Correlation Between Stone Ridge and Proshares Russell
Can any of the company-specific risk be diversified away by investing in both Stone Ridge and Proshares Russell 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 Stone Ridge and Proshares Russell into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Stone Ridge 2060 and Proshares Russell 2000, you can compare the effects of market volatilities on Stone Ridge and Proshares Russell 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 Stone Ridge with a short position of Proshares Russell. Check out your portfolio center. Please also check ongoing floating volatility patterns of Stone Ridge and Proshares Russell.
Diversification Opportunities for Stone Ridge and Proshares Russell
-0.23 | Correlation Coefficient |
Very good diversification
The 3 months correlation between Stone and Proshares is -0.23. Overlapping area represents the amount of risk that can be diversified away by holding Stone Ridge 2060 and Proshares Russell 2000 in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Proshares Russell 2000 and Stone Ridge 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 Stone Ridge 2060 are associated (or correlated) with Proshares Russell. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Proshares Russell 2000 has no effect on the direction of Stone Ridge i.e., Stone Ridge and Proshares Russell go up and down completely randomly.
Pair Corralation between Stone Ridge and Proshares Russell
Given the investment horizon of 90 days Stone Ridge is expected to generate 18.62 times less return on investment than Proshares Russell. But when comparing it to its historical volatility, Stone Ridge 2060 is 5.83 times less risky than Proshares Russell. It trades about 0.09 of its potential returns per unit of risk. Proshares Russell 2000 is currently generating about 0.28 of returns per unit of risk over similar time horizon. If you would invest 4,093 in Proshares Russell 2000 on September 1, 2024 and sell it today you would earn a total of 1,225 from holding Proshares Russell 2000 or generate 29.93% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Against |
| Strength | Insignificant |
| Accuracy | 95.45% |
| Values | Daily Returns |
Stone Ridge 2060 vs. Proshares Russell 2000
Performance |
| Timeline |
| Stone Ridge 2060 |
| Proshares Russell 2000 |
Stone Ridge and Proshares Russell Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Stone Ridge and Proshares Russell
The main advantage of trading using opposite Stone Ridge and Proshares Russell positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Stone Ridge position performs unexpectedly, Proshares Russell 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 Russell will offset losses from the drop in Proshares Russell's long position.| Stone Ridge vs. Proshares Russell 2000 | Stone Ridge vs. Tidal Trust II | Stone Ridge vs. PIMCO Mortgage Backed Securities | Stone Ridge vs. iShares Trust |
| 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 Odds Of Bankruptcy module to get analysis of equity chance of financial distress in the next 2 years.
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