Pair Correlation Between SP 500 and SPY

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 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. See also your portfolio center. Please also check ongoing floating volatility patterns of SP 500 and SPY.
 Time Horizon     30 Days    Login   to change
Symbolsvs
 S&P 500  vs   SPY Inc
 Performance (%) 
      Timeline 

Pair Volatility

Assuming 30 trading days horizon, S&P 500 is expected to under-perform the SPY. But the index apears to be less risky and, when comparing its historical volatility, S&P 500 is 18.25 times less risky than SPY. The index trades about -0.1 of its potential returns per unit of risk. The SPY Inc is currently generating about 0.05 of returns per unit of risk over similar time horizon. If you would invest  8.00  in SPY Inc on January 21, 2018 and sell it today you would lose (2.00)  from holding SPY Inc or give up 25.0% of portfolio value over 30 days.

Correlation Coefficient

Pair Corralation between SP 500 and SPY
0.33

Parameters

Time Period1 Month [change]
DirectionPositive 
StrengthVery Weak
Accuracy80.95%
ValuesDaily Returns

Diversification

Weak diversification

Overlapping area represents the 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. The correlation between historical prices or returns on SPY Inc 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 SPY. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of SPY Inc has no effect on the direction of SP 500 i.e. SP 500 and SPY go up and down completely randomly.
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Comparative Volatility

 Predicted Return Density 
      Returns