US Treasury Correlations

UFIV Etf

48.64 0.14 0.29%

The current 90-days correlation between US Treasury 5 and Vanguard 0 3 Month is 0.39 (i.e., Weak diversification). The correlation of US Treasury is a statistical measure of how it moves in relation to other instruments. This measure is expressed in what is known as the correlation coefficient, which ranges between -1 and +1. A correlation greater than 0.8 is generally described as strong, whereas a correlation less than 0.5 is generally considered weak. If the correlation is 0, the equities are not correlated; they are entirely random.

US Treasury Correlation With Market

Average diversification

The correlation between US Treasury 5 and DJI is 0.1 (i.e., Average diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding US Treasury 5 and DJI in the same portfolio, assuming nothing else is changed.

Check out World Market Map to better understand how to build diversified portfolios, which includes a position in US Treasury 5. Also, note that the market value of any etf could be closely tied with the direction of predictive economic indicators such as signals in gross domestic product.

Moving together with UFIV Etf

0.94	GOVT	iShares Treasury Bond	Pair Corr
0.98	MBB	iShares MBS ETF	Pair Corr
1.0	IEI	iShares 3 7	Pair Corr
1.0	SPTI	SPDR Portfolio Inter	Pair Corr
0.98	SPMB	SPDR Portfolio Mortgage	Pair Corr
0.96	ITE	SPDR Bloomberg Barclays	Pair Corr
0.98	JMBS	Janus Henderson Mort	Pair Corr
0.98	FLGV	Franklin Liberty Treasury	Pair Corr
0.98	MBSD	FlexShares Disciplined	Pair Corr
0.95	OWNS	Quaker Investment Trust	Pair Corr
0.98	PMBS	PIMCO Mortgage Backed	Pair Corr
0.9	YCL	ProShares Ultra Yen	Pair Corr
0.92	FXY	Invesco CurrencyShares	Pair Corr
0.7	ULE	ProShares Ultra Euro	Pair Corr
0.86	INTF	iShares Edge MSCI	Pair Corr
0.86	EURL	Direxion Daily FTSE	Pair Corr
0.8	JCHI	JP Morgan Exchange	Pair Corr
0.67	GLD	SPDR Gold Shares	Pair Corr
0.85	IDOG	ALPS International Sector	Pair Corr
0.77	PG	Procter Gamble	Pair Corr
0.79	KO	Coca Cola	Pair Corr
0.9	JNJ	Johnson Johnson	Pair Corr
0.83	TRV	The Travelers Companies	Pair Corr

Moving against UFIV Etf

0.63	MSFT	Microsoft	Pair Corr
0.5	AXP	American Express	Pair Corr
0.46	BA	Boeing	Pair Corr
0.45	CAT	Caterpillar	Pair Corr
0.41	HPQ	HP Inc	Pair Corr
0.37	MRK	Merck Company	Pair Corr

Related Correlations Analysis

	META	MSFT	UBER	F	T	A	CRM	JPM	MRK	XOM
META		-0.32	0.7	-0.49	0.56	0.26	-0.04	0.89	-0.8	0.16	META
MSFT	-0.32		-0.66	0.49	-0.74	0.56	0.87	-0.2	0.58	-0.05	MSFT
UBER	0.7	-0.66		-0.47	0.81	-0.22	-0.56	0.65	-0.84	0.38	UBER
F	-0.49	0.49	-0.47		-0.29	0.23	0.4	-0.39	0.67	0.34	F
T	0.56	-0.74	0.81	-0.29		-0.48	-0.63	0.4	-0.71	0.31	T
A	0.26	0.56	-0.22	0.23	-0.48		0.65	0.49	0.15	0.09	A
CRM	-0.04	0.87	-0.56	0.4	-0.63	0.65		0.02	0.41	-0.02	CRM
JPM	0.89	-0.2	0.65	-0.39	0.4	0.49	0.02		-0.71	0.21	JPM
MRK	-0.8	0.58	-0.84	0.67	-0.71	0.15	0.41	-0.71		-0.14	MRK
XOM	0.16	-0.05	0.38	0.34	0.31	0.09	-0.02	0.21	-0.14		XOM
	META	MSFT	UBER	F	T	A	CRM	JPM	MRK	XOM

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Correlation Matchups

Over a given time period, the two securities move together when the Correlation Coefficient is positive. Conversely, the two assets move in opposite directions when the Correlation Coefficient is negative. Determining your positions' relationship to each other is valuable for analyzing and projecting your portfolio's future expected return and risk.

High positive correlations

JPM	+ 0.89	META
CRM	+ 0.87	MSFT
T	+ 0.81	UBER
UBER	+ 0.7	META
MRK	+ 0.67	F
JPM	+ 0.65	UBER

High negative correlations

MRK	- 0.84	UBER
MRK	- 0.8	META
T	- 0.74	MSFT
MRK	- 0.71	JPM
MRK	- 0.71	T
UBER	- 0.66	MSFT

US Treasury Competition Risk-Adjusted Indicators

There is a big difference between UFIV Etf performing well and US Treasury ETF doing well as a business compared to the competition. There are so many exceptions to the norm that investors cannot definitively determine what's good or bad unless they analyze US Treasury's multiple risk-adjusted performance indicators across the competitive landscape. These indicators are quantitative in nature and help investors forecast volatility and risk-adjusted expected returns across various positions.

	Mean Deviation	Jensen Alpha	Sortino Ratio	Treynor Ratio	Semi Deviation	Expected Shortfall	Potential Upside	Value @Risk	Maximum Drawdown
META	1.51	0.13	0.07	0.03	1.98	(1.42)	2.49	(2.76)	8.65
MSFT	1.07	(0.12)	0.00	(0.34)	0.00	0.00	2.56	(2.14)	10.31
UBER	2.00	0.06	0.05	0.03	2.99	(1.97)	4.72	(4.21)	12.75
F	1.44	0.02	0.00	(0.11)	0.00	0.00	2.71	(2.89)	10.14
T	1.04	0.23	0.16	0.28	1.64	(1.07)	1.90	(2.12)	11.66
A	1.13	(0.13)	0.00	(0.28)	0.00	0.00	2.80	(2.59)	9.03
CRM	1.36	(0.26)	0.00	(0.39)	0.00	0.00	2.21	(3.53)	8.88
JPM	1.07	0.04	0.00	(0.09)	0.00	0.00	1.97	(3.35)	6.85
MRK	1.22	(0.11)	0.00	2.59	0.00	0.00	2.15	(2.24)	11.57
XOM	1.01	(0.02)	0.00	(0.17)	0.00	0.00	2.07	(2.36)	5.89

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