Correlation Between US Treasury and IShares Russell
Can any of the company-specific risk be diversified away by investing in both US Treasury and IShares Russell 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 Russell 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 Russell 2000, you can compare the effects of market volatilities on US Treasury and IShares Russell 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 Russell. Check out your portfolio center. Please also check ongoing floating volatility patterns of US Treasury and IShares Russell.
Diversification Opportunities for US Treasury and IShares Russell
-0.28 | Correlation Coefficient |
Very good diversification
The 3 months correlation between OBIL and IShares is -0.28. Overlapping area represents the amount of risk that can be diversified away by holding US Treasury 12 and iShares Russell 2000 in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on iShares Russell 2000 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 Russell. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of iShares Russell 2000 has no effect on the direction of US Treasury i.e., US Treasury and IShares Russell go up and down completely randomly.
Pair Corralation between US Treasury and IShares Russell
Given the investment horizon of 90 days US Treasury is expected to generate 10.51 times less return on investment than IShares Russell. But when comparing it to its historical volatility, US Treasury 12 is 50.94 times less risky than IShares Russell. It trades about 0.6 of its potential returns per unit of risk. iShares Russell 2000 is currently generating about 0.12 of returns per unit of risk over similar time horizon. If you would invest 29,125 in iShares Russell 2000 on November 9, 2024 and sell it today you would earn a total of 828.00 from holding iShares Russell 2000 or generate 2.84% 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 Russell 2000
Performance |
| Timeline |
| US Treasury 12 |
| iShares Russell 2000 |
US Treasury and IShares Russell Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with US Treasury and IShares Russell
The main advantage of trading using opposite US Treasury and IShares Russell positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if US Treasury position performs unexpectedly, IShares Russell 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 Russell will offset losses from the drop in IShares Russell'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 Russell vs. iShares Russell 2000 | IShares Russell vs. iShares Russell Mid Cap | IShares Russell vs. iShares Russell 1000 | IShares Russell vs. iShares Russell 1000 |
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 Piotroski F Score module to get Piotroski F Score based on the binary analysis strategy of nine different fundamentals.
Other Complementary Tools
| Correlation Analysis Reduce portfolio risk simply by holding instruments which are not perfectly correlated | |
| Portfolio Anywhere Track or share privately all of your investments from the convenience of any device | |
| Portfolio File Import Quickly import all of your third-party portfolios from your local drive in csv format | |
| My Watchlist Analysis Analyze my current watchlist and to refresh optimization strategy. Macroaxis watchlist is based on self-learning algorithm to remember stocks you like | |
| Cryptocurrency Center Build and monitor diversified portfolio of extremely risky digital assets and cryptocurrency |