Correlation Between ProShares Ultra and First Trust
Can any of the company-specific risk be diversified away by investing in both ProShares Ultra and First Trust 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 First Trust into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between ProShares Ultra Yen and First Trust China, you can compare the effects of market volatilities on ProShares Ultra and First Trust 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 First Trust. Check out your portfolio center. Please also check ongoing floating volatility patterns of ProShares Ultra and First Trust.
Diversification Opportunities for ProShares Ultra and First Trust
-0.54 | Correlation Coefficient |
Excellent diversification
The 3 months correlation between ProShares and First is -0.54. Overlapping area represents the amount of risk that can be diversified away by holding ProShares Ultra Yen and First Trust China in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on First Trust China 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 Yen are associated (or correlated) with First Trust. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of First Trust China has no effect on the direction of ProShares Ultra i.e., ProShares Ultra and First Trust go up and down completely randomly.
Pair Corralation between ProShares Ultra and First Trust
Considering the 90-day investment horizon ProShares Ultra Yen is expected to under-perform the First Trust. But the etf apears to be less risky and, when comparing its historical volatility, ProShares Ultra Yen is 2.08 times less risky than First Trust. The etf trades about -0.16 of its potential returns per unit of risk. The First Trust China is currently generating about -0.03 of returns per unit of risk over similar time horizon. If you would invest 2,101 in First Trust China on August 31, 2024 and sell it today you would lose (137.00) from holding First Trust China or give up 6.52% of portfolio value over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Against |
| Strength | Very Weak |
| Accuracy | 100.0% |
| Values | Daily Returns |
ProShares Ultra Yen vs. First Trust China
Performance |
| Timeline |
| ProShares Ultra Yen |
| First Trust China |
ProShares Ultra and First Trust Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with ProShares Ultra and First Trust
The main advantage of trading using opposite ProShares Ultra and First Trust positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if ProShares Ultra position performs unexpectedly, First Trust 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 First Trust will offset losses from the drop in First Trust's long position.| ProShares Ultra vs. ProShares Ultra Euro | ProShares Ultra vs. ProShares UltraShort Yen | ProShares Ultra vs. ProShares Ultra Telecommunications | ProShares Ultra vs. ProShares Ultra Consumer |
| First Trust vs. First Trust Japan | First Trust vs. First Trust Asia | First Trust vs. First Trust Brazil | First Trust vs. First Trust Latin |
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 My Watchlist Analysis module to analyze my current watchlist and to refresh optimization strategy. Macroaxis watchlist is based on self-learning algorithm to remember stocks you like.
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