Pair Correlation Between SP 500 and SPY

  
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 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. Please also check ongoing floating volatility patterns of SP 500 and SPY.
 S&P 500  vs   SPY Inc.
 Daily Returns (%) 
Benchmark  Embed   Timeline 

Pair Volatility

Assuming 30 trading days horizon, SP 500 is expected to generate 94.15 times less return on investment than SPY. But when comparing it to its historical volatility, S&P 500 is 71.93 times less risky than SPY. It trades about 0.09 of its potential returns per unit of risk. SPY Inc is currently generating about 0.12 of returns per unit of risk over similar time horizon. If you would invest  13.00  in SPY Inc on July 25, 2016 and sell it today you would earn a total of  1.00  from holding SPY Inc or generate 7.69% return on investment over 30 days.

Correlation Coefficient

-0.08

Parameters

Time Period1 Month [change]
DirectionNegative ^GSPC Moved Down vs XSPY
StrengthInsignificant
Accuracy100.0%
ValuesDaily Returns
  

Diversification

Good 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
    Optimize
Mean
Deviation
Jensen
Alpha
Sortino
Ratio
Treynor
Ratio
Semi
Deviation
Information
Ratio
Expected
Shortfall
Potential
Upside
Value
At Risk
Maximum
Drawdown
 0.23  0.00  0.03  0.00  0.28  0.03 (0.25) 0.47 (0.55) 1.41 
 9.71  0.89  0.00 (0.16) 0.00  0.04  0.00  46.15 (38.46) 67.76 

Comparative Volatility

 Predicted Return Density 
Benchmark  Embed   Returns 

SP 500

  

Pair trading matchups for SP 500

  

SPY Inc

  

Risk-adjusted Performance

Compared to the overall equity markets, risk-adjusted returns on investments in SPY Inc are ranked lower than 8 (%) of all global equities and portfolios over the last 30 days.

Pair trading matchups for SPY