US Treasury Correlations

UTHY Etf

43.31 0.18 0.42%

The current 90-days correlation between US Treasury 30 and US Treasury 20 is 0.99 (i.e., No risk reduction). 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 30 and DJI is 0.15 (i.e., Average diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding US Treasury 30 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 30. Also, note that the market value of any etf could be closely tied with the direction of predictive economic indicators such as signals in rate.

Moving together with UTHY Etf

1.0	TLT	iShares 20 Year	Pair Corr
0.98	IEF	iShares 7 10	Pair Corr
1.0	SPTL	SPDR Barclays Long	Pair Corr
1.0	TLH	iShares 10 20	Pair Corr
0.91	EDV	Vanguard Extended	Pair Corr
0.99	GOVZ	iShares 25 Year	Pair Corr
1.0	SCHQ	Schwab Long Term	Pair Corr
0.74	BNDD	Quadratic Deflation ETF	Pair Corr
0.98	TYA	Simplify Exchange Traded	Pair Corr
0.85	BABX	GraniteShares 175x Long	Pair Corr
0.86	XPP	ProShares Ultra FTSE Downward Rally	Pair Corr
0.68	GDXU	MicroSectors Gold Miners	Pair Corr
0.68	JNUG	Direxion Daily Junior	Pair Corr
0.76	SHNY	Microsectors Gold	Pair Corr
0.69	JNJ	Johnson Johnson	Pair Corr
0.69	KO	Coca Cola	Pair Corr
0.69	T	ATT Inc Earnings Call This Week	Pair Corr

Moving against UTHY Etf

0.52	CAT	Caterpillar	Pair Corr
0.48	BAC	Bank of America Aggressive Push	Pair Corr
0.44	MSFT	Microsoft	Pair Corr
0.36	HD	Home Depot	Pair Corr
0.31	BA	Boeing	Pair Corr

Related Correlations Analysis

	META	MSFT	UBER	F	T	A	CRM	JPM	MRK	XOM
META		-0.07	0.61	-0.52	0.35	0.4	0.23	0.9	-0.75	0.03	META
MSFT	-0.07		-0.63	0.16	-0.79	0.68	0.89	0.07	0.46	-0.47	MSFT
UBER	0.61	-0.63		-0.4	0.8	-0.24	-0.54	0.55	-0.85	0.5	UBER
F	-0.52	0.16	-0.4		-0.1	0.01	-0.01	-0.39	0.58	0.29	F
T	0.35	-0.79	0.8	-0.1		-0.56	-0.7	0.2	-0.66	0.55	T
A	0.4	0.68	-0.24	0.01	-0.56		0.77	0.61	0.11	-0.25	A
CRM	0.23	0.89	-0.54	-0.01	-0.7	0.77		0.3	0.26	-0.52	CRM
JPM	0.9	0.07	0.55	-0.39	0.2	0.61	0.3		-0.64	0.09	JPM
MRK	-0.75	0.46	-0.85	0.58	-0.66	0.11	0.26	-0.64		-0.3	MRK
XOM	0.03	-0.47	0.5	0.29	0.55	-0.25	-0.52	0.09	-0.3		XOM
	META	MSFT	UBER	F	T	A	CRM	JPM	MRK	XOM

Click cells to compare fundamentals

Check Volatility

Backtest Portfolio

Please upgrade your account to get full access to Macroaxis premium features

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	+ 0.9	META
CRM	+ 0.89	MSFT
T	+ 0.8	UBER
CRM	+ 0.77	A
A	+ 0.68	MSFT
UBER	+ 0.61	META

High negative correlations

MRK	- 0.85	UBER
T	- 0.79	MSFT
MRK	- 0.75	META
CRM	- 0.7	T
MRK	- 0.66	T
MRK	- 0.64	JPM

US Treasury Competition Risk-Adjusted Indicators

There is a big difference between UTHY 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	1.59	(0.03)	0.00	(0.10)	0.00	0.00	2.57	(3.73)	8.90
MSFT	1.10	(0.17)	0.00	(0.32)	0.00	0.00	2.58	(2.14)	10.31
UBER	1.89	0.35	0.16	0.60	2.15	(2.04)	4.72	(3.13)	12.75
F	1.47	0.08	0.03	0.00	2.22	(1.39)	2.71	(2.89)	10.14
T	1.05	0.27	0.17	0.42	1.61	(1.12)	1.90	(1.75)	11.66
A	1.16	(0.17)	0.00	(0.26)	0.00	0.00	2.92	(2.59)	9.03
CRM	1.38	(0.29)	0.00	(0.33)	0.00	0.00	2.72	(3.81)	8.88
JPM	1.10	0.07	0.04	(0.01)	1.72	(1.04)	1.99	(3.35)	6.85
MRK	1.15	(0.08)	0.00	1.02	0.00	0.00	2.07	(1.80)	11.58
XOM	1.07	0.10	0.10	0.15	1.40	(1.08)	2.55	(2.36)	5.89

Macroaxis helps investors of all levels and skills to maximize the upside of all their holdings and minimize the risk associated with market volatility, economic swings, and company-specific events. View terms and conditions

Feedback Blog

Made with optimal in San Francisco

2024 Macroaxis LLC