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Benchmark  United States  NYSE  10,986   37.621 Index Moved Down -0.34%  


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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, SP 500 is expected to generate 63.98 times less return on investment than SPY Inc. But when comparing it to its historical volatility, S&P 500 is 42.08 times less risky than SPY Inc. It trades about 0.13 of its potential returns per unit of risk. SPY Inc is currently generating about 0.2 of returns per unit of risk over similar time horizon. If you would invest  70.00  in SPY Inc on August 20, 2014 and sell it today you would earn a total of  39.00  from holding SPY Inc or generate 55.71% return on investment over 30 days.

Correlation Coefficient

-0.27
Parameters
Time Period1 Month [change]
DirectionNegative ^GSPC Moved Down vs XSPY
StrengthInsignificant
Accuracy100.0%
ValuesDaily Returns

Diversification

Very 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
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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

MetroPCS Communications Inc vs. S&P 500
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BancFirst Corporation vs. S&P 500
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ParkerHannifin Corporation vs. S&P 500
Arch Capital Group Ltd vs. S&P 500
WalMart Stores Inc vs. S&P 500
FMC Technologies Inc vs. S&P 500
Bajaj Electricals Limited vs. S&P 500
IngersollRand Plc vs. S&P 500
  

SPY Inc

  
Compared with the overall equity markets, risk-adjusted returns on investments in SPY Inc are ranked lower than 11 (%) 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
Escalade Inc vs. SPY Inc


 

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