicted Return Density
 
Embed  
Returns:   
GSPC   XSPY   

S&P 500

  

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SPY Inc

  
Compared with the overall equity markets, risk-adjusted returns on investments in SPY Inc are ranked lower than 4 (%) of all global equities and portfolios over the last 30 days.

Pair trading matchups for SPY Inc

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