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Benchmark  United States  NYSE  10,537   154.414 Index Moved Down -1.44%  


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Collecting data for SPY and ^GSPC ...

Correlation analysis between SPDR and SP 500 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 (%)
GSPC   SPY   
 
Benchmark  Embed   Timeline 
Considering 30-days investment horizon, SPDR SP 500 ETF is expected to generate 1.03 times more return on investment than SP 500. However, SPDR is 1.03 times more volatile than S&P 500. It trades about -0.13 of its potential returns per unit of risk. S&P 500 is currently generating about -0.14 per unit of risk. If you would invest  20,543  in SPDR SP 500 ETF on January 1, 2015 and sell it today you would lose (598) from holding SPDR SP 500 ETF or give up 2.91% of portfolio value over 30 days.

Correlation Coefficient

0.38

Parameters

Time Period1 Month [change]
DirectionPositive ^GSPC Moved Up vs SPY
StrengthVery Weak
Accuracy95.24%
ValuesDaily Returns

Diversification

Weak diversification

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
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Historical Performance Chart

Comparative Volatility

Predicted Return Density
 
Benchmark  Embed   Returns 

SPDR SP 500 ETF

  
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 Total Stock Market ETF vs. SPDR SP 500 ETF
iShares Core SP 500 vs. SPDR SP 500 ETF
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
Guggenheim SP 500 Equal Weight ETF vs. SPDR SP 500 ETF
iShares Russell 3000 vs. SPDR SP 500 ETF
iShares SP 100 vs. SPDR SP 500 ETF
PowerShares Buyback Achievers ETF vs. SPDR SP 500 ETF
  

S&P 500

  

Pair trading matchups for SP 500

ICON Public Limited Company vs. S&P 500
Pfizer Inc vs. S&P 500
iShares 20 Year Treasury Bond vs. S&P 500
Aetna Inc vs. S&P 500
Teva Pharmaceutical Industries Limited vs. S&P 500
Lannett Company Inc vs. S&P 500
Health Net Inc vs. S&P 500
PAREXEL International Corporation vs. S&P 500
Central Garden Pet Company vs. S&P 500
Imagenetix Inc vs. S&P 500
Cerner Corporation vs. S&P 500
Ingredion Incorporated vs. S&P 500


 

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