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Benchmark  United States  NYSE  10,572   131.373 Index Moved Down -1.23%  


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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 under-perform the SP 500. In addition to that, SPDR is 1.02 times more volatile than S&P 500. It trades about -0.22 of its total potential returns per unit of risk. S&P 500 is currently generating about -0.2 per unit of volatility. If you would invest  200,228  in S&P 500 on September 2, 2014 and sell it today you would lose (5,612) from holding S&P 500 or give up 2.8% of portfolio value over 30 days.

Correlation Coefficient

0.68
Parameters
Time Period1 Month [change]
DirectionPositive ^GSPC Moved Up vs SPY
StrengthSignificant
Accuracy95.45%
ValuesDaily Returns

Diversification

Poor diversification
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
    Optimize
Investing ideals could easily outperform a given market if properly optimized
Get S&P 500 research report. Reports are available in pdf format. Click SP 500 Report to view
  
SP 500 Report  
Get SPDR SP 500 research report. Reports are available in pdf format. Click SPDR Report to view
  
SPDR Report  

Historical Performance Chart

Comparative Volatility

Predicted Return Density
 
Embed  
Returns:   
GSPC   SPY   

SPDR SP 500

  
Over the last 30 days SPDR SP 500 has generated negative risk-adjusted returns adding no value to investors with long positions.
  

S&P 500

  

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Phillips 66 Partners LP vs. S&P 500


 

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