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Benchmark  United States  NYSE  10,607   39.772 Index Moved Down -0.37%  


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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 (%)
GSPC   XSPY   
 
Change Benchmark  Embed   Timeline 
Assuming 30 trading days horizon, S&P 500 is expected to generate 0.26 times more return on investment than SPY Inc. However, S&P 500 is 3.9 times less risky than SPY Inc. It trades about 0.02 of its potential returns per unit of risk. SPY Inc is currently generating about -0.23 per unit of risk. If you would invest  197,229  in S&P 500 on September 30, 2014 and sell it today you would earn a total of  763  from holding S&P 500 or generate 0.39% return on investment over 30 days.

Correlation Coefficient

0.07
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
    Optimize
Investing ideals could easily outperform a given market if properly optimized
Get SPY Inc research report. Reports are available in pdf format. Click SPY Inc Report to view
  
SPY Inc Report  
Get S&P 500 research report. Reports are available in pdf format. Click SP 500 Report to view
  
SP 500 Report  

Historical Performance Chart

Comparative Volatility

Predicted Return Density
 
Change Benchmark  Embed   Returns 

S&P 500

  

Pair trading matchups for SP 500

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iShares 13 Year Treasury Bond vs. S&P 500
Ryder System Inc vs. S&P 500
  

SPY Inc

  
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 Inc

Nautilus Inc vs. SPY Inc
Sportsmans Warehouse Holdings Inc vs. SPY Inc
Black Diamond Inc vs. SPY Inc
Johnson Outdoors Inc vs. SPY Inc
Zippy Bags Inc vs. SPY Inc


 

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