Correlation Between NYSE Composite and US Treasury
Can any of the company-specific risk be diversified away by investing in both NYSE Composite and US Treasury 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 NYSE Composite and US Treasury into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between NYSE Composite and US Treasury 30, you can compare the effects of market volatilities on NYSE Composite and US Treasury 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 NYSE Composite with a short position of US Treasury. Check out your portfolio center. Please also check ongoing floating volatility patterns of NYSE Composite and US Treasury.
Diversification Opportunities for NYSE Composite and US Treasury
-0.73 | Correlation Coefficient |
Pay attention - limited upside
The 3 months correlation between NYSE and UTHY is -0.73. Overlapping area represents the amount of risk that can be diversified away by holding NYSE Composite and US Treasury 30 in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on US Treasury 30 and NYSE Composite 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 NYSE Composite are associated (or correlated) with US Treasury. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of US Treasury 30 has no effect on the direction of NYSE Composite i.e., NYSE Composite and US Treasury go up and down completely randomly.
Pair Corralation between NYSE Composite and US Treasury
Assuming the 90 days trading horizon NYSE Composite is expected to generate 0.71 times more return on investment than US Treasury. However, NYSE Composite is 1.41 times less risky than US Treasury. It trades about 0.11 of its potential returns per unit of risk. US Treasury 30 is currently generating about -0.02 per unit of risk. If you would invest 1,511,767 in NYSE Composite on August 26, 2024 and sell it today you would earn a total of 500,578 from holding NYSE Composite or generate 33.11% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Against |
| Strength | Weak |
| Accuracy | 100.0% |
| Values | Daily Returns |
NYSE Composite vs. US Treasury 30
Performance |
| Timeline |
NYSE Composite and US Treasury Volatility Contrast
Predicted Return Density |
| Returns |
NYSE Composite
Pair trading matchups for NYSE Composite
US Treasury 30
Pair trading matchups for US Treasury
Pair Trading with NYSE Composite and US Treasury
The main advantage of trading using opposite NYSE Composite and US Treasury positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if NYSE Composite position performs unexpectedly, US Treasury 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 US Treasury will offset losses from the drop in US Treasury's long position.| NYSE Composite vs. Glacier Bancorp | NYSE Composite vs. LithiumBank Resources Corp | NYSE Composite vs. Stepstone Group | NYSE Composite vs. Pintec Technology Holdings |
| US Treasury vs. iShares Treasury Floating | US Treasury vs. iShares iBonds Dec | US Treasury vs. iShares iBonds Dec | US Treasury vs. iShares 0 3 Month |
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 FinTech Suite module to use AI to screen and filter profitable investment opportunities.
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