Correlation Between ProShares UltraShort and SPDR SP
Can any of the company-specific risk be diversified away by investing in both ProShares UltraShort and SPDR 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 SPDR 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 SPDR SP 1500, you can compare the effects of market volatilities on ProShares UltraShort and SPDR 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 SPDR SP. Check out your portfolio center. Please also check ongoing floating volatility patterns of ProShares UltraShort and SPDR SP.
Diversification Opportunities for ProShares UltraShort and SPDR SP
0.77 | Correlation Coefficient |
Poor diversification
The 3 months correlation between ProShares and SPDR is 0.77. Overlapping area represents the amount of risk that can be diversified away by holding ProShares UltraShort 20 and SPDR SP 1500 in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on SPDR SP 1500 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 SPDR SP. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of SPDR SP 1500 has no effect on the direction of ProShares UltraShort i.e., ProShares UltraShort and SPDR SP go up and down completely randomly.
Pair Corralation between ProShares UltraShort and SPDR SP
Considering the 90-day investment horizon ProShares UltraShort 20 is expected to under-perform the SPDR SP. In addition to that, ProShares UltraShort is 2.65 times more volatile than SPDR SP 1500. It trades about -0.06 of its total potential returns per unit of risk. SPDR SP 1500 is currently generating about 0.35 per unit of volatility. If you would invest 18,315 in SPDR SP 1500 on September 1, 2024 and sell it today you would earn a total of 1,254 from holding SPDR SP 1500 or generate 6.85% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Significant |
| Accuracy | 95.45% |
| Values | Daily Returns |
ProShares UltraShort 20 vs. SPDR SP 1500
Performance |
| Timeline |
| ProShares UltraShort |
| SPDR SP 1500 |
ProShares UltraShort and SPDR SP Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with ProShares UltraShort and SPDR SP
The main advantage of trading using opposite ProShares UltraShort and SPDR SP positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if ProShares UltraShort position performs unexpectedly, SPDR 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 SPDR SP will offset losses from the drop in SPDR SP's long position.| ProShares UltraShort vs. Direxion Daily 20 | ProShares UltraShort vs. ProShares Short 20 | ProShares UltraShort vs. ProShares UltraShort 7 10 | ProShares UltraShort vs. Direxion Daily 7 10 |
| SPDR SP vs. iShares Core SP | SPDR SP vs. iShares Core MSCI | SPDR SP vs. iShares Broad USD | SPDR SP vs. iShares Core SP |
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 Crypto Correlations module to use cryptocurrency correlation module to diversify your cryptocurrency portfolio across multiple coins.
Other Complementary Tools
| Money Flow Index Determine momentum by analyzing Money Flow Index and other technical indicators | |
| Portfolio Volatility Check portfolio volatility and analyze historical return density to properly model market risk | |
| Sectors List of equity sectors categorizing publicly traded companies based on their primary business activities | |
| Share Portfolio Track or share privately all of your investments from the convenience of any device | |
| Technical Analysis Check basic technical indicators and analysis based on most latest market data |