Correlation Between ProShares Short and ProShares UltraShort
Can any of the company-specific risk be diversified away by investing in both ProShares Short and ProShares UltraShort 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 ProShares UltraShort into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between ProShares Short SP500 and ProShares UltraShort MSCI, you can compare the effects of market volatilities on ProShares Short and ProShares UltraShort 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 ProShares UltraShort. Check out your portfolio center. Please also check ongoing floating volatility patterns of ProShares Short and ProShares UltraShort.
Diversification Opportunities for ProShares Short and ProShares UltraShort
-0.34 | Correlation Coefficient |
Very good diversification
The 3 months correlation between ProShares and ProShares is -0.34. Overlapping area represents the amount of risk that can be diversified away by holding ProShares Short SP500 and ProShares UltraShort MSCI in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on ProShares UltraShort MSCI 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 SP500 are associated (or correlated) with ProShares UltraShort. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of ProShares UltraShort MSCI has no effect on the direction of ProShares Short i.e., ProShares Short and ProShares UltraShort go up and down completely randomly.
Pair Corralation between ProShares Short and ProShares UltraShort
Allowing for the 90-day total investment horizon ProShares Short SP500 is expected to under-perform the ProShares UltraShort. But the etf apears to be less risky and, when comparing its historical volatility, ProShares Short SP500 is 2.75 times less risky than ProShares UltraShort. The etf trades about -0.08 of its potential returns per unit of risk. The ProShares UltraShort MSCI is currently generating about -0.02 of returns per unit of risk over similar time horizon. If you would invest 5,260 in ProShares UltraShort MSCI on August 31, 2024 and sell it today you would lose (1,228) from holding ProShares UltraShort MSCI or give up 23.35% of portfolio value over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Against |
| Strength | Insignificant |
| Accuracy | 100.0% |
| Values | Daily Returns |
ProShares Short SP500 vs. ProShares UltraShort MSCI
Performance |
| Timeline |
| ProShares Short SP500 |
| ProShares UltraShort MSCI |
ProShares Short and ProShares UltraShort Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with ProShares Short and ProShares UltraShort
The main advantage of trading using opposite ProShares Short and ProShares UltraShort positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if ProShares Short position performs unexpectedly, ProShares UltraShort 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 UltraShort will offset losses from the drop in ProShares UltraShort's long position.| ProShares Short vs. ProShares Short QQQ | ProShares Short vs. ProShares Short Dow30 | ProShares Short vs. ProShares UltraShort SP500 | ProShares Short vs. ProShares Short Russell2000 |
| ProShares UltraShort vs. ProShares UltraPro MidCap400 | ProShares UltraShort vs. ProShares Short SmallCap600 |
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 Risk-Return Analysis module to view associations between returns expected from investment and the risk you assume.
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