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 (%)
GSPC   XSPY   
Benchmark  Embed   Timeline 
Assuming 30 trading days horizon, S&P 500 is expected to generate 0.1 times more return on investment than SPY. However, S&P 500 is 10.47 times less risky than SPY. It trades about 0.01 of its potential returns per unit of risk. SPY Inc is currently generating about -0.21 per unit of risk. If you would invest  206,395  in S&P 500 on March 30, 2016 and sell it today you would earn a total of  156.00  from holding S&P 500 or generate 0.08% return on investment over 30 days.

Correlation Coefficient

0.07

Parameters

Time Period1 Month [change]
DirectionPositive 
StrengthInsignificant
Accuracy95.65%
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

Mean
Deviation
Jensen
Alpha
Sortino
Ratio
Treynor
Ratio
Semi
Deviation
Information
Ratio
Expected
Shortfall
Potential
Upside
Value
At Risk
Maximum
Drawdown
 0.46  0.00 (0.12) 0.00  0.57 (0.13)(0.45) 1.00 (1.01) 2.25 
 2.60 (1.25) 0.00  1.11  0.00 (0.23) 0.00  0.00  0.00  30.00 

Comparative Volatility

Predicted Return Density  
Benchmark  Embed   Returns 

S&P 500

  

Pair trading matchups for SP 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.

Pair trading matchups for SPY