Correlation Between ProShares MSCI and ProShares
Can any of the company-specific risk be diversified away by investing in both ProShares MSCI and ProShares 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 MSCI and ProShares into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between ProShares MSCI EAFE and ProShares SP MidCap, you can compare the effects of market volatilities on ProShares MSCI and ProShares 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 MSCI with a short position of ProShares. Check out your portfolio center. Please also check ongoing floating volatility patterns of ProShares MSCI and ProShares.
Diversification Opportunities for ProShares MSCI and ProShares
0.46 | Correlation Coefficient |
Very weak diversification
The 3 months correlation between ProShares and ProShares is 0.46. Overlapping area represents the amount of risk that can be diversified away by holding ProShares MSCI EAFE and ProShares SP MidCap in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on ProShares SP MidCap and ProShares MSCI 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 MSCI EAFE are associated (or correlated) with ProShares. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of ProShares SP MidCap has no effect on the direction of ProShares MSCI i.e., ProShares MSCI and ProShares go up and down completely randomly.
Pair Corralation between ProShares MSCI and ProShares
Given the investment horizon of 90 days ProShares MSCI is expected to generate 1.92 times less return on investment than ProShares. But when comparing it to its historical volatility, ProShares MSCI EAFE is 1.29 times less risky than ProShares. It trades about 0.02 of its potential returns per unit of risk. ProShares SP MidCap is currently generating about 0.04 of returns per unit of risk over similar time horizon. If you would invest 7,187 in ProShares SP MidCap on November 4, 2024 and sell it today you would earn a total of 1,137 from holding ProShares SP MidCap or generate 15.82% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Weak |
| Accuracy | 100.0% |
| Values | Daily Returns |
ProShares MSCI EAFE vs. ProShares SP MidCap
Performance |
| Timeline |
| ProShares MSCI EAFE |
| ProShares SP MidCap |
ProShares MSCI and ProShares Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with ProShares MSCI and ProShares
The main advantage of trading using opposite ProShares MSCI and ProShares positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if ProShares MSCI position performs unexpectedly, ProShares 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 will offset losses from the drop in ProShares' long position.| ProShares MSCI vs. ProShares MSCI Emerging | ProShares MSCI vs. ProShares MSCI Europe | ProShares MSCI vs. ProShares Russell 2000 | ProShares MSCI vs. ProShares SP MidCap |
| ProShares vs. ProShares Russell 2000 | ProShares vs. ProShares MSCI EAFE | ProShares vs. ProShares MSCI Emerging | ProShares vs. ProShares MSCI Europe |
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 Share Portfolio module to track or share privately all of your investments from the convenience of any device.
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