Correlation Between SPDR Barclays and IShares Treasury
Can any of the company-specific risk be diversified away by investing in both SPDR Barclays and IShares Treasury 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 SPDR Barclays and IShares Treasury into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between SPDR Barclays Short and iShares Treasury Bond, you can compare the effects of market volatilities on SPDR Barclays and IShares Treasury 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 SPDR Barclays with a short position of IShares Treasury. Check out your portfolio center. Please also check ongoing floating volatility patterns of SPDR Barclays and IShares Treasury.
Diversification Opportunities for SPDR Barclays and IShares Treasury
0.81 | Correlation Coefficient |
Very poor diversification
The 3 months correlation between SPDR and IShares is 0.81. Overlapping area represents the amount of risk that can be diversified away by holding SPDR Barclays Short and iShares Treasury Bond in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on iShares Treasury Bond and SPDR Barclays 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 SPDR Barclays Short are associated (or correlated) with IShares Treasury. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of iShares Treasury Bond has no effect on the direction of SPDR Barclays i.e., SPDR Barclays and IShares Treasury go up and down completely randomly.
Pair Corralation between SPDR Barclays and IShares Treasury
Given the investment horizon of 90 days SPDR Barclays Short is expected to generate 0.37 times more return on investment than IShares Treasury. However, SPDR Barclays Short is 2.67 times less risky than IShares Treasury. It trades about 0.11 of its potential returns per unit of risk. iShares Treasury Bond is currently generating about 0.02 per unit of risk. If you would invest 2,684 in SPDR Barclays Short on August 24, 2024 and sell it today you would earn a total of 216.00 from holding SPDR Barclays Short or generate 8.05% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Strong |
| Accuracy | 100.0% |
| Values | Daily Returns |
SPDR Barclays Short vs. iShares Treasury Bond
Performance |
| Timeline |
| SPDR Barclays Short |
| iShares Treasury Bond |
SPDR Barclays and IShares Treasury Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with SPDR Barclays and IShares Treasury
The main advantage of trading using opposite SPDR Barclays and IShares Treasury positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if SPDR Barclays position performs unexpectedly, IShares Treasury 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 Treasury will offset losses from the drop in IShares Treasury's long position.| SPDR Barclays vs. SPDR Barclays Long | SPDR Barclays vs. SPDR Portfolio Intermediate | SPDR Barclays vs. SPDR Barclays Short | SPDR Barclays vs. SPDR Barclays Intermediate |
| IShares Treasury vs. iShares MBS ETF | IShares Treasury vs. iShares Core Total | IShares Treasury vs. iShares 3 7 Year | IShares Treasury vs. iShares 10 20 Year |
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 Risk-Return Analysis module to view associations between returns expected from investment and the risk you assume.
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