Correlation Between ProShares Ultra and SPDR Russell
Can any of the company-specific risk be diversified away by investing in both ProShares Ultra and SPDR 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 SPDR Russell 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 SPDR Russell 1000, you can compare the effects of market volatilities on ProShares Ultra and SPDR 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 SPDR Russell. Check out your portfolio center. Please also check ongoing floating volatility patterns of ProShares Ultra and SPDR Russell.
Diversification Opportunities for ProShares Ultra and SPDR Russell
0.58 | Correlation Coefficient |
Very weak diversification
The 3 months correlation between ProShares and SPDR is 0.58. Overlapping area represents the amount of risk that can be diversified away by holding ProShares Ultra Yen and SPDR Russell 1000 in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on SPDR 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 Yen are associated (or correlated) with SPDR Russell. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of SPDR Russell 1000 has no effect on the direction of ProShares Ultra i.e., ProShares Ultra and SPDR Russell go up and down completely randomly.
Pair Corralation between ProShares Ultra and SPDR Russell
Considering the 90-day investment horizon ProShares Ultra Yen is expected to generate 2.16 times more return on investment than SPDR Russell. However, ProShares Ultra is 2.16 times more volatile than SPDR Russell 1000. It trades about 0.14 of its potential returns per unit of risk. SPDR Russell 1000 is currently generating about -0.26 per unit of risk. If you would invest 2,100 in ProShares Ultra Yen on December 1, 2024 and sell it today you would earn a total of 80.00 from holding ProShares Ultra Yen or generate 3.81% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Weak |
| Accuracy | 100.0% |
| Values | Daily Returns |
ProShares Ultra Yen vs. SPDR Russell 1000
Performance |
| Timeline |
| ProShares Ultra Yen |
| SPDR Russell 1000 |
ProShares Ultra and SPDR Russell Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with ProShares Ultra and SPDR Russell
The main advantage of trading using opposite ProShares Ultra and SPDR Russell positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if ProShares Ultra position performs unexpectedly, SPDR 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 SPDR Russell will offset losses from the drop in SPDR Russell'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 |
| SPDR Russell vs. SPDR Russell 1000 | SPDR Russell vs. SPDR MSCI USA | SPDR Russell vs. SPDR MSCI EAFE | SPDR Russell vs. SPDR SSGA Small |
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 Aroon Oscillator module to analyze current equity momentum using Aroon Oscillator and other momentum ratios.
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