Pair Correlation Between SPDR SP 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 SP 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 SP with a short position of SP 500. Please also check ongoing floating volatility patterns of SPDR SP and SP 500.
 SPDR SP 500 ETF  vs   S&P 500
 Daily Returns (%) 
Benchmark  Embed   Timeline 
Considering 30-days investment horizon, SPDR SP is expected to generate 1.19 times less return on investment than SP 500. But when comparing it to its historical volatility, SPDR SP 500 ETF is 1.01 times less risky than SP 500. It trades about 0.0 of its potential returns per unit of risk. S&P 500 is currently generating about 0.0 of returns per unit of risk over similar time horizon. If you would invest  209,933  in S&P 500 on June 1, 2016 and sell it today you would lose (40.02) from holding S&P 500 or give up 0.02% of portfolio value over 30 days.

Correlation Coefficient

0.98

Parameters

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

Diversification

Almost no diversification

Overlapping area represents amount of risk that can be diversified away by holding SPDR SP 500 ETF and S&P 500 in the same portfolio assuming nothing else is changed
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Mean
Deviation
Jensen
Alpha
Sortino
Ratio
Treynor
Ratio
Semi
Deviation
Information
Ratio
Expected
Shortfall
Potential
Upside
Value
At Risk
Maximum
Drawdown
 0.80 (0.01) 0.00 (0.13) 0.00  0.02  0.00  1.70 (1.79) 4.89 
 0.72  0.00  0.00  0.00  0.00 (0.02) 0.00  1.70 (1.80) 4.93 

Comparative Volatility

 Predicted Return Density 
Benchmark  Embed   Returns 

SPDR SP 500

  

Risk-adjusted Performance

Over the last 30 days SPDR SP 500 ETF has generated negative risk-adjusted returns adding no value to investors with long positions.

Pair trading matchups for SPDR SP

  

S&P 500

  

Pair trading matchups for SP 500