Correlation Between ProShares Inflation and Franklin Liberty
Can any of the company-specific risk be diversified away by investing in both ProShares Inflation and Franklin Liberty 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 Inflation and Franklin Liberty into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between ProShares Inflation Expectations and Franklin Liberty Systematic, you can compare the effects of market volatilities on ProShares Inflation and Franklin Liberty 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 Inflation with a short position of Franklin Liberty. Check out your portfolio center. Please also check ongoing floating volatility patterns of ProShares Inflation and Franklin Liberty.
Diversification Opportunities for ProShares Inflation and Franklin Liberty
0.25 | Correlation Coefficient |
Modest diversification
The 3 months correlation between ProShares and Franklin is 0.25. Overlapping area represents the amount of risk that can be diversified away by holding ProShares Inflation Expectatio and Franklin Liberty Systematic in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Franklin Liberty Sys and ProShares Inflation 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 Inflation Expectations are associated (or correlated) with Franklin Liberty. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Franklin Liberty Sys has no effect on the direction of ProShares Inflation i.e., ProShares Inflation and Franklin Liberty go up and down completely randomly.
Pair Corralation between ProShares Inflation and Franklin Liberty
Given the investment horizon of 90 days ProShares Inflation is expected to generate 2.19 times less return on investment than Franklin Liberty. But when comparing it to its historical volatility, ProShares Inflation Expectations is 1.86 times less risky than Franklin Liberty. It trades about 0.02 of its potential returns per unit of risk. Franklin Liberty Systematic is currently generating about 0.03 of returns per unit of risk over similar time horizon. If you would invest 2,229 in Franklin Liberty Systematic on September 12, 2024 and sell it today you would earn a total of 173.00 from holding Franklin Liberty Systematic or generate 7.76% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Very Weak |
| Accuracy | 99.7% |
| Values | Daily Returns |
ProShares Inflation Expectatio vs. Franklin Liberty Systematic
Performance |
| Timeline |
| ProShares Inflation |
| Franklin Liberty Sys |
ProShares Inflation and Franklin Liberty Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with ProShares Inflation and Franklin Liberty
The main advantage of trading using opposite ProShares Inflation and Franklin Liberty positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if ProShares Inflation position performs unexpectedly, Franklin Liberty 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 Franklin Liberty will offset losses from the drop in Franklin Liberty's long position.| ProShares Inflation vs. SPDR SSgA Multi Asset | ProShares Inflation vs. ProShares Hedge Replication | ProShares Inflation vs. ProShares Short 7 10 | ProShares Inflation vs. ProShares Merger ETF |
| Franklin Liberty vs. ProShares Merger ETF | Franklin Liberty vs. IQ Merger Arbitrage | Franklin Liberty vs. ProShares Inflation Expectations |
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 Sign In To Macroaxis module to sign in to explore Macroaxis' wealth optimization platform and fintech modules.
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