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

If you would invest  203,730  in S&P 500 on June 24, 2016 and sell it today you would earn a total of  13,745  from holding S&P 500 or generate 6.75% return on investment over 30 days.

Correlation Coefficient

0.0

Parameters

Time Period1 Month [change]
DirectionFlat 
StrengthInsignificant
Accuracy100.0%
ValuesDaily Returns
  

Diversification

Pay attention

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
 0.78  0.00  0.03  0.00  1.29  0.04 (0.80) 1.70 (1.80) 4.93 
 0.00  0.00  0.00  0.00  0.00  0.00  0.00  0.00  0.00  0.00 

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