Correlation Between US Treasury and SPDR FTSE
Can any of the company-specific risk be diversified away by investing in both US Treasury and SPDR FTSE 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 FTSE 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 FTSE International, you can compare the effects of market volatilities on US Treasury and SPDR FTSE 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 FTSE. Check out your portfolio center. Please also check ongoing floating volatility patterns of US Treasury and SPDR FTSE.
Diversification Opportunities for US Treasury and SPDR FTSE
-0.37 | Correlation Coefficient |
Very good diversification
The 3 months correlation between OBIL and SPDR is -0.37. Overlapping area represents the amount of risk that can be diversified away by holding US Treasury 12 and SPDR FTSE International in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on SPDR FTSE International 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 FTSE. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of SPDR FTSE International has no effect on the direction of US Treasury i.e., US Treasury and SPDR FTSE go up and down completely randomly.
Pair Corralation between US Treasury and SPDR FTSE
Given the investment horizon of 90 days US Treasury is expected to generate 6.53 times less return on investment than SPDR FTSE. But when comparing it to its historical volatility, US Treasury 12 is 30.22 times less risky than SPDR FTSE. It trades about 0.62 of its potential returns per unit of risk. SPDR FTSE International is currently generating about 0.13 of returns per unit of risk over similar time horizon. If you would invest 3,624 in SPDR FTSE International on November 8, 2024 and sell it today you would earn a total of 70.00 from holding SPDR FTSE International or generate 1.93% 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. SPDR FTSE International
Performance |
| Timeline |
| US Treasury 12 |
| SPDR FTSE International |
US Treasury and SPDR FTSE Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with US Treasury and SPDR FTSE
The main advantage of trading using opposite US Treasury and SPDR FTSE positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if US Treasury position performs unexpectedly, SPDR FTSE 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 FTSE will offset losses from the drop in SPDR FTSE's long position.| US Treasury vs. Rbb Fund | US Treasury vs. Rbb Fund | US Treasury vs. Rbb Fund | US Treasury vs. US Treasury 6 |
| SPDR FTSE vs. FT Vest Equity | SPDR FTSE vs. Zillow Group Class | SPDR FTSE vs. Northern Lights | SPDR FTSE vs. VanEck Vectors Moodys |
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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