Correlation Between IShares SP and Five Year
Can any of the company-specific risk be diversified away by investing in both IShares SP and Five Year 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 IShares SP and Five Year into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between iShares SP 100 and Five Year Treasury Note, you can compare the effects of market volatilities on IShares SP and Five Year 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 IShares SP with a short position of Five Year. Check out your portfolio center. Please also check ongoing floating volatility patterns of IShares SP and Five Year.
Diversification Opportunities for IShares SP and Five Year
-0.81 | Correlation Coefficient |
Pay attention - limited upside
The 3 months correlation between IShares and Five is -0.81. Overlapping area represents the amount of risk that can be diversified away by holding iShares SP 100 and Five Year Treasury Note in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Five Year Treasury and IShares SP 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 iShares SP 100 are associated (or correlated) with Five Year. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Five Year Treasury has no effect on the direction of IShares SP i.e., IShares SP and Five Year go up and down completely randomly.
Pair Corralation between IShares SP and Five Year
Considering the 90-day investment horizon iShares SP 100 is expected to generate 2.97 times more return on investment than Five Year. However, IShares SP is 2.97 times more volatile than Five Year Treasury Note. It trades about 0.13 of its potential returns per unit of risk. Five Year Treasury Note is currently generating about 0.0 per unit of risk. If you would invest 19,675 in iShares SP 100 on August 31, 2024 and sell it today you would earn a total of 9,340 from holding iShares SP 100 or generate 47.47% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Against |
| Strength | Significant |
| Accuracy | 97.14% |
| Values | Daily Returns |
iShares SP 100 vs. Five Year Treasury Note
Performance |
| Timeline |
| iShares SP 100 |
| Five Year Treasury |
IShares SP and Five Year Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with IShares SP and Five Year
The main advantage of trading using opposite IShares SP and Five Year positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if IShares SP position performs unexpectedly, Five Year 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 Five Year will offset losses from the drop in Five Year's long position.| IShares SP vs. iShares Russell 1000 | IShares SP vs. iShares SP Mid Cap | IShares SP vs. iShares Russell 3000 | IShares SP vs. iShares SP Mid Cap |
| Five Year vs. Micro Gold Futures | Five Year vs. Silver Futures | Five Year vs. Micro E mini Russell | Five Year vs. E Mini SP 500 |
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 Portfolio Analyzer module to portfolio analysis module that provides access to portfolio diagnostics and optimization engine.
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