Correlation Between ProShares and SPDR SP
Can any of the company-specific risk be diversified away by investing in both ProShares 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 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 DJ Brookfield and SPDR SP Global, you can compare the effects of market volatilities on ProShares 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 with a short position of SPDR SP. Check out your portfolio center. Please also check ongoing floating volatility patterns of ProShares and SPDR SP.
Diversification Opportunities for ProShares and SPDR SP
Very poor diversification
The 3 months correlation between ProShares and SPDR is 0.88. Overlapping area represents the amount of risk that can be diversified away by holding ProShares DJ Brookfield and SPDR SP Global in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on SPDR SP Global and ProShares 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 DJ Brookfield 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 Global has no effect on the direction of ProShares i.e., ProShares and SPDR SP go up and down completely randomly.
Pair Corralation between ProShares and SPDR SP
Given the investment horizon of 90 days ProShares DJ Brookfield is expected to under-perform the SPDR SP. In addition to that, ProShares is 1.01 times more volatile than SPDR SP Global. It trades about -0.01 of its total potential returns per unit of risk. SPDR SP Global is currently generating about 0.02 per unit of volatility. If you would invest 6,077 in SPDR SP Global on November 18, 2024 and sell it today you would earn a total of 61.00 from holding SPDR SP Global or generate 1.0% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Strong |
| Accuracy | 100.0% |
| Values | Daily Returns |
ProShares DJ Brookfield vs. SPDR SP Global
Performance |
| Timeline |
| ProShares DJ Brookfield |
| SPDR SP Global |
ProShares and SPDR SP Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with ProShares and SPDR SP
The main advantage of trading using opposite ProShares and SPDR SP positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if ProShares 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 vs. FlexShares STOXX Global | ProShares vs. SPDR SP Global | ProShares vs. iShares Infrastructure ETF | ProShares vs. iShares Global Infrastructure |
| SPDR SP vs. iShares Dividend and | SPDR SP vs. Martin Currie Sustainable | SPDR SP vs. VictoryShares THB Mid | SPDR SP vs. Mast Global Battery |
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 Volatility module to check portfolio volatility and analyze historical return density to properly model market risk.
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