Benchmark  United States  NYSE  10,657   65.3359  -0.6094% 


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Correlation analysis between SPDR and SP 500

    
  
Summary
Performance
TechnicalsRecomendation
   Backtest
   Forecast
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   
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 is 1.0 times more volatile than S&P 500. It trades about 0.05 of its potential returns per unit of risk. S&P 500 is currently generating about 0.04 per unit of risk. If you would invest  20,542  in SPDR SP 500 ETF on June 28, 2015 and sell it today you would earn a total of  137.00  from holding SPDR SP 500 ETF or generate 0.67% 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
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Historical Performance Chart

Comparative Volatility

Predicted Return Density  
Benchmark  Embed   Returns 

SPDR SP 500 ETF

  

Risk-adjusted Performance

Compared to the overall equity markets, risk-adjusted returns on investments in SPDR SP 500 ETF are ranked lower than 3 (%) 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
iShares Core SP 500 vs. SPDR SP 500 ETF
Vanguard Dividend Appreciation ETF vs. SPDR SP 500 ETF
iShares Russell 1000 vs. SPDR SP 500 ETF
Guggenheim SP 500 Equal Weight ETF vs. SPDR SP 500 ETF
Vanguard Large Cap ETF vs. SPDR SP 500 ETF
iShares Russell 3000 vs. SPDR SP 500 ETF
iShares SP 100 vs. SPDR SP 500 ETF
PowerShares Buyback Achievers ETF vs. SPDR SP 500 ETF
  

S&P 500

  

Pair trading matchups for SP 500

The J M Smucker Company vs. S&P 500
Sysco Corporation vs. S&P 500
EQT Corporation vs. S&P 500
Intel Corporation vs. S&P 500
International Bancshares Corporation vs. S&P 500
Capitol Federal Financial Inc vs. S&P 500
Susquehanna Bancshares Inc vs. S&P 500
Electronic Arts Inc vs. S&P 500
Halliburton Company vs. S&P 500
Cisco Systems Inc vs. S&P 500
Prologis Inc vs. S&P 500
Leggett Platt Incorporated vs. S&P 500