Correlation Between SP 500 and Leverage Shares
Can any of the company-specific risk be diversified away by investing in both SP 500 and Leverage Shares 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 SP 500 and Leverage Shares into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between SP 500 VIX and Leverage Shares 2x, you can compare the effects of market volatilities on SP 500 and Leverage Shares 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 SP 500 with a short position of Leverage Shares. Check out your portfolio center. Please also check ongoing floating volatility patterns of SP 500 and Leverage Shares.
Diversification Opportunities for SP 500 and Leverage Shares
-0.44 | Correlation Coefficient |
Very good diversification
The 3 months correlation between VILX and Leverage is -0.44. Overlapping area represents the amount of risk that can be diversified away by holding SP 500 VIX and Leverage Shares 2x in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Leverage Shares 2x and SP 500 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 SP 500 VIX are associated (or correlated) with Leverage Shares. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Leverage Shares 2x has no effect on the direction of SP 500 i.e., SP 500 and Leverage Shares go up and down completely randomly.
Pair Corralation between SP 500 and Leverage Shares
Assuming the 90 days trading horizon SP 500 VIX is expected to generate 2.56 times more return on investment than Leverage Shares. However, SP 500 is 2.56 times more volatile than Leverage Shares 2x. It trades about 0.06 of its potential returns per unit of risk. Leverage Shares 2x is currently generating about 0.06 per unit of risk. If you would invest 170.00 in SP 500 VIX on September 14, 2024 and sell it today you would earn a total of 157,389 from holding SP 500 VIX or generate 92581.76% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Against |
| Strength | Very Weak |
| Accuracy | 100.0% |
| Values | Daily Returns |
SP 500 VIX vs. Leverage Shares 2x
Performance |
| Timeline |
| SP 500 VIX |
| Leverage Shares 2x |
SP 500 and Leverage Shares Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with SP 500 and Leverage Shares
The main advantage of trading using opposite SP 500 and Leverage Shares positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if SP 500 position performs unexpectedly, Leverage Shares 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 Leverage Shares will offset losses from the drop in Leverage Shares' long position.| SP 500 vs. iShares MSCI Japan | SP 500 vs. Amundi EUR High | SP 500 vs. iShares JP Morgan | SP 500 vs. Xtrackers MSCI |
| Leverage Shares vs. Leverage Shares 3x | Leverage Shares vs. Leverage Shares 3x | Leverage Shares vs. Leverage Shares 3x | Leverage Shares vs. Leverage Shares 3x |
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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