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Benchmark  United States  NYSE  11,046   36.629 Index Moved Up 0.33%  


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Collecting data for SPY and ^GSPC ...

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 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  vs   S&P 500
Daily Returns (%)
GSPC   SPY   
 
Change Benchmark  Embed  Timeline 
Considering 30-days investment horizon, SPDR SP 500 is expected to generate 0.99 times more return on investment than SP 500. However, SPDR SP 500 is 1.01 times less risky than SP 500. It trades about 0.36 of its potential returns per unit of risk. S&P 500 is currently generating about 0.34 per unit of risk. If you would invest  19,389  in SPDR SP 500 on August 3, 2014 and sell it today you would earn a total of  682  from holding SPDR SP 500 or generate 3.52% 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 and S&P 500 in the same portfolio assuming nothing else is changed
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Investing ideals could easily outperform a given market if properly optimized
  
SP 500 Report  
  
SPDR Report  

Historical Performance Chart

Comparative Volatility

Predicted Return Density
 
Embed  
Returns:   
GSPC   SPY   

SPDR SP 500

  
Compared with the overall equity markets, risk-adjusted returns on investments in SPDR SP 500 are ranked lower than 20 (%) 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
iShares Core SP 500 vs. SPDR SP 500
Vanguard Dividend Apprec Idx ETF vs. SPDR SP 500
iShares Russell 1000 vs. SPDR SP 500
Vanguard Large Cap ETF vs. SPDR SP 500
Guggenheim SP 500 Equal Weight vs. SPDR SP 500
iShares Russell 3000 vs. SPDR SP 500
iShares SP 100 vs. SPDR SP 500
PowerShares Buyback Achievers vs. SPDR SP 500
  

S&P 500

  

Pair trading matchups for SP 500

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Harris Corporation vs. S&P 500
Kimco Realty Corporation vs. S&P 500
General Electric Company vs. S&P 500
Entergy Corporation vs. S&P 500
VF Corporation vs. S&P 500
Alcoa Inc vs. S&P 500
FedEx Corporation vs. S&P 500


 

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