Correlation Between ProShares UltraPro and IShares 20
Can any of the company-specific risk be diversified away by investing in both ProShares UltraPro and IShares 20 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 UltraPro and IShares 20 into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between ProShares UltraPro Short and iShares 20 Year, you can compare the effects of market volatilities on ProShares UltraPro and IShares 20 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 UltraPro with a short position of IShares 20. Check out your portfolio center. Please also check ongoing floating volatility patterns of ProShares UltraPro and IShares 20.
Diversification Opportunities for ProShares UltraPro and IShares 20
0.82 | Correlation Coefficient |
Very poor diversification
The 3 months correlation between ProShares and IShares is 0.82. Overlapping area represents the amount of risk that can be diversified away by holding ProShares UltraPro Short and iShares 20 Year in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on iShares 20 Year and ProShares UltraPro 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 UltraPro Short are associated (or correlated) with IShares 20. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of iShares 20 Year has no effect on the direction of ProShares UltraPro i.e., ProShares UltraPro and IShares 20 go up and down completely randomly.
Pair Corralation between ProShares UltraPro and IShares 20
Given the investment horizon of 90 days ProShares UltraPro Short is expected to under-perform the IShares 20. In addition to that, ProShares UltraPro is 3.23 times more volatile than iShares 20 Year. It trades about -0.09 of its total potential returns per unit of risk. iShares 20 Year is currently generating about -0.01 per unit of volatility. If you would invest 9,734 in iShares 20 Year on August 31, 2024 and sell it today you would lose (433.00) from holding iShares 20 Year or give up 4.45% of portfolio value over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Strong |
| Accuracy | 100.0% |
| Values | Daily Returns |
ProShares UltraPro Short vs. iShares 20 Year
Performance |
| Timeline |
| ProShares UltraPro Short |
| iShares 20 Year |
ProShares UltraPro and IShares 20 Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with ProShares UltraPro and IShares 20
The main advantage of trading using opposite ProShares UltraPro and IShares 20 positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if ProShares UltraPro position performs unexpectedly, IShares 20 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 20 will offset losses from the drop in IShares 20's long position.| ProShares UltraPro vs. ProShares UltraPro QQQ | ProShares UltraPro vs. ProShares UltraPro Short | ProShares UltraPro vs. ProShares UltraPro Short | ProShares UltraPro vs. ProShares Ultra VIX |
| IShares 20 vs. iShares 7 10 Year | IShares 20 vs. iShares 1 3 Year | IShares 20 vs. iShares Russell 2000 | IShares 20 vs. iShares iBoxx Investment |
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 Backtesting module to avoid under-diversification and over-optimization by backtesting your portfolios.
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