Correlation Between US Treasury and Vanguard Long
Can any of the company-specific risk be diversified away by investing in both US Treasury and Vanguard Long 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 Vanguard Long into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between US Treasury 30 and Vanguard Long Term Treasury, you can compare the effects of market volatilities on US Treasury and Vanguard Long 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 Vanguard Long. Check out your portfolio center. Please also check ongoing floating volatility patterns of US Treasury and Vanguard Long.
Diversification Opportunities for US Treasury and Vanguard Long
0.96 | Correlation Coefficient |
Almost no diversification
The 3 months correlation between UTHY and Vanguard is 0.96. Overlapping area represents the amount of risk that can be diversified away by holding US Treasury 30 and Vanguard Long Term Treasury in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Vanguard Long Term 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 30 are associated (or correlated) with Vanguard Long. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Vanguard Long Term has no effect on the direction of US Treasury i.e., US Treasury and Vanguard Long go up and down completely randomly.
Pair Corralation between US Treasury and Vanguard Long
Given the investment horizon of 90 days US Treasury 30 is expected to under-perform the Vanguard Long. In addition to that, US Treasury is 1.03 times more volatile than Vanguard Long Term Treasury. It trades about -0.01 of its total potential returns per unit of risk. Vanguard Long Term Treasury is currently generating about 0.0 per unit of volatility. If you would invest 5,876 in Vanguard Long Term Treasury on September 13, 2024 and sell it today you would lose (24.00) from holding Vanguard Long Term Treasury or give up 0.41% of portfolio value over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Very Strong |
| Accuracy | 87.45% |
| Values | Daily Returns |
US Treasury 30 vs. Vanguard Long Term Treasury
Performance |
| Timeline |
| US Treasury 30 |
| Vanguard Long Term |
US Treasury and Vanguard Long Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with US Treasury and Vanguard Long
The main advantage of trading using opposite US Treasury and Vanguard Long positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if US Treasury position performs unexpectedly, Vanguard Long 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 Vanguard Long will offset losses from the drop in Vanguard Long's long position.| US Treasury vs. Vanguard Long Term Treasury | US Treasury vs. Vanguard Long Term Corporate | US Treasury vs. Vanguard Long Term Bond | US Treasury vs. Vanguard Intermediate Term Treasury |
| Vanguard Long vs. Vanguard Intermediate Term Treasury | Vanguard Long vs. Vanguard Short Term Treasury | Vanguard Long vs. Vanguard Long Term Corporate | Vanguard Long vs. Vanguard Extended Duration |
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 Performance Analysis module to check effects of mean-variance optimization against your current asset allocation.
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