6/15/12 - Spread Analyzer 1/2biggercapital.squarespace.com/spread-analyzer/
Spread Analyzer
VisualizeGeneral Stats
l(1) Random Walk:TRUECointegration Level %:Not likelymean-revertingPearson Correlation %(Price):83.08%Beta:5.46 Average Spread:-12.14Current Spread:1.00Dollar-Neutral Ratio6.04 Average Price Ratio:5.44Beta 10.99Beta 20.56Spread Mean:-12.14Spread Median:-13.25Spread Maximum:1.39Spread Minimum:-23.35Half Life:21 DaysCurrent ZScore:2.21$ Value of 1 ZScore:5.94
Criteria
First Leg:SPYSecond Leg:KRStart Date:5/2/2010End Date:5/2/2012Benchmark:^GSPCFrequency:dLeg 1 Multiplier:1Leg 2 Multiplier:6
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