Correlation Between ProShares Trust and Vanguard Momentum
Can any of the company-specific risk be diversified away by investing in both ProShares Trust and Vanguard Momentum 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 ProShares Trust and Vanguard Momentum into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between ProShares Trust and Vanguard Momentum Factor, you can compare the effects of market volatilities on ProShares Trust and Vanguard Momentum 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 ProShares Trust with a short position of Vanguard Momentum. Check out your portfolio center. Please also check ongoing floating volatility patterns of ProShares Trust and Vanguard Momentum.
Diversification Opportunities for ProShares Trust and Vanguard Momentum
-0.92 | Correlation Coefficient |
Pay attention - limited upside
The 3 months correlation between ProShares and Vanguard is -0.92. Overlapping area represents the amount of risk that can be diversified away by holding ProShares Trust and Vanguard Momentum Factor in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Vanguard Momentum Factor and ProShares Trust 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 ProShares Trust are associated (or correlated) with Vanguard Momentum. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Vanguard Momentum Factor has no effect on the direction of ProShares Trust i.e., ProShares Trust and Vanguard Momentum go up and down completely randomly.
Pair Corralation between ProShares Trust and Vanguard Momentum
Given the investment horizon of 90 days ProShares Trust is expected to under-perform the Vanguard Momentum. In addition to that, ProShares Trust is 3.02 times more volatile than Vanguard Momentum Factor. It trades about -0.11 of its total potential returns per unit of risk. Vanguard Momentum Factor is currently generating about 0.14 per unit of volatility. If you would invest 11,871 in Vanguard Momentum Factor on August 25, 2024 and sell it today you would earn a total of 5,835 from holding Vanguard Momentum Factor or generate 49.15% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Against |
| Strength | Significant |
| Accuracy | 100.0% |
| Values | Daily Returns |
ProShares Trust vs. Vanguard Momentum Factor
Performance |
| Timeline |
| ProShares Trust |
| Vanguard Momentum Factor |
ProShares Trust and Vanguard Momentum Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with ProShares Trust and Vanguard Momentum
The main advantage of trading using opposite ProShares Trust and Vanguard Momentum positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if ProShares Trust position performs unexpectedly, Vanguard Momentum 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 Vanguard Momentum will offset losses from the drop in Vanguard Momentum's long position.| ProShares Trust vs. AXS TSLA Bear | ProShares Trust vs. Tuttle Capital Short | ProShares Trust vs. ProShares Bitcoin Strategy | ProShares Trust vs. ProShares UltraShort Bloomberg |
| Vanguard Momentum vs. Vanguard Quality Factor | Vanguard Momentum vs. Vanguard Multifactor | Vanguard Momentum vs. Vanguard Value Factor | Vanguard Momentum vs. Vanguard Minimum Volatility |
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 AI Portfolio Architect module to use AI to generate optimal portfolios and find profitable investment opportunities.
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