Pair Correlation Between SPDR SP and SP 500

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. See also your portfolio center. Please also check ongoing floating volatility patterns of SPDR SP and SP 500.
 Time Horizon     30 Days    Login   to change
Symbolsvs

SPDR SP 500 ETF  vs.  S&P 500

 Performance (%) 
      Timeline 

Pair Volatility

Considering 30-days investment horizon, SPDR SP 500 ETF is expected to under-perform the SP 500. But the etf apears to be less risky and, when comparing its historical volatility, SPDR SP 500 ETF is 1.17 times less risky than SP 500. The etf trades about -0.02 of its potential returns per unit of risk. The S&P 500 is currently generating about -0.01 of returns per unit of risk over similar time horizon. If you would invest  271,626  in S&P 500 on March 21, 2018 and sell it today you would lose (2,313)  from holding S&P 500 or give up 0.85% of portfolio value over 30 days.

Pair Corralation between SPDR SP and SP 500

0.1
Time Period2 Months [change]
DirectionPositive 
StrengthInsignificant
Accuracy86.0%
ValuesDaily Returns

Diversification

Average diversification

Overlapping area represents the 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. 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 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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Comparative Volatility

 Predicted Return Density 
      Returns 

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WEN - USA Stock
The Wendys Company
Fama & French Restaurants Hotels Motels
Restaurants Hotels Motels
Fama & French Classification
RegionNorth America
ExchangeNASDAQ
$17.15

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