Correlation Between IShares Treasury and SSgA SPDR
Can any of the company-specific risk be diversified away by investing in both IShares Treasury and SSgA SPDR 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 IShares Treasury and SSgA SPDR into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between iShares Treasury Bond and SSgA SPDR ETFs, you can compare the effects of market volatilities on IShares Treasury and SSgA SPDR 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 IShares Treasury with a short position of SSgA SPDR. Check out your portfolio center. Please also check ongoing floating volatility patterns of IShares Treasury and SSgA SPDR.
Diversification Opportunities for IShares Treasury and SSgA SPDR
0.89 | Correlation Coefficient |
Very poor diversification
The 3 months correlation between IShares and SSgA is 0.89. Overlapping area represents the amount of risk that can be diversified away by holding iShares Treasury Bond and SSgA SPDR ETFs in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on SSgA SPDR ETFs and IShares 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 iShares Treasury Bond are associated (or correlated) with SSgA SPDR. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of SSgA SPDR ETFs has no effect on the direction of IShares Treasury i.e., IShares Treasury and SSgA SPDR go up and down completely randomly.
Pair Corralation between IShares Treasury and SSgA SPDR
Assuming the 90 days trading horizon iShares Treasury Bond is expected to under-perform the SSgA SPDR. In addition to that, IShares Treasury is 2.99 times more volatile than SSgA SPDR ETFs. It trades about -0.06 of its total potential returns per unit of risk. SSgA SPDR ETFs is currently generating about -0.01 per unit of volatility. If you would invest 2,882 in SSgA SPDR ETFs on September 3, 2024 and sell it today you would lose (5.00) from holding SSgA SPDR ETFs or give up 0.17% of portfolio value over 90 days.
Time Period | 3 Months [change] |
Direction | Moves Together |
Strength | Strong |
Accuracy | 100.0% |
Values | Daily Returns |
iShares Treasury Bond vs. SSgA SPDR ETFs
Performance |
Timeline |
iShares Treasury Bond |
SSgA SPDR ETFs |
IShares Treasury and SSgA SPDR Volatility Contrast
Predicted Return Density |
Returns |
Pair Trading with IShares Treasury and SSgA SPDR
The main advantage of trading using opposite IShares Treasury and SSgA SPDR positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if IShares Treasury position performs unexpectedly, SSgA SPDR 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 SSgA SPDR will offset losses from the drop in SSgA SPDR's long position.IShares Treasury vs. GraniteShares 3x Short | IShares Treasury vs. WisdomTree Natural Gas | IShares Treasury vs. Leverage Shares 3x | IShares Treasury vs. WisdomTree Natural Gas |
SSgA SPDR vs. iShares Treasury Bond | SSgA SPDR vs. iShares Treasury Bond | SSgA SPDR vs. Amundi Treasury Bond | SSgA SPDR vs. SPDR Barclays 10 |
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 Positions Ratings module to determine portfolio positions ratings based on digital equity recommendations. Macroaxis instant position ratings are based on combination of fundamental analysis and risk-adjusted market performance.
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