Correlation Between ProShares Short and IPath Series
Can any of the company-specific risk be diversified away by investing in both ProShares Short and IPath Series 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 Short and IPath Series into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between ProShares Short Russell2000 and iPath Series B, you can compare the effects of market volatilities on ProShares Short and IPath Series 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 Short with a short position of IPath Series. Check out your portfolio center. Please also check ongoing floating volatility patterns of ProShares Short and IPath Series.
Diversification Opportunities for ProShares Short and IPath Series
0.85 | Correlation Coefficient |
Very poor diversification
The 3 months correlation between ProShares and IPath is 0.85. Overlapping area represents the amount of risk that can be diversified away by holding ProShares Short Russell2000 and iPath Series B in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on iPath Series B and ProShares Short 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 Short Russell2000 are associated (or correlated) with IPath Series. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of iPath Series B has no effect on the direction of ProShares Short i.e., ProShares Short and IPath Series go up and down completely randomly.
Pair Corralation between ProShares Short and IPath Series
Considering the 90-day investment horizon ProShares Short Russell2000 is expected to under-perform the IPath Series. But the etf apears to be less risky and, when comparing its historical volatility, ProShares Short Russell2000 is 1.65 times less risky than IPath Series. The etf trades about -0.08 of its potential returns per unit of risk. The iPath Series B is currently generating about 0.01 of returns per unit of risk over similar time horizon. If you would invest 4,848 in iPath Series B on September 1, 2024 and sell it today you would lose (69.00) from holding iPath Series B or give up 1.42% of portfolio value over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Strong |
| Accuracy | 100.0% |
| Values | Daily Returns |
ProShares Short Russell2000 vs. iPath Series B
Performance |
| Timeline |
| ProShares Short Russ |
| iPath Series B |
ProShares Short and IPath Series Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with ProShares Short and IPath Series
The main advantage of trading using opposite ProShares Short and IPath Series positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if ProShares Short position performs unexpectedly, IPath Series 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 IPath Series will offset losses from the drop in IPath Series' long position.The idea behind ProShares Short Russell2000 and iPath Series B pairs trading is to make the combined position market-neutral, meaning the overall market's direction will not affect its win or loss (or potential downside or upside). This can be achieved by designing a pairs trade with two highly correlated stocks or equities that operate in a similar space or sector, making it possible to obtain profits through simple and relatively low-risk investment.| IPath Series vs. ProShares VIX Mid Term | IPath Series vs. ProShares VIX Short Term | IPath Series vs. iPath Series B | IPath Series vs. ProShares Short VIX |
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 Companies Directory module to evaluate performance of over 100,000 Stocks, Funds, and ETFs against different fundamentals.
Other Complementary Tools
| Portfolio Optimization Compute new portfolio that will generate highest expected return given your specified tolerance for risk | |
| Commodity Directory Find actively traded commodities issued by global exchanges | |
| Sync Your Broker Sync your existing holdings, watchlists, positions or portfolios from thousands of online brokerage services, banks, investment account aggregators and robo-advisors. | |
| Commodity Channel Use Commodity Channel Index to analyze current equity momentum | |
| My Watchlist Analysis Analyze my current watchlist and to refresh optimization strategy. Macroaxis watchlist is based on self-learning algorithm to remember stocks you like |