Correlation Between ProShares UltraPro and JPMorgan Momentum
Can any of the company-specific risk be diversified away by investing in both ProShares UltraPro and JPMorgan Momentum 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 UltraPro and JPMorgan Momentum into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between ProShares UltraPro SP500 and JPMorgan Momentum Factor, you can compare the effects of market volatilities on ProShares UltraPro and JPMorgan Momentum 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 UltraPro with a short position of JPMorgan Momentum. Check out your portfolio center. Please also check ongoing floating volatility patterns of ProShares UltraPro and JPMorgan Momentum.
Diversification Opportunities for ProShares UltraPro and JPMorgan Momentum
0.85 | Correlation Coefficient |
Very poor diversification
The 3 months correlation between ProShares and JPMorgan is 0.85. Overlapping area represents the amount of risk that can be diversified away by holding ProShares UltraPro SP500 and JPMorgan Momentum Factor in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on JPMorgan Momentum Factor and ProShares UltraPro 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 UltraPro SP500 are associated (or correlated) with JPMorgan Momentum. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of JPMorgan Momentum Factor has no effect on the direction of ProShares UltraPro i.e., ProShares UltraPro and JPMorgan Momentum go up and down completely randomly.
Pair Corralation between ProShares UltraPro and JPMorgan Momentum
Given the investment horizon of 90 days ProShares UltraPro SP500 is expected to under-perform the JPMorgan Momentum. In addition to that, ProShares UltraPro is 2.31 times more volatile than JPMorgan Momentum Factor. It trades about -0.05 of its total potential returns per unit of risk. JPMorgan Momentum Factor is currently generating about -0.05 per unit of volatility. If you would invest 6,056 in JPMorgan Momentum Factor on November 27, 2024 and sell it today you would lose (62.00) from holding JPMorgan Momentum Factor or give up 1.02% of portfolio value over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Strong |
| Accuracy | 100.0% |
| Values | Daily Returns |
ProShares UltraPro SP500 vs. JPMorgan Momentum Factor
Performance |
| Timeline |
| ProShares UltraPro SP500 |
| JPMorgan Momentum Factor |
ProShares UltraPro and JPMorgan Momentum Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with ProShares UltraPro and JPMorgan Momentum
The main advantage of trading using opposite ProShares UltraPro and JPMorgan Momentum positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if ProShares UltraPro position performs unexpectedly, JPMorgan Momentum 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 JPMorgan Momentum will offset losses from the drop in JPMorgan Momentum's long position.| ProShares UltraPro vs. ProShares UltraPro Dow30 | ProShares UltraPro vs. ProShares UltraPro Short | ProShares UltraPro vs. ProShares UltraPro QQQ | ProShares UltraPro vs. Direxion Daily Small |
| JPMorgan Momentum vs. JPMorgan Quality Factor | JPMorgan Momentum vs. JPMorgan Value Factor | JPMorgan Momentum vs. JPMorgan Diversified Return | JPMorgan Momentum vs. JPMorgan Diversified Return |
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 Anywhere module to track or share privately all of your investments from the convenience of any device.
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