iShares 20 Plus Year Treasury Bond ETF x Global Debt Correlations
Historical price and correlation data
Seasonality
This multi-factor forecast for Paypal Holdings (PYPL) is based on a weighted average of five factor-dervied forecasts.
Backtest PYPLLeft-hand side y-axis coordinates represent the 1 to 180-day look back periods for Pearson correlation values.
Right-hand side y=axis coordinates measure the price level of TLT.
Global Debt Pearson Correlations
| Correlation Interval |
Previous Year |
Previous Month |
Last Value |
| 20-day |
0.64421 |
0.66833 |
0.65979 |
| 40-day |
0.59110 |
0.65968 |
0.69515 |
| 60-day |
0.61879 |
0.57130 |
0.65948 |
| 80-day |
0.62709 |
0.62394 |
0.61665 |
| 100-day |
0.55779 |
0.66508 |
0.63486 |
| 120-day |
0.55503 |
0.70067 |
0.65860 |
| 140-day |
0.54451 |
0.72555 |
0.68571 |
| 160-day |
0.51724 |
0.72307 |
0.72090 |
| 180-day |
0.52289 |
0.74576 |
0.72155 |
| Correlation Interval |
Last Value |
| 20-day |
0.65979 |
| 40-day |
0.69515 |
| 60-day |
0.65948 |
| 80-day |
0.61665 |
| 100-day |
0.63486 |
| 120-day |
0.65860 |
| 140-day |
0.68571 |
| 160-day |
0.72090 |
| 180-day |
0.72155 |
About Heat Map Colors
This average correlation heat map uses a color scheme to represent how strongly the TLT, EMB, IGOV and HYG components exhibit a positive (red), somewhat positive (white), or low / inverse average correlation (green). Different shades of these three colors represent the strength or weakness of the average correlation as shown on the heatmap colorbar legend, to the right of the heatmap itself.
The X-axis displays trading days by date, and the Y-axis contains different n-day average timeframes. For example, The 180-day average of Pearson correlation value calculated on November 21 appears on the heat map at the intersection of Y-coordinate "180" and X-coordinate "November 21".
A price chart of iShares 20 Plus Year Treasury Bond ETF is overlaid on top of the heat map so you can observe the impact that different correlation regimes may have on the forward price of the asset.
For example, you may notice that prices tend to move in a direction when near term correlation register extremes; or when large differences take place between short term and long term correlation values.
Note that traders who need a perform a more comprehensive analysis can
backtest the impact of each of these n-day correlations using the
Tradewell platform.
The
Pearson correlation coefficient is a measure of linear strength between two sets of data. In financial markets is used to determine whether the variability of returns between a group of assets is linearly related.
In the example of this heat map analysis of iShares 20 Plus Year Treasury Bond ETF, we are measuring the average correlations between the components over various look-back periods, spanning 10 days to 180 days.
In the example of this
heat map analysis of iShares 20 Plus Year Treasury Bond ETF, we are measuring the average correlations between the components over various look-back periods, spanning 10 days to 180 days.
A coefficient value of -1 represents a maximally inverse relationship between the variables, whereas a value of 1 represents a maximally positive relationship. A value of 0 indicates no linear relationship between the variables.
For example, a 20-day average correlation value of 1 would indicate that variability of the index components returns has been perfectly linearly related over the previous 20 days.
TLT is an exchange traded fund that invests in U.S. government bonds, seeking to track the index ICE® US Treasury 20+ Year Bond Index. The underlying index measures the performance of long-term debt obligations, issued by the U.S. Treasury, that have a remaining maturity greater than or equal to twenty years.
