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Benchmark  United States  NYSE  11,016   58.574 Index Moved Up 0.53%  

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 (%)
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Considering 30-days investment horizon, SPDR SP 500 is expected to generate 0.96 times more return on investment than SP 500. However, SPDR SP 500 is 1.04 times less risky than SP 500. It trades about 0.12 of its potential returns per unit of risk. S&P 500 is currently generating about 0.09 per unit of risk. If you would invest  19,588  in SPDR SP 500 on June 23, 2014 and sell it today you would earn a total of  232.00  from holding SPDR SP 500 or generate 1.18% return on investment over 30 days.


No risk reduction
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

Correlation Coefficient

Time Period1 Month [change]
DirectionPositive ^GSPC Moved Up vs SPY
StrengthVery Strong
ValuesDaily Returns
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Historical Performance Chart

Comparative Volatility

Predicted Return Density


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

Pair trading matchups for SPDR

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Guggenheim SP 500 Equal Weight vs. SPDR SP 500
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S&P 500


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