Correlation Between Vanguard Long and US Treasury

Can any of the company-specific risk be diversified away by investing in both Vanguard Long 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 Vanguard Long and US Treasury into the same portfolio, which is an essential part of the fundamental portfolio management process.

By analyzing existing cross correlation between Vanguard Long Term Treasury and US Treasury 12, you can compare the effects of market volatilities on Vanguard Long 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 Vanguard Long with a short position of US Treasury. Check out your portfolio center. Please also check ongoing floating volatility patterns of Vanguard Long and US Treasury.

Diversification Opportunities for Vanguard Long and US Treasury

-0.41

Correlation Coefficient

Vanguard Long  US Treasury

Very good diversification

The 3 months correlation between Vanguard and OBIL is -0.41. Overlapping area represents the amount of risk that can be diversified away by holding Vanguard Long Term Treasury 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 Vanguard Long 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 Vanguard Long Term Treasury 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 Vanguard Long i.e., Vanguard Long and US Treasury go up and down completely randomly.

Pair Corralation between Vanguard Long and US Treasury

Given the investment horizon of 90 days Vanguard Long Term Treasury is expected to generate 19.3 times more return on investment than US Treasury. However, Vanguard Long is 19.3 times more volatile than US Treasury 12. It trades about 0.08 of its potential returns per unit of risk. US Treasury 12 is currently generating about 0.54 per unit of risk. If you would invest  5,675  in Vanguard Long Term Treasury on September 15, 2024 and sell it today you would earn a total of  67.00  from holding Vanguard Long Term Treasury or generate 1.18% return on investment over 90 days.

Time Period	3 Months [change]
Direction	Moves Against
Strength	Very Weak
Accuracy	100.0%
Values	Daily Returns

Vanguard Long Term Treasury  vs.  US Treasury 12

Vanguard Long Term

Risk-Adjusted Performance

0 of 100

Very Weak

Over the last 90 days Vanguard Long Term Treasury has generated negative risk-adjusted returns adding no value to investors with long positions. In spite of latest uncertain performance, the Etf's essential indicators remain stable and the newest uproar on Wall Street may also be a sign of mid-term gains for the exchange-traded fund private investors.

US Treasury 12

Risk-Adjusted Performance

19 of 100

Solid

Compared to the overall equity markets, risk-adjusted returns on investments in US Treasury 12 are ranked lower than 19 (%) of all global equities and portfolios over the last 90 days. Despite quite persistent forward indicators, US Treasury is not utilizing all of its potentials. The newest stock price mess, may contribute to short-term losses for the institutional investors.

Pair Trading with Vanguard Long and US Treasury

The main advantage of trading using opposite Vanguard Long and US Treasury positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Vanguard Long 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.

The idea behind Vanguard Long Term Treasury and US Treasury 12 pairs trading is to make the combined position market-neutral, meaning the overall market's direction will not affect its win or loss (or potential downside or upside). This can be achieved by designing a pairs trade with two highly correlated stocks or equities that operate in a similar space or sector, making it possible to obtain profits through simple and relatively low-risk investment.

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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 Volatility Analysis module to get historical volatility and risk analysis based on latest market data.