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6/15/12

- Spread Analyzer

Spread Analyzer
General Stats
l(1) Random Walk: TRUE Not likely Cointegration Level %: meanreverting Pearson Correlation % 83.08% (Price): Beta: 5.46 Average Spread: -12.14 Current Spread: 1.00 Dollar-Neutral Ratio 6.04

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Average Price Ratio: 5.44 Beta 1 Beta 2 0.99 0.56

Spread Mean: -12.14 Spread Median: -13.25 Spread Maximum: 1.39 Spread Minimum: -23.35 Half Life: 21 Days Current ZScore: 2.21 $ Value of 1 ZScore: 5.94

Criteria
First Leg: SPY Second Leg: KR Start Date: 5/2/2010 End Date: 5/2/2012 Benchmark: ^GSPC Frequency: d Leg 1 Multiplier: 1 Leg 2 Multiplier: 6

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6/15/12

- Spread Analyzer

Another Interesting Spread


Have you looked at XLF/JPM? Another user rated this spread: Trading 5, Value 4, Statistical 3

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