Correlation Analysis Between iShares Short and SPDR Blmbg

This module allows you to analyze existing cross correlation between iShares Short Maturity Bond ETF and SPDR Blmbg Barclays 1 3 Mth T Bill ETF. You can compare the effects of market volatilities on iShares Short and SPDR Blmbg 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 Short with a short position of SPDR Blmbg. See also your portfolio center. Please also check ongoing floating volatility patterns of iShares Short and SPDR Blmbg.
Horizon     30 Days    Login   to change
Symbolsvs
Compare Efficiency

Comparative Performance

iShares Short Maturity  
0

Risk-Adjusted Performance

Over the last 30 days iShares Short Maturity Bond ETF has generated negative risk-adjusted returns adding no value to investors with long positions.
SPDR Blmbg Barclays  
0

Risk-Adjusted Performance

Over the last 30 days SPDR Blmbg Barclays 1 3 Mth T Bill ETF has generated negative risk-adjusted returns adding no value to investors with long positions.

iShares Short and SPDR Blmbg Volatility Contrast

 Predicted Return Density 
      Returns 

iShares Short Maturity Bond ET  vs.  SPDR Blmbg Barclays 1 3 Mth T

 Performance (%) 
      Timeline 

Pair Volatility

Given the investment horizon of 30 days, iShares Short Maturity Bond ETF is expected to under-perform the SPDR Blmbg. In addition to that, iShares Short is 1.4 times more volatile than SPDR Blmbg Barclays 1 3 Mth T Bill ETF. It trades about -0.2 of its total potential returns per unit of risk. SPDR Blmbg Barclays 1 3 Mth T Bill ETF is currently generating about 0.01 per unit of volatility. If you would invest  9,152  in SPDR Blmbg Barclays 1 3 Mth T Bill ETF on November 17, 2018 and sell it today you would earn a total of  1.00  from holding SPDR Blmbg Barclays 1 3 Mth T Bill ETF or generate 0.01% return on investment over 30 days.

Pair Corralation between iShares Short and SPDR Blmbg

0.3
Time Period2 Months [change]
DirectionPositive 
StrengthVery Weak
Accuracy95.24%
ValuesDaily Returns

Diversification Opportunities for iShares Short and SPDR Blmbg

iShares Short Maturity Bond ET diversification synergy

Weak diversification

Overlapping area represents the amount of risk that can be diversified away by holding iShares Short Maturity Bond ET and SPDR Blmbg Barclays 1 3 Mth T in the same portfolio assuming nothing else is changed. The correlation between historical prices or returns on SPDR Blmbg Barclays and iShares Short 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 Short Maturity Bond ETF are associated (or correlated) with SPDR Blmbg. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of SPDR Blmbg Barclays has no effect on the direction of iShares Short i.e. iShares Short and SPDR Blmbg go up and down completely randomly.

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