Benchmark  United States  NYSE  11,198   41.9775  -0.3735% 


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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   
Benchmark  Embed   Timeline 
Assuming 30 trading days horizon, SP 500 is expected to generate 30.3 times less return on investment than SPY Inc. But when comparing it to its historical volatility, S&P 500 is 6.91 times less risky than SPY Inc. It trades about 0.05 of its potential returns per unit of risk. SPY Inc is currently generating about 0.21 of returns per unit of risk over similar time horizon. If you would invest  75.00  in SPY Inc on April 23, 2015 and sell it today you would earn a total of  15.00  from holding SPY Inc or generate 20.0% return on investment over 30 days.

Correlation Coefficient

0.1

Parameters

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

Diversification

Average 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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Whirlpool Corp vs. S&P 500
Godrej Industries Ltd 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 13 (%) 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
Johnson Outdoors Inc vs. SPY Inc