Benchmark  United States  NYSE  10,865   5.8281  0.0537% 


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Correlation analysis between SP 500 and SPY Inc

    
  
Summary
Performance
FundamentalsTechnicalsRecomendation
   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 under-perform the SPY Inc. But the index apears to be less risky and, when comparing its historical volatility, S&P 500 is 2.24 times less risky than SPY Inc. The index trades about -0.01 of its potential returns per unit of risk. The SPY Inc is currently generating about 0.32 of returns per unit of risk over similar time horizon. If you would invest  77.00  in SPY Inc on June 6, 2015 and sell it today you would earn a total of  8.00  from holding SPY Inc or generate 10.39% return on investment over 30 days.

Correlation Coefficient

0.21

Parameters

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

Diversification

Modest 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

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The Hartford Financial Services Group Inc vs. S&P 500
PICO Holdings Inc vs. S&P 500
  

SPY Inc

  

Risk-adjusted Performance

Compared to the overall equity markets, risk-adjusted returns on investments in SPY Inc are ranked lower than 20 (%) of all global equities and portfolios over the last 30 days.

Pair trading matchups for SPY Inc

Pool Corp vs. SPY Inc
Nautilus Inc vs. SPY Inc
Sportsmans Warehouse Holdings Inc vs. SPY Inc
Black Diamond Inc vs. SPY Inc
Escalade Inc vs. SPY Inc
Johnson Outdoors Inc vs. SPY Inc