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
SPDR SP 500 ETF Trust vs S&P 500
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 1.06 times more volatile than S&P 500. It trades about -0.09 of its total potential returns per unit of risk. S&P 500 is currently generating about -0.07 per unit of volatility. If you would invest 236,381 in S&P 500 on February 23, 2017 and sell it today you would lose (1,947) from holding S&P 500 or give up 0.82% of portfolio value over 30 days.
|Time Period||1 Month [change]|
Very weak diversification
Overlapping area represents the 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.
Over the last 30 days SPDR SP 500 ETF Trust has generated negative risk-adjusted returns adding no value to investors with long positions.