Correlation Between ProShares and IShares Russell
Can any of the company-specific risk be diversified away by investing in both ProShares and IShares 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 ProShares and IShares Russell into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between ProShares SP 500 and iShares Russell 1000, you can compare the effects of market volatilities on ProShares and IShares 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 ProShares with a short position of IShares Russell. Check out your portfolio center. Please also check ongoing floating volatility patterns of ProShares and IShares Russell.
Diversification Opportunities for ProShares and IShares Russell
0.84 | Correlation Coefficient |
Very poor diversification
The 3 months correlation between ProShares and IShares is 0.84. Overlapping area represents the amount of risk that can be diversified away by holding ProShares SP 500 and iShares Russell 1000 in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on iShares Russell 1000 and ProShares 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 SP 500 are associated (or correlated) with IShares Russell. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of iShares Russell 1000 has no effect on the direction of ProShares i.e., ProShares and IShares Russell go up and down completely randomly.
Pair Corralation between ProShares and IShares Russell
Given the investment horizon of 90 days ProShares is expected to generate 27.71 times less return on investment than IShares Russell. But when comparing it to its historical volatility, ProShares SP 500 is 1.03 times less risky than IShares Russell. It trades about 0.0 of its potential returns per unit of risk. iShares Russell 1000 is currently generating about 0.08 of returns per unit of risk over similar time horizon. If you would invest 18,401 in iShares Russell 1000 on November 2, 2024 and sell it today you would earn a total of 1,086 from holding iShares Russell 1000 or generate 5.9% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Strong |
| Accuracy | 100.0% |
| Values | Daily Returns |
ProShares SP 500 vs. iShares Russell 1000
Performance |
| Timeline |
| ProShares SP 500 |
| iShares Russell 1000 |
ProShares and IShares Russell Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with ProShares and IShares Russell
The main advantage of trading using opposite ProShares and IShares Russell positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if ProShares position performs unexpectedly, IShares 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 IShares Russell will offset losses from the drop in IShares Russell's long position.| ProShares vs. iShares Core Dividend | ProShares vs. SPDR SP Dividend | ProShares vs. Invesco SP 500 | ProShares vs. Vanguard Dividend Appreciation |
| IShares Russell vs. iShares Russell 1000 | IShares Russell vs. iShares Russell 2000 | IShares Russell vs. iShares Russell 2000 | IShares Russell vs. iShares Russell Mid Cap |
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 Sync Your Broker module to sync your existing holdings, watchlists, positions or portfolios from thousands of online brokerage services, banks, investment account aggregators and robo-advisors..
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