US Treasury Correlations

UTRE Etf

49.77 0.09 0.18%

The current 90-days correlation between US Treasury 3 and US Treasury 5 is 0.98 (i.e., Almost no 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.

US Treasury Correlation With Market

Modest diversification

The correlation between US Treasury 3 and DJI is 0.23 (i.e., Modest diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding US Treasury 3 and DJI in the same portfolio, assuming nothing else is changed.

Build AI portfolio with UTRE Etf

Check out World Market Map to better understand how to build diversified portfolios, which includes a position in US Treasury 3. Also, note that the market value of any etf could be closely tied with the direction of predictive economic indicators such as signals in housing.

Moving together with UTRE Etf

0.96	SHY	iShares 1 3	Pair Corr
0.96	LMBS	First Trust Low	Pair Corr
0.96	SPTS	SPDR Barclays Short	Pair Corr
0.99	AGZ	iShares Agency Bond	Pair Corr
0.93	FTSD	Franklin Liberty Short	Pair Corr
0.96	UTWO	Rbb Fund	Pair Corr
0.96	XTWO	Bondbloxx ETF Trust	Pair Corr
0.96	XTRE	Bondbloxx ETF Trust	Pair Corr
0.93	TRSY	Xtrackers 0 1	Pair Corr
0.99	SLDR	Global X Short	Pair Corr
0.87	VTI	Vanguard Total Stock	Pair Corr
0.91	DUKH	Ocean Park High	Pair Corr
0.66	IGLD	FT Cboe Vest	Pair Corr
0.84	GLOV	Goldman Sachs ActiveBeta	Pair Corr
0.67	GXG	Global X MSCI Symbol Change	Pair Corr
0.88	FMAG	Fidelity Covington Trust	Pair Corr
0.9	XOVR	ERShares Private Public Symbol Change	Pair Corr
0.85	SPY	SPDR SP 500	Pair Corr
0.88	SWP	SWP Growth Income	Pair Corr
0.85	TQQQ	ProShares UltraPro QQQ Aggressive Push	Pair Corr
0.65	FDIS	Fidelity MSCI Consumer	Pair Corr

Moving against UTRE Etf

0.86

FNGD

MicroSectors FANG Index

Pair Corr

Related Correlations Analysis

	META	MSFT	UBER	F	T	A	CRM	JPM	MRK	XOM
META		0.92	0.36	0.61	0.51	0.53	-0.76	0.8	0.61	0.35	META
MSFT	0.92		0.4	0.7	0.39	0.47	-0.72	0.93	0.71	0.43	MSFT
UBER	0.36	0.4		0.78	0.17	0.48	0.07	0.54	0.43	0.38	UBER
F	0.61	0.7	0.78		0.33	0.61	-0.33	0.79	0.75	0.61	F
T	0.51	0.39	0.17	0.33		0.6	-0.37	0.36	0.55	0.2	T
A	0.53	0.47	0.48	0.61	0.6		-0.16	0.57	0.78	0.67	A
CRM	-0.76	-0.72	0.07	-0.33	-0.37	-0.16		-0.5	-0.43	-0.11	CRM
JPM	0.8	0.93	0.54	0.79	0.36	0.57	-0.5		0.75	0.52	JPM
MRK	0.61	0.71	0.43	0.75	0.55	0.78	-0.43	0.75		0.66	MRK
XOM	0.35	0.43	0.38	0.61	0.2	0.67	-0.11	0.52	0.66		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	+ 0.93	MSFT
MSFT	+ 0.92	META
JPM	+ 0.8	META
JPM	+ 0.79	F
F	+ 0.78	UBER
MRK	+ 0.78	A

High negative correlations

CRM	- 0.76	META
CRM	- 0.72	MSFT
JPM	- 0.5	CRM
MRK	- 0.43	CRM
CRM	- 0.37	T
CRM	- 0.33	F

US Treasury Competition Risk-Adjusted Indicators

There is a big difference between UTRE 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	0.31	0.24	0.42	0.95	(1.90)	3.51	(2.35)	14.28
MSFT	0.72	0.19	0.17	0.48	0.43	(0.85)	2.20	(1.22)	5.71
UBER	1.49	0.04	0.02	0.16	1.57	(1.75)	3.87	(3.36)	11.37
F	1.28	0.06	0.04	0.18	1.55	(1.27)	2.55	(2.36)	7.46
T	0.87	0.00	(0.05)	0.13	1.08	(0.90)	2.03	(2.06)	5.71
A	1.46	(0.03)	0.04	0.10	1.76	(1.53)	2.82	(2.74)	14.01
CRM	1.24	(0.39)	0.00	(0.16)	0.00	0.00	2.32	(3.26)	8.50
JPM	0.84	0.10	0.08	0.23	0.86	(0.92)	1.83	(1.51)	5.90
MRK	1.36	0.00	0.01	0.12	1.82	(1.30)	2.90	(3.31)	10.58
XOM	1.05	(0.01)	(0.08)	0.08	1.34	(1.05)	2.14	(2.07)	6.26

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