Correlation Between IShares Treasury and SPDR Barclays
Can any of the company-specific risk be diversified away by investing in both IShares Treasury and SPDR Barclays at the same time? Although using a correlation coefficient on its own may not help to predict future stock returns, this module helps to understand the diversifiable risk of combining IShares Treasury and SPDR Barclays into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between iShares Treasury Bond and SPDR Barclays 10, you can compare the effects of market volatilities on IShares Treasury and SPDR Barclays 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 IShares Treasury with a short position of SPDR Barclays. Check out your portfolio center. Please also check ongoing floating volatility patterns of IShares Treasury and SPDR Barclays.
Diversification Opportunities for IShares Treasury and SPDR Barclays
1.0 | Correlation Coefficient |
No risk reduction
The 3 months correlation between IShares and SPDR is 1.0. Overlapping area represents the amount of risk that can be diversified away by holding iShares Treasury Bond and SPDR Barclays 10 in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on SPDR Barclays 10 and IShares Treasury 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 iShares Treasury Bond are associated (or correlated) with SPDR Barclays. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of SPDR Barclays 10 has no effect on the direction of IShares Treasury i.e., IShares Treasury and SPDR Barclays go up and down completely randomly.
Pair Corralation between IShares Treasury and SPDR Barclays
Assuming the 90 days trading horizon iShares Treasury Bond is expected to generate 1.15 times more return on investment than SPDR Barclays. However, IShares Treasury is 1.15 times more volatile than SPDR Barclays 10. It trades about 0.08 of its potential returns per unit of risk. SPDR Barclays 10 is currently generating about 0.09 per unit of risk. If you would invest 460.00 in iShares Treasury Bond on September 1, 2024 and sell it today you would earn a total of 8.00 from holding iShares Treasury Bond or generate 1.74% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Very Strong |
| Accuracy | 100.0% |
| Values | Daily Returns |
iShares Treasury Bond vs. SPDR Barclays 10
Performance |
| Timeline |
| iShares Treasury Bond |
| SPDR Barclays 10 |
IShares Treasury and SPDR Barclays Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with IShares Treasury and SPDR Barclays
The main advantage of trading using opposite IShares Treasury and SPDR Barclays positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if IShares Treasury position performs unexpectedly, SPDR Barclays can make up some of the losses. Pair trading also minimizes risk from directional movements in the market. For example, if an entire industry or sector drops because of unexpected headlines, the short position in SPDR Barclays will offset losses from the drop in SPDR Barclays' long position.| IShares Treasury vs. WisdomTree Natural Gas | IShares Treasury vs. WisdomTree Natural Gas | IShares Treasury vs. Leverage Shares 2x | IShares Treasury vs. WisdomTree Silver 3x |
| SPDR Barclays vs. SPDR Dow Jones | SPDR Barclays vs. SPDR SP Dividend | SPDR Barclays vs. SPDR Barclays Euro | SPDR Barclays vs. SPDR SP Consumer |
Check out your portfolio center.Note that this page's information should be used as a complementary analysis to find the right mix of equity instruments to add to your existing portfolios or create a brand new portfolio. You can also try the Performance Analysis module to check effects of mean-variance optimization against your current asset allocation.
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