Pair Correlation Between SPDR SP 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 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. Please also check ongoing floating volatility patterns of SPDR SP 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 generate 1.2 times more return on investment than SP 500. However, SPDR SP is 1.2 times more volatile than S&P 500. It trades about 0.14 of its potential returns per unit of risk. S&P 500 is currently generating about 0.15 per unit of risk. If you would invest  19,479  in SPDR SP 500 ETF on September 9, 2015 and sell it today you would earn a total of  637  from holding SPDR SP 500 ETF or generate 3.27% return on investment over 30 days.

Correlation Coefficient



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


Modest 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

Historical Performance Chart

Comparative Volatility

Predicted Return Density  
Benchmark  Embed   Returns 



Risk-adjusted Performance

Compared to the overall equity markets, risk-adjusted returns on investments in SPDR SP 500 ETF are ranked lower than 9 (%) of all global equities and portfolios over the last 30 days.

Pair trading matchups for SPDR SP


S&P 500


Pair trading matchups for SP 500