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In class, we talked about SPY, which tracks the daily performance of the S&P 500 index. SSO is an ETF that yields two times (2x)

  1. In class, we talked about SPY, which tracks the daily performance of the S&P 500 index. SSO is an ETF that yields two times (2x) the daily performance of the S&P 500 Index. What could be the correlation value between SPY and SSO?

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    cov(return on SPY, return on SSO)/ (var(return on SPY)*var(return on SSO))

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