Pair Correlation Between NYSE and SP 500

This module allows you to analyze existing cross correlation between NYSE and S&P 500. You can compare the effects of market volatilities on NYSE and SP 500 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 NYSE with a short position of SP 500. See also your portfolio center. Please also check ongoing floating volatility patterns of NYSE and SP 500.
Investment Horizon     30 Days    Login   to change
Symbolsvs
 NYSE  vs   S&P 500
 Performance (%) 
      Timeline 

Pair Volatility

Given the investment horizon of 30 days, NYSE is expected to under-perform the SP 500. But the index apears to be less risky and, when comparing its historical volatility, NYSE is 1.24 times less risky than SP 500. The index trades about -0.02 of its potential returns per unit of risk. The S&P 500 is currently generating about 0.14 of returns per unit of risk over similar time horizon. If you would invest  256,913  in S&P 500 on October 24, 2017 and sell it today you would earn a total of  2,795  from holding S&P 500 or generate 1.09% return on investment over 30 days.

Correlation Coefficient

Pair Corralation between NYSE and SP 500
0.43

Parameters

Time Period1 Month [change]
DirectionPositive 
StrengthWeak
Accuracy95.65%
ValuesDaily Returns

Diversification

Very weak diversification

Overlapping area represents the amount of risk that can be diversified away by holding NYSE and S&P 500 in the same portfolio assuming nothing else is changed. The correlation between historical prices or returns on SP 500 and NYSE 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 NYSE are associated (or correlated) with SP 500. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of SP 500 has no effect on the direction of NYSE i.e. NYSE and SP 500 go up and down completely randomly.
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Comparative Volatility

 Predicted Return Density 
      Returns