Correlation Between US Treasury and Stone Ridge
Can any of the company-specific risk be diversified away by investing in both US Treasury and Stone Ridge 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 Stone Ridge 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 Stone Ridge 2054, you can compare the effects of market volatilities on US Treasury and Stone Ridge 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 Stone Ridge. Check out your portfolio center. Please also check ongoing floating volatility patterns of US Treasury and Stone Ridge.
Diversification Opportunities for US Treasury and Stone Ridge
0.08 | Correlation Coefficient |
Significant diversification
The 3 months correlation between OBIL and Stone is 0.08. Overlapping area represents the amount of risk that can be diversified away by holding US Treasury 12 and Stone Ridge 2054 in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Stone Ridge 2054 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 Stone Ridge. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Stone Ridge 2054 has no effect on the direction of US Treasury i.e., US Treasury and Stone Ridge go up and down completely randomly.
Pair Corralation between US Treasury and Stone Ridge
Given the investment horizon of 90 days US Treasury 12 is expected to generate 0.09 times more return on investment than Stone Ridge. However, US Treasury 12 is 10.83 times less risky than Stone Ridge. It trades about 0.38 of its potential returns per unit of risk. Stone Ridge 2054 is currently generating about -0.22 per unit of risk. If you would invest 4,803 in US Treasury 12 on August 25, 2024 and sell it today you would earn a total of 201.00 from holding US Treasury 12 or generate 4.18% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Insignificant |
| Accuracy | 24.45% |
| Values | Daily Returns |
US Treasury 12 vs. Stone Ridge 2054
Performance |
| Timeline |
| US Treasury 12 |
| Stone Ridge 2054 |
US Treasury and Stone Ridge Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with US Treasury and Stone Ridge
The main advantage of trading using opposite US Treasury and Stone Ridge positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if US Treasury position performs unexpectedly, Stone Ridge 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 Stone Ridge will offset losses from the drop in Stone Ridge's long position.| US Treasury vs. SPDR Barclays Short | US Treasury vs. iShares Agency Bond | US Treasury vs. Rbb Fund | US Treasury vs. Bondbloxx ETF Trust |
| Stone Ridge vs. Global X Funds | Stone Ridge vs. US Treasury 12 | Stone Ridge vs. Tidal Trust II | Stone Ridge vs. Franklin Liberty Treasury |
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 ETFs module to find actively traded Exchange Traded Funds (ETF) from around the world.
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