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 1.0 times more return on investment than SP 500. However, SPDR SP 500 ETF is 1.0 times less risky than SP 500. It trades about -0.15 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  21,082  in SPDR SP 500 ETF on July 30, 2015 and sell it today you would lose (1,154) from holding SPDR SP 500 ETF or give up 5.47% of portfolio value over 30 days.

Correlation Coefficient

1.0

Parameters

Time Period1 Month [change]
DirectionPositive ^GSPC Moved Up vs SPY
StrengthVery Strong
Accuracy100.0%
ValuesDaily Returns
  

Diversification

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
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Historical Performance Chart

Comparative Volatility

Predicted Return Density  
Benchmark  Embed   Returns 

SPDR SP 500 ETF

  

Risk-adjusted Performance

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

S&P 500

  

Pair trading matchups for SP 500