Correlation Analysis Between Nasdaq and SP 500

This module allows you to analyze existing cross correlation between Nasdaq and S&P 500. You can compare the effects of market volatilities on Nasdaq 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 Nasdaq with a short position of SP 500. See also your portfolio center. Please also check ongoing floating volatility patterns of Nasdaq and SP 500.
Horizon     30 Days    Login   to change
Symbolsvs

Nasdaq  vs.  S&P 500

 Performance (%) 
      Timeline 

Pair Volatility

Assuming 30 trading days horizon, Nasdaq is expected to generate 2.39 times less return on investment than SP 500. In addition to that, Nasdaq is 1.75 times more volatile than S&P 500. It trades about 0.04 of its total potential returns per unit of risk. S&P 500 is currently generating about 0.18 per unit of volatility. If you would invest  287,469  in S&P 500 on August 24, 2018 and sell it today you would earn a total of  5,390  from holding S&P 500 or generate 1.87% return on investment over 30 days.

Pair Corralation between Nasdaq and SP 500

0.0
Time Period1 Month [change]
DirectionFlat 
StrengthInsignificant
Accuracy100.0%
ValuesDaily Returns

Diversification

Pay attention

Overlapping area represents the amount of risk that can be diversified away by holding Nasdaq and S&P 500 in the same portfolio assuming nothing else is changed. The correlation between historical prices or returns on SP 500 and Nasdaq is a relative statistical measure of the degree to which these equity instruments tend to move together. The correlation coefficient measures the extent to which returns on Nasdaq are associated (or correlated) with SP 500. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of SP 500 has no effect on the direction of Nasdaq i.e. Nasdaq and SP 500 go up and down completely randomly.
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Comparative Volatility

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