Correlation Between ProShares Ultra and AB Low
Can any of the company-specific risk be diversified away by investing in both ProShares Ultra and AB Low 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 AB Low 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 AB Low Volatility, you can compare the effects of market volatilities on ProShares Ultra and AB Low 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 AB Low. Check out your portfolio center. Please also check ongoing floating volatility patterns of ProShares Ultra and AB Low.
Diversification Opportunities for ProShares Ultra and AB Low
-0.77 | Correlation Coefficient |
Pay attention - limited upside
The 3 months correlation between ProShares and LOWV is -0.77. Overlapping area represents the amount of risk that can be diversified away by holding ProShares Ultra Euro and AB Low Volatility in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on AB Low Volatility 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 AB Low. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of AB Low Volatility has no effect on the direction of ProShares Ultra i.e., ProShares Ultra and AB Low go up and down completely randomly.
Pair Corralation between ProShares Ultra and AB Low
Considering the 90-day investment horizon ProShares Ultra Euro is expected to under-perform the AB Low. In addition to that, ProShares Ultra is 1.35 times more volatile than AB Low Volatility. It trades about -0.01 of its total potential returns per unit of risk. AB Low Volatility is currently generating about 0.14 per unit of volatility. If you would invest 5,270 in AB Low Volatility on August 31, 2024 and sell it today you would earn a total of 1,947 from holding AB Low Volatility or generate 36.94% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Against |
| Strength | Weak |
| Accuracy | 99.73% |
| Values | Daily Returns |
ProShares Ultra Euro vs. AB Low Volatility
Performance |
| Timeline |
| ProShares Ultra Euro |
| AB Low Volatility |
ProShares Ultra and AB Low Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with ProShares Ultra and AB Low
The main advantage of trading using opposite ProShares Ultra and AB Low positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if ProShares Ultra position performs unexpectedly, AB Low 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 AB Low will offset losses from the drop in AB Low'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 |
| AB Low vs. AB High Dividend | AB Low vs. AB Disruptors ETF | AB Low vs. Ab Tax Aware Short | AB Low vs. AB Ultra Short |
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 Idea Breakdown module to analyze constituents of all Macroaxis ideas. Macroaxis investment ideas are predefined, sector-focused investing themes.
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