Correlation Between ProShares UltraShort and Invesco SP
Can any of the company-specific risk be diversified away by investing in both ProShares UltraShort and Invesco SP 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 UltraShort and Invesco SP into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between ProShares UltraShort 20 and Invesco SP 500, you can compare the effects of market volatilities on ProShares UltraShort and Invesco SP 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 UltraShort with a short position of Invesco SP. Check out your portfolio center. Please also check ongoing floating volatility patterns of ProShares UltraShort and Invesco SP.
Diversification Opportunities for ProShares UltraShort and Invesco SP
0.83 | Correlation Coefficient |
Very poor diversification
The 3 months correlation between ProShares and Invesco is 0.83. Overlapping area represents the amount of risk that can be diversified away by holding ProShares UltraShort 20 and Invesco SP 500 in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Invesco SP 500 and ProShares UltraShort 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 UltraShort 20 are associated (or correlated) with Invesco SP. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Invesco SP 500 has no effect on the direction of ProShares UltraShort i.e., ProShares UltraShort and Invesco SP go up and down completely randomly.
Pair Corralation between ProShares UltraShort and Invesco SP
Considering the 90-day investment horizon ProShares UltraShort is expected to generate 1.8 times less return on investment than Invesco SP. In addition to that, ProShares UltraShort is 2.02 times more volatile than Invesco SP 500. It trades about 0.03 of its total potential returns per unit of risk. Invesco SP 500 is currently generating about 0.12 per unit of volatility. If you would invest 5,184 in Invesco SP 500 on August 27, 2024 and sell it today you would earn a total of 1,070 from holding Invesco SP 500 or generate 20.64% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Strong |
| Accuracy | 100.0% |
| Values | Daily Returns |
ProShares UltraShort 20 vs. Invesco SP 500
Performance |
| Timeline |
| ProShares UltraShort |
| Invesco SP 500 |
ProShares UltraShort and Invesco SP Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with ProShares UltraShort and Invesco SP
The main advantage of trading using opposite ProShares UltraShort and Invesco SP positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if ProShares UltraShort position performs unexpectedly, Invesco SP 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 Invesco SP will offset losses from the drop in Invesco SP's long position.| ProShares UltraShort vs. ProShares UltraShort 7 10 | ProShares UltraShort vs. ProShares UltraShort SP500 | ProShares UltraShort vs. iShares 20 Year | ProShares UltraShort vs. Direxion Daily 20 |
| Invesco SP vs. Invesco SP 500 | Invesco SP vs. Invesco SP 500 | Invesco SP vs. Invesco SP MidCap | Invesco SP vs. Invesco SP SmallCap |
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 Equity Search module to search for actively traded equities including funds and ETFs from over 30 global markets.
Other Complementary Tools
| Efficient Frontier Plot and analyze your portfolio and positions against risk-return landscape of the market. | |
| Price Transformation Use Price Transformation models to analyze the depth of different equity instruments across global markets | |
| Competition Analyzer Analyze and compare many basic indicators for a group of related or unrelated entities | |
| Commodity Directory Find actively traded commodities issued by global exchanges | |
| Aroon Oscillator Analyze current equity momentum using Aroon Oscillator and other momentum ratios |