Correlation Between Proshares Russell and ProShares UltraShort
Can any of the company-specific risk be diversified away by investing in both Proshares Russell 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 Proshares Russell and ProShares UltraShort into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Proshares Russell 2000 and ProShares UltraShort Bloomberg, you can compare the effects of market volatilities on Proshares Russell 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 Proshares Russell with a short position of ProShares UltraShort. Check out your portfolio center. Please also check ongoing floating volatility patterns of Proshares Russell and ProShares UltraShort.
Diversification Opportunities for Proshares Russell and ProShares UltraShort
-0.45 | Correlation Coefficient |
Very good diversification
The 3 months correlation between Proshares and ProShares is -0.45. Overlapping area represents the amount of risk that can be diversified away by holding Proshares Russell 2000 and ProShares UltraShort Bloomberg in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on ProShares UltraShort and Proshares Russell 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 Russell 2000 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 has no effect on the direction of Proshares Russell i.e., Proshares Russell and ProShares UltraShort go up and down completely randomly.
Pair Corralation between Proshares Russell and ProShares UltraShort
Given the investment horizon of 90 days Proshares Russell 2000 is expected to generate 0.33 times more return on investment than ProShares UltraShort. However, Proshares Russell 2000 is 3.04 times less risky than ProShares UltraShort. It trades about 0.19 of its potential returns per unit of risk. ProShares UltraShort Bloomberg is currently generating about -0.01 per unit of risk. If you would invest 3,913 in Proshares Russell 2000 on August 28, 2024 and sell it today you would earn a total of 481.00 from holding Proshares Russell 2000 or generate 12.29% return on investment over 90 days.
Time Period | 3 Months [change] |
Direction | Moves Against |
Strength | Very Weak |
Accuracy | 11.9% |
Values | Daily Returns |
Proshares Russell 2000 vs. ProShares UltraShort Bloomberg
Performance |
Timeline |
Proshares Russell 2000 |
ProShares UltraShort |
Proshares Russell and ProShares UltraShort Volatility Contrast
Predicted Return Density |
Returns |
Pair Trading with Proshares Russell and ProShares UltraShort
The main advantage of trading using opposite Proshares Russell and ProShares UltraShort positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Proshares Russell 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.Proshares Russell vs. Global X Dow | Proshares Russell vs. AdvisorShares STAR Global | Proshares Russell vs. Global X Funds | Proshares Russell vs. FT Vest Dow |
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 Watchlist Optimization module to optimize watchlists to build efficient portfolios or rebalance existing positions based on the mean-variance optimization algorithm.
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