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Benchmark  United States  NYSE  10,947   35.499 Index Moved Down -0.32%  


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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 not expected to generate positive returns. However, S&P 500 is 10.86 times less risky than SPY Inc. It waists most of its returns potential to compensate for thr risk taken. SPY Inc is generating about -0.18 per unit of risk. If you would invest  198,798  in S&P 500 on July 24, 2014 and sell it today you would earn a total of  42.00  from holding S&P 500 or generate 0.02% return on investment over 30 days.

Correlation Coefficient

-0.04
Parameters
Time Period1 Month [change]
DirectionNegative ^GSPC Moved Down vs XSPY
StrengthInsignificant
Accuracy100.0%
ValuesDaily Returns

Diversification

Good 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
  
SPY Inc Report  
  
SP 500 Report  

Historical Performance Chart

Comparative Volatility

Predicted Return Density
 
Embed  
Returns:   
GSPC   XSPY   

S&P 500

  

Pair trading matchups for SP 500

Cairn India Limited vs. S&P 500
Enterprise Products Partners LP vs. S&P 500
Coal India Limited vs. S&P 500
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American Express Company vs. S&P 500
Phillips 66 vs. S&P 500
Vanguard Emerging Mkts Stock Idx Inv vs. S&P 500
The Allstate Corporation vs. S&P 500
Premiere Global Services Inc vs. S&P 500
ColgatePalmolive Limited vs. S&P 500
AllianzGI NFJ Intl SmallCap Value D 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

Pool Corp vs. SPY Inc
Nautilus Inc vs. SPY Inc
Escalade Inc vs. SPY Inc


 
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