Pair Correlation Between SP 500 and SPY

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. See also your portfolio center.Please also check ongoing floating volatility patterns of SP 500 and SPY.
Investment Horizon     30 Days    Login   to change
 S&P 500  vs   SPY Inc.
 Daily Returns (%) 
Benchmark  Embed   Timeline 

Pair Volatility

Assuming 30 trading days horizon, S&P 500 is expected to generate 0.13 times more return on investment than SPY. However, S&P 500 is 7.68 times less risky than SPY. It trades about 0.47 of its potential returns per unit of risk. SPY Inc is currently generating about -0.22 per unit of risk. If you would invest  213,956  in S&P 500 on November 8, 2016 and sell it today you would earn a total of  10,121  from holding S&P 500 or generate 4.73% return on investment over 30 days.
Correlation Coefficient
Pair Corralation between SP 500 and SPY
-0.06

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. The correlation between historical prices or returns on SPY Inc and SP 500 is a relative statistical measure of the degree to which these equity instruments tend to move together. The correlation coefficient measures the extent to which returns on S&P 500 are associated (or correlated) with SPY. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of SPY Inc has no effect on the direction of SP 500 i.e. SP 500 and SPY go up and down completely randomly.
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Pair indicators

Mean
Deviation
Jensen
Alpha
Sortino
Ratio
Treynor
Ratio
Semi
Deviation
Information
Ratio
Expected
Shortfall
Potential
Upside
Value
At Risk
Maximum
Drawdown
 0.41  0.00 (0.07) 0.00  0.00 (0.04)(0.55) 1.11 (0.35) 2.75 
 1.45 (0.59) 0.00  1.20  0.00 (0.30) 0.00  0.00  0.00  0.00 

Comparative Volatility

 Predicted Return Density 
Benchmark  Embed   Returns