Pair Correlation Between SPDR SP and SP 500

This module allows you to analyze existing cross correlation between SPDR SP 500 ETF Trust 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. See also your portfolio center.Please also check ongoing floating volatility patterns of SPDR SP and SP 500.
Investment Horizon     30 Days    Login   to change
 SPDR SP 500 ETF Trust  vs   S&P 500
 Daily Returns (%) 
Benchmark  Embed   Timeline 

Pair Volatility

Considering 30-days investment horizon, SPDR SP 500 ETF Trust is expected to under-perform the SP 500. In addition to that, SPDR SP is 1.0 times more volatile than S&P 500. It trades about -0.1 of its total potential returns per unit of risk. S&P 500 is currently generating about -0.09 per unit of volatility. If you would invest  218,038  in S&P 500 on August 27, 2016 and sell it today you would lose (3,390) from holding S&P 500 or give up 1.55% of portfolio value over 30 days.
Correlation Coefficient
Pair Corralation between SPDR SP and SP 500
0.99

Parameters

Time Period1 Month [change]
DirectionPositive 
StrengthVery Strong
Accuracy100.0%
ValuesDaily Returns

Diversification

No risk reduction

Overlapping area represents amount of risk that can be diversified away by holding SPDR SP 500 ETF Trust and S&P 500 in the same portfolio assuming nothing else is changed. The correlation between historical prices or returns on SP 500 and SPDR SP 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 SPDR SP 500 ETF Trust 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 SPDR SP i.e. SPDR SP and SP 500 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
 0.53 (0.01) 0.00 (0.05) 0.00 (0.01) 0.00  1.12 (1.44) 2.89 
 0.52  0.00  0.00  0.00  0.00  0.0095  0.00  1.09 (1.48) 2.98 

Comparative Volatility

 Predicted Return Density 
Benchmark  Embed   Returns