Correlation Between US Treasury and SPDR Barclays
Can any of the company-specific risk be diversified away by investing in both US 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 US 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 US Treasury 12 and SPDR Barclays Long, you can compare the effects of market volatilities on US 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 US Treasury with a short position of SPDR Barclays. Check out your portfolio center. Please also check ongoing floating volatility patterns of US Treasury and SPDR Barclays.
Diversification Opportunities for US Treasury and SPDR Barclays
-0.58 | Correlation Coefficient |
Excellent diversification
The 3 months correlation between OBIL and SPDR is -0.58. Overlapping area represents the amount of risk that can be diversified away by holding US Treasury 12 and SPDR Barclays Long in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on SPDR Barclays Long 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 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 Long has no effect on the direction of US Treasury i.e., US Treasury and SPDR Barclays go up and down completely randomly.
Pair Corralation between US Treasury and SPDR Barclays
Given the investment horizon of 90 days US Treasury is expected to generate 12.42 times less return on investment than SPDR Barclays. But when comparing it to its historical volatility, US Treasury 12 is 30.83 times less risky than SPDR Barclays. It trades about 0.39 of its potential returns per unit of risk. SPDR Barclays Long is currently generating about 0.16 of returns per unit of risk over similar time horizon. If you would invest 2,701 in SPDR Barclays Long on September 2, 2024 and sell it today you would earn a total of 86.00 from holding SPDR Barclays Long or generate 3.18% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Against |
| Strength | Very Weak |
| Accuracy | 100.0% |
| Values | Daily Returns |
US Treasury 12 vs. SPDR Barclays Long
Performance |
| Timeline |
| US Treasury 12 |
| SPDR Barclays Long |
US Treasury and SPDR Barclays Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with US Treasury and SPDR Barclays
The main advantage of trading using opposite US Treasury and SPDR Barclays positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if US 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.| US Treasury vs. Rbb Fund | US Treasury vs. Rbb Fund | US Treasury vs. Rbb Fund | US Treasury vs. US Treasury 6 |
| SPDR Barclays vs. SPDR Barclays Short | SPDR Barclays vs. SPDR Portfolio Intermediate | SPDR Barclays vs. SPDR Barclays Long | 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 Idea Analyzer module to analyze all characteristics, volatility and risk-adjusted return of Macroaxis ideas.
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