Correlation Between US Treasury and IShares MSCI
Can any of the company-specific risk be diversified away by investing in both US Treasury and IShares MSCI 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 IShares MSCI into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between US Treasury 20 and iShares MSCI World, you can compare the effects of market volatilities on US Treasury and IShares MSCI 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 IShares MSCI. Check out your portfolio center. Please also check ongoing floating volatility patterns of US Treasury and IShares MSCI.
Diversification Opportunities for US Treasury and IShares MSCI
-0.67 | Correlation Coefficient |
Excellent diversification
The 3 months correlation between UTWY and IShares is -0.67. Overlapping area represents the amount of risk that can be diversified away by holding US Treasury 20 and iShares MSCI World in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on iShares MSCI World 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 20 are associated (or correlated) with IShares MSCI. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of iShares MSCI World has no effect on the direction of US Treasury i.e., US Treasury and IShares MSCI go up and down completely randomly.
Pair Corralation between US Treasury and IShares MSCI
Given the investment horizon of 90 days US Treasury 20 is expected to under-perform the IShares MSCI. But the etf apears to be less risky and, when comparing its historical volatility, US Treasury 20 is 1.12 times less risky than IShares MSCI. The etf trades about -0.14 of its potential returns per unit of risk. The iShares MSCI World is currently generating about 0.07 of returns per unit of risk over similar time horizon. If you would invest 15,380 in iShares MSCI World on August 23, 2024 and sell it today you would earn a total of 477.00 from holding iShares MSCI World or generate 3.1% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Against |
| Strength | Weak |
| Accuracy | 100.0% |
| Values | Daily Returns |
US Treasury 20 vs. iShares MSCI World
Performance |
| Timeline |
| US Treasury 20 |
| iShares MSCI World |
US Treasury and IShares MSCI Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with US Treasury and IShares MSCI
The main advantage of trading using opposite US Treasury and IShares MSCI positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if US Treasury position performs unexpectedly, IShares MSCI 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 MSCI will offset losses from the drop in IShares MSCI's long position.| US Treasury vs. Quadratic Interest Rate | US Treasury vs. AGFiQ Market Neutral | US Treasury vs. Simplify Interest Rate | US Treasury vs. Invesco Investment Grade |
| IShares MSCI vs. Rbb Fund | IShares MSCI vs. Ab Tax Aware Short | IShares MSCI vs. US Treasury 20 | IShares MSCI vs. EA Series Trust |
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 Stock Tickers module to use high-impact, comprehensive, and customizable stock tickers that can be easily integrated to any websites.
Other Complementary Tools
| Portfolio Rebalancing Analyze risk-adjusted returns against different time horizons to find asset-allocation targets | |
| Portfolio Holdings Check your current holdings and cash postion to detemine if your portfolio needs rebalancing | |
| Portfolio Dashboard Portfolio dashboard that provides centralized access to all your investments | |
| Insider Screener Find insiders across different sectors to evaluate their impact on performance | |
| Bond Analysis Evaluate and analyze corporate bonds as a potential investment for your portfolios. |