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 Short, 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
0.74 | Correlation Coefficient |
Poor diversification
The 3 months correlation between IShares and SPDR is 0.74. Overlapping area represents the amount of risk that can be diversified away by holding iShares Treasury Bond and SPDR Barclays Short in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on SPDR Barclays Short 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 Short 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
Given the investment horizon of 90 days iShares Treasury Bond is expected to under-perform the SPDR Barclays. In addition to that, IShares Treasury is 3.69 times more volatile than SPDR Barclays Short. It trades about -0.11 of its total potential returns per unit of risk. SPDR Barclays Short is currently generating about -0.08 per unit of volatility. If you would invest 2,904 in SPDR Barclays Short on August 24, 2024 and sell it today you would lose (4.00) from holding SPDR Barclays Short or give up 0.14% of portfolio value over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Significant |
| Accuracy | 100.0% |
| Values | Daily Returns |
iShares Treasury Bond vs. SPDR Barclays Short
Performance |
| Timeline |
| iShares Treasury Bond |
| SPDR Barclays Short |
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. iShares MBS ETF | IShares Treasury vs. iShares Core Total | IShares Treasury vs. iShares 3 7 Year | IShares Treasury vs. iShares 10 20 Year |
| SPDR Barclays vs. SPDR Barclays Long | SPDR Barclays vs. SPDR Portfolio Intermediate | SPDR Barclays vs. SPDR Barclays Short | SPDR Barclays vs. SPDR Barclays Intermediate |
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 Portfolio Dashboard module to portfolio dashboard that provides centralized access to all your investments.
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