Correlation Between Barclays ETN and ProShares UltraShort
Can any of the company-specific risk be diversified away by investing in both Barclays ETN and ProShares UltraShort 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 Barclays ETN and ProShares UltraShort into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Barclays ETN Select and ProShares UltraShort MSCI, you can compare the effects of market volatilities on Barclays ETN and ProShares UltraShort 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 Barclays ETN with a short position of ProShares UltraShort. Check out your portfolio center. Please also check ongoing floating volatility patterns of Barclays ETN and ProShares UltraShort.
Diversification Opportunities for Barclays ETN and ProShares UltraShort
0.85 | Correlation Coefficient |
Very poor diversification
The 3 months correlation between Barclays and ProShares is 0.85. Overlapping area represents the amount of risk that can be diversified away by holding Barclays ETN Select and ProShares UltraShort MSCI in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on ProShares UltraShort MSCI and Barclays ETN 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 Barclays ETN Select are associated (or correlated) with ProShares UltraShort. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of ProShares UltraShort MSCI has no effect on the direction of Barclays ETN i.e., Barclays ETN and ProShares UltraShort go up and down completely randomly.
Pair Corralation between Barclays ETN and ProShares UltraShort
Given the investment horizon of 90 days Barclays ETN is expected to generate 1.6 times less return on investment than ProShares UltraShort. But when comparing it to its historical volatility, Barclays ETN Select is 2.99 times less risky than ProShares UltraShort. It trades about 0.17 of its potential returns per unit of risk. ProShares UltraShort MSCI is currently generating about 0.09 of returns per unit of risk over similar time horizon. If you would invest 1,004 in ProShares UltraShort MSCI on September 14, 2024 and sell it today you would earn a total of 641.00 from holding ProShares UltraShort MSCI or generate 63.84% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Strong |
| Accuracy | 100.0% |
| Values | Daily Returns |
Barclays ETN Select vs. ProShares UltraShort MSCI
Performance |
| Timeline |
| Barclays ETN Select |
| ProShares UltraShort MSCI |
Barclays ETN and ProShares UltraShort Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Barclays ETN and ProShares UltraShort
The main advantage of trading using opposite Barclays ETN and ProShares UltraShort positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Barclays ETN position performs unexpectedly, ProShares UltraShort 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 ProShares UltraShort will offset losses from the drop in ProShares UltraShort's long position.| Barclays ETN vs. Alerian Energy Infrastructure | Barclays ETN vs. UBS AG London | Barclays ETN vs. First Trust North | Barclays ETN vs. Tortoise North American |
| ProShares UltraShort vs. ProShares UltraShort FTSE | ProShares UltraShort vs. ProShares UltraShort MSCI | ProShares UltraShort vs. ProShares Ultra MSCI | ProShares UltraShort vs. ProShares UltraShort MSCI |
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 Portfolio Manager module to state of the art Portfolio Manager to monitor and improve performance of your invested capital.
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