Benchmark  United States  NYSE  10,882   0.53  0.0% 

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 (%)
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



Time Period1 Month [change]
DirectionPositive XSPY Moved Up vs ^GSPC
ValuesDaily Returns


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

Historical Performance Chart

Comparative Volatility

Predicted Return Density  
Benchmark  Embed   Returns 

S&P 500


Pair trading matchups for SP 500

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PrivateBancorp Inc vs. S&P 500
Avon Products Inc vs. S&P 500



Risk-adjusted Performance

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