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 Trust 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 SP 500 ETF Trust  vs   S&P 500
 Daily Returns (%) 
Benchmark  Embed   Timeline 

Pair Volatility

Considering 30-days investment horizon, SPDR SP 500 ETF Trust is expected to generate 0.99 times more return on investment than SP 500. However, SPDR SP 500 ETF Trust is 1.01 times less risky than SP 500. It trades about 0.08 of its potential returns per unit of risk. S&P 500 is currently generating about 0.05 per unit of risk. If you would invest  21,665  in SPDR SP 500 ETF Trust on July 25, 2016 and sell it today you would earn a total of  120.00  from holding SPDR SP 500 ETF Trust or generate 0.55% return on investment over 30 days.

Correlation Coefficient

0.93

Parameters

Time Period1 Month [change]
DirectionPositive 
StrengthVery Strong
Accuracy95.65%
ValuesDaily Returns
  

Diversification

Almost no diversification

Overlapping area represents amount of risk that can be diversified away by holding SPDR SP 500 ETF Trust and S&P 500 in the same portfolio assuming nothing else is changed
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Mean
Deviation
Jensen
Alpha
Sortino
Ratio
Treynor
Ratio
Semi
Deviation
Information
Ratio
Expected
Shortfall
Potential
Upside
Value
At Risk
Maximum
Drawdown
 0.24  0.01  0.05  0.52  0.28  0.06 (0.27) 0.46 (0.52) 1.33 
 0.23  0.00  0.03  0.00  0.28  0.03 (0.25) 0.47 (0.55) 1.41 

Comparative Volatility

 Predicted Return Density 
Benchmark  Embed   Returns 

SPDR SP 500

  

Risk-adjusted Performance

Compared to the overall equity markets, risk-adjusted returns on investments in SPDR SP 500 ETF Trust are ranked lower than 5 (%) of all global equities and portfolios over the last 30 days.

Pair trading matchups for SPDR SP

  

SP 500

  

Pair trading matchups for SP 500