Correlation Between US Treasury and IShares Treasury
Can any of the company-specific risk be diversified away by investing in both US Treasury and IShares 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 US Treasury and IShares Treasury into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between US Treasury 12 and iShares Treasury Bond, you can compare the effects of market volatilities on US Treasury and IShares 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 US Treasury with a short position of IShares Treasury. Check out your portfolio center. Please also check ongoing floating volatility patterns of US Treasury and IShares Treasury.
Diversification Opportunities for US Treasury and IShares Treasury
-0.21 | Correlation Coefficient |
Very good diversification
The 3 months correlation between OBIL and IShares is -0.21. Overlapping area represents the amount of risk that can be diversified away by holding US Treasury 12 and iShares Treasury Bond in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on iShares Treasury Bond and US 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 US Treasury 12 are associated (or correlated) with IShares Treasury. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of iShares Treasury Bond has no effect on the direction of US Treasury i.e., US Treasury and IShares Treasury go up and down completely randomly.
Pair Corralation between US Treasury and IShares Treasury
Given the investment horizon of 90 days US Treasury is expected to generate 5.59 times less return on investment than IShares Treasury. But when comparing it to its historical volatility, US Treasury 12 is 11.69 times less risky than IShares Treasury. It trades about 0.6 of its potential returns per unit of risk. iShares Treasury Bond is currently generating about 0.28 of returns per unit of risk over similar time horizon. If you would invest 2,231 in iShares Treasury Bond on November 9, 2024 and sell it today you would earn a total of 35.00 from holding iShares Treasury Bond or generate 1.57% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Against |
| Strength | Insignificant |
| Accuracy | 100.0% |
| Values | Daily Returns |
US Treasury 12 vs. iShares Treasury Bond
Performance |
| Timeline |
| US Treasury 12 |
| iShares Treasury Bond |
US Treasury and IShares Treasury Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with US Treasury and IShares Treasury
The main advantage of trading using opposite US Treasury and IShares Treasury positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if US Treasury position performs unexpectedly, IShares 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 IShares Treasury will offset losses from the drop in IShares Treasury's long position.| US Treasury vs. Rbb Fund | US Treasury vs. Rbb Fund | US Treasury vs. Rbb Fund | US Treasury vs. US Treasury 6 |
| 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 |
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 Commodity Directory module to find actively traded commodities issued by global exchanges.
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