Macroaxis: Personalized Investing

Personalized Investing and

Digital Wealth Optimization

Benchmark  United States  NYSE  10,919   70.4043 Index Moved Down -0.6407%  

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 ETF 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 ETF  vs   S&P 500
Daily Returns (%)
Benchmark  Embed   Timeline 
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 1.03 times less risky than SP 500. The etf trades about -0.11 of its potential returns per unit of risk. The S&P 500 is currently generating about -0.08 of returns per unit of risk over similar time horizon. If you would invest  211,739  in S&P 500 on March 1, 2015 and sell it today you would lose (3,535) from holding S&P 500 or give up 1.67% of portfolio value over 30 days.

Correlation Coefficient



Time Period1 Month [change]
DirectionPositive ^GSPC Moved Up vs SPY
StrengthVery Strong
ValuesDaily Returns


No risk reduction

Overlapping area represents amount of risk that can be diversified away by holding SPDR S&P 500 ETF and S&P 500 in the same portfolio assuming nothing else is changed

Historical Performance Chart

Comparative Volatility

Predicted Return Density  
Benchmark  Embed   Returns 


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

Vanguard Dividend Appreciation ETF vs. SPDR SP 500 ETF
iShares Russell 1000 vs. SPDR SP 500 ETF
Vanguard Large Cap ETF vs. SPDR SP 500 ETF
iShares Russell 3000 vs. SPDR SP 500 ETF
iShares SP 100 vs. SPDR SP 500 ETF

S&P 500


Pair trading matchups for SP 500

National Penn Bancshares Inc vs. S&P 500
Investors Bancorp Inc vs. S&P 500
Republic Services Inc vs. S&P 500
HewlettPackard Company vs. S&P 500
STI ETF vs. S&P 500
Centrus Energy Corp vs. S&P 500
Cerner Corporation vs. S&P 500
Teradata Corporation vs. S&P 500
Visa Inc vs. S&P 500
AutoNation Inc vs. S&P 500
Apartment Investment and Management Company vs. S&P 500
Pharmacyclics Inc vs. S&P 500