Correlation Between SPDR Barclays and US Treasury
Can any of the company-specific risk be diversified away by investing in both SPDR Barclays and US 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 US 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 US Treasury 12, you can compare the effects of market volatilities on SPDR Barclays and US 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 US Treasury. Check out your portfolio center. Please also check ongoing floating volatility patterns of SPDR Barclays and US Treasury.
Diversification Opportunities for SPDR Barclays and US Treasury
0.87 | Correlation Coefficient |
Very poor diversification
The 3 months correlation between SPDR and OBIL is 0.87. Overlapping area represents the amount of risk that can be diversified away by holding SPDR Barclays Short and US Treasury 12 in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on US Treasury 12 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 US Treasury. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of US Treasury 12 has no effect on the direction of SPDR Barclays i.e., SPDR Barclays and US Treasury go up and down completely randomly.
Pair Corralation between SPDR Barclays and US Treasury
Given the investment horizon of 90 days SPDR Barclays is expected to generate 1.23 times less return on investment than US Treasury. In addition to that, SPDR Barclays is 3.1 times more volatile than US Treasury 12. It trades about 0.1 of its total potential returns per unit of risk. US Treasury 12 is currently generating about 0.4 per unit of volatility. If you would invest 4,989 in US Treasury 12 on March 27, 2025 and sell it today you would earn a total of 27.50 from holding US Treasury 12 or generate 0.55% 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. US Treasury 12
Performance |
| Timeline |
| SPDR Barclays Short |
| US Treasury 12 |
SPDR Barclays and US Treasury Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with SPDR Barclays and US Treasury
The main advantage of trading using opposite SPDR Barclays and US Treasury positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if SPDR Barclays position performs unexpectedly, US 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 US Treasury will offset losses from the drop in US 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 |
| US Treasury vs. Rbb Fund | US Treasury vs. Rbb Fund | US Treasury vs. Rbb Fund | US Treasury vs. US Treasury 6 |
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 Piotroski F Score module to get Piotroski F Score based on the binary analysis strategy of nine different fundamentals.
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