Benchmark  United States  NYSE  10,882   0.53  0.0% 


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Correlation analysis between SP 500 and SPY Inc

    
  
Summary
Performance
Technicals
   Forecast
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   
Benchmark  Embed   Timeline 
Assuming 30 trading days horizon, S&P 500 is expected to generate 0.19 times more return on investment than SPY Inc. However, S&P 500 is 5.19 times less risky than SPY Inc. It trades about 0.11 of its potential returns per unit of risk. SPY Inc is currently generating about -0.24 per unit of risk. If you would invest  206,876  in S&P 500 on July 4, 2015 and sell it today you would earn a total of  3,508  from holding S&P 500 or generate 1.7% return on investment over 30 days.

Correlation Coefficient

0.02

Parameters

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

Diversification

Significant 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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Historical Performance Chart

Comparative Volatility

Predicted Return Density  
Benchmark  Embed   Returns 

S&P 500

  

Pair trading matchups for SP 500

The Nasdaq OMX Group Inc vs. S&P 500
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Oritani Financial Corp vs. S&P 500
EQT Corporation vs. S&P 500
Analog Devices Inc vs. S&P 500
Microsoft Corporation vs. S&P 500
Torchmark Corporation vs. S&P 500
PrivateBancorp Inc vs. S&P 500
Avon Products Inc vs. S&P 500
  

SPY Inc

  

Risk-adjusted Performance

Over the last 30 days SPY Inc has generated negative risk-adjusted returns adding no value to investors with long positions.