Correlation Between ProShares Ultra and IShares Russell
Can any of the company-specific risk be diversified away by investing in both ProShares Ultra and IShares Russell 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 Ultra and IShares Russell into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between ProShares Ultra Euro and iShares Russell 1000, you can compare the effects of market volatilities on ProShares Ultra and IShares Russell 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 Ultra with a short position of IShares Russell. Check out your portfolio center. Please also check ongoing floating volatility patterns of ProShares Ultra and IShares Russell.
Diversification Opportunities for ProShares Ultra and IShares Russell
-0.81 | Correlation Coefficient |
Pay attention - limited upside
The 3 months correlation between ProShares and IShares is -0.81. Overlapping area represents the amount of risk that can be diversified away by holding ProShares Ultra Euro and iShares Russell 1000 in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on iShares Russell 1000 and ProShares Ultra 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 Ultra Euro are associated (or correlated) with IShares Russell. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of iShares Russell 1000 has no effect on the direction of ProShares Ultra i.e., ProShares Ultra and IShares Russell go up and down completely randomly.
Pair Corralation between ProShares Ultra and IShares Russell
Considering the 90-day investment horizon ProShares Ultra Euro is expected to generate 1.7 times more return on investment than IShares Russell. However, ProShares Ultra is 1.7 times more volatile than iShares Russell 1000. It trades about -0.09 of its potential returns per unit of risk. iShares Russell 1000 is currently generating about -0.23 per unit of risk. If you would invest 1,095 in ProShares Ultra Euro on September 18, 2024 and sell it today you would lose (19.00) from holding ProShares Ultra Euro or give up 1.74% of portfolio value over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Against |
| Strength | Significant |
| Accuracy | 100.0% |
| Values | Daily Returns |
ProShares Ultra Euro vs. iShares Russell 1000
Performance |
| Timeline |
| ProShares Ultra Euro |
| iShares Russell 1000 |
ProShares Ultra and IShares Russell Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with ProShares Ultra and IShares Russell
The main advantage of trading using opposite ProShares Ultra and IShares Russell positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if ProShares Ultra position performs unexpectedly, IShares Russell 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 Russell will offset losses from the drop in IShares Russell's long position.| ProShares Ultra vs. ProShares Ultra Yen | ProShares Ultra vs. ProShares UltraShort Yen | ProShares Ultra vs. ProShares UltraShort Euro | ProShares Ultra vs. ProShares Ultra Consumer |
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 Watchlist Optimization module to optimize watchlists to build efficient portfolios or rebalance existing positions based on the mean-variance optimization algorithm.
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