Correlation Between NYSE Composite and ProShares UltraPro
Can any of the company-specific risk be diversified away by investing in both NYSE Composite and ProShares UltraPro 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 NYSE Composite and ProShares UltraPro into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between NYSE Composite and ProShares UltraPro SP500, you can compare the effects of market volatilities on NYSE Composite and ProShares UltraPro 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 NYSE Composite with a short position of ProShares UltraPro. Check out your portfolio center. Please also check ongoing floating volatility patterns of NYSE Composite and ProShares UltraPro.
Diversification Opportunities for NYSE Composite and ProShares UltraPro
0.96 | Correlation Coefficient |
Almost no diversification
The 3 months correlation between NYSE and ProShares is 0.96. Overlapping area represents the amount of risk that can be diversified away by holding NYSE Composite and ProShares UltraPro SP500 in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on ProShares UltraPro SP500 and NYSE Composite 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 NYSE Composite are associated (or correlated) with ProShares UltraPro. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of ProShares UltraPro SP500 has no effect on the direction of NYSE Composite i.e., NYSE Composite and ProShares UltraPro go up and down completely randomly.
Pair Corralation between NYSE Composite and ProShares UltraPro
Assuming the 90 days trading horizon NYSE Composite is expected to generate 3.18 times less return on investment than ProShares UltraPro. But when comparing it to its historical volatility, NYSE Composite is 3.36 times less risky than ProShares UltraPro. It trades about 0.11 of its potential returns per unit of risk. ProShares UltraPro SP500 is currently generating about 0.11 of returns per unit of risk over similar time horizon. If you would invest 4,192 in ProShares UltraPro SP500 on August 27, 2024 and sell it today you would earn a total of 5,202 from holding ProShares UltraPro SP500 or generate 124.09% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Very Strong |
| Accuracy | 100.0% |
| Values | Daily Returns |
NYSE Composite vs. ProShares UltraPro SP500
Performance |
| Timeline |
NYSE Composite and ProShares UltraPro Volatility Contrast
Predicted Return Density |
| Returns |
NYSE Composite
Pair trading matchups for NYSE Composite
ProShares UltraPro SP500
Pair trading matchups for ProShares UltraPro
Pair Trading with NYSE Composite and ProShares UltraPro
The main advantage of trading using opposite NYSE Composite and ProShares UltraPro positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if NYSE Composite position performs unexpectedly, ProShares UltraPro 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 UltraPro will offset losses from the drop in ProShares UltraPro's long position.| NYSE Composite vs. Hooker Furniture | NYSE Composite vs. Hudson Pacific Properties | NYSE Composite vs. Canlan Ice Sports | NYSE Composite vs. Boston Properties |
| ProShares UltraPro vs. ProShares UltraPro Dow30 | ProShares UltraPro vs. ProShares UltraPro Short | ProShares UltraPro vs. ProShares UltraPro QQQ | ProShares UltraPro vs. Direxion Daily Small |
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 Portfolio Volatility module to check portfolio volatility and analyze historical return density to properly model market risk.
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