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Benchmark  United States  NYSE  11,039   9.598 Index Moved Up 0.09%  


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Correlation analysis between SPDR and SP 500 Correlation analysis between SPDR and SP 500

   
Investment horizon:  
  30 Days    Login   to change
This module allows you to analyze existing cross correlation between SPDR SP 500 ETF and S&P 500. You can compare the effects of market volatilities on SPDR 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 SPDR with a short position of SP 500. Please also check ongoing floating volatility patterns of SPDR and SP 500.
 
 SPDR S&P 500 ETF  vs   S&P 500
Daily Returns (%)
GSPC   SPY   
 
Change Benchmark  Embed   Timeline 
Considering 30-days investment horizon, SPDR SP 500 ETF is expected to generate 1.0 times more return on investment than SP 500. However, SPDR SP 500 ETF is 1.0 times less risky than SP 500. It trades about 0.63 of its potential returns per unit of risk. S&P 500 is currently generating about 0.6 per unit of risk. If you would invest  19,616  in SPDR SP 500 ETF on October 27, 2014 and sell it today you would earn a total of  1,130  from holding SPDR SP 500 ETF or generate 5.76% return on investment over 30 days.

Correlation Coefficient

1.0
Parameters
Time Period1 Month [change]
DirectionPositive ^GSPC Moved Up vs SPY
StrengthVery Strong
Accuracy100.0%
ValuesDaily Returns

Diversification

No risk reduction
Overlapping area represents amount of risk that can be diversified away by holding SPDR S&P 500 ETF and S&P 500 in the same portfolio assuming nothing else is changed
    Optimize
Investing ideals could easily outperform a given market if properly optimized
Get S&P 500 research report. Reports are available in pdf format. Click SP 500 Report to view
  
SP 500 Report  
Get SPDR SP 500 ETF research report. Reports are available in pdf format. Click SPDR Report to view
  
SPDR Report  

Historical Performance Chart

Comparative Volatility

Predicted Return Density
 
Change Benchmark  Embed   Returns 

SPDR SP 500 ETF

  
Compared with the overall equity markets, risk-adjusted returns on investments in SPDR SP 500 ETF are ranked lower than 36 (%) of all global equities and portfolios over the last 30 days.

Pair trading matchups for SPDR

Vanguard Total Stock Market ETF vs. SPDR SP 500 ETF
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iShares Russell 1000 vs. SPDR SP 500 ETF
PowerShares Buyback Achievers ETF vs. SPDR SP 500 ETF
  

S&P 500

  

Pair trading matchups for SP 500

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BMO Emerging Market Bnd Hdgd to CAD ETF vs. S&P 500
iShares Core SPTSX Capped Composite vs. S&P 500
iShares Core SP MidCap vs. S&P 500
The Goldman Sachs Group Inc vs. S&P 500
DaVita HealthCare Partners Inc vs. S&P 500
Forest Laboratories Inc vs. S&P 500


 

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