SPY - SPX Residuals

I noticed this yesterday.

If you buy and hold the SPY ETF every month and take away the corresponding SPX index returns.

The residuals are highest in 2001 and 2008.

Try it here.

Code:

weight.AMEX_SPY = 1; weight.INDEX_GSPC = -1;

Add "AMEX_SPY" from Google and "INDEX_GSPC" from Yahoo!