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Benchmark  United States  NYSE  10,920   29.756 Index Moved Up 0.27%  


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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   
 
Change Benchmark  Embed   Timeline 
Considering 30-days investment horizon, SPDR is expected to generate 2.77 times less return on investment than SP 500. But when comparing it to its historical volatility, SPDR SP 500 ETF is 1.01 times less risky than SP 500. It trades about 0.01 of its potential returns per unit of risk. S&P 500 is currently generating about 0.03 of returns per unit of risk over similar time horizon. If you would invest  206,941  in S&P 500 on November 22, 2014 and sell it today you would earn a total of  913  from holding S&P 500 or generate 0.44% return on investment over 30 days.

Correlation Coefficient

0.99
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
    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 ETF research report. Reports are available in pdf format. Click SPDR Report to view
  
SPDR Report  

Historical Performance Chart

Comparative Volatility

Predicted Return Density
 
Change 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
Guggenheim SP 500 Equal Weight ETF vs. SPDR SP 500 ETF
Vanguard Large Cap 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

Vanguard US Total Market ETF vs. S&P 500
Vanguard Canadian Aggregate Bond ETF vs. S&P 500
iShares National AMTFree Muni Bond vs. S&P 500
Vanguard FTSE Emerging Markets ETF vs. S&P 500
Vanguard ShortTerm InflProt Secs ETF vs. S&P 500
Vanguard MidCap Value ETF vs. S&P 500
Vanguard FTSE Developed Markets ETF vs. S&P 500
Vanguard SmallCap Value ETF vs. S&P 500
Vanguard Value ETF vs. S&P 500
iShares iBoxx Invst Grade Crp Bond vs. S&P 500


 

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