Correlation Between ProShares UltraShort and TSJA
Can any of the company-specific risk be diversified away by investing in both ProShares UltraShort and TSJA 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 UltraShort and TSJA into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between ProShares UltraShort Yen and TSJA, you can compare the effects of market volatilities on ProShares UltraShort and TSJA 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 UltraShort with a short position of TSJA. Check out your portfolio center. Please also check ongoing floating volatility patterns of ProShares UltraShort and TSJA.
Diversification Opportunities for ProShares UltraShort and TSJA
0.95 | Correlation Coefficient |
Almost no diversification
The 3 months correlation between ProShares and TSJA is 0.95. Overlapping area represents the amount of risk that can be diversified away by holding ProShares UltraShort Yen and TSJA in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on TSJA and ProShares UltraShort 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 UltraShort Yen are associated (or correlated) with TSJA. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of TSJA has no effect on the direction of ProShares UltraShort i.e., ProShares UltraShort and TSJA go up and down completely randomly.
Pair Corralation between ProShares UltraShort and TSJA
Considering the 90-day investment horizon ProShares UltraShort Yen is expected to generate 1.92 times more return on investment than TSJA. However, ProShares UltraShort is 1.92 times more volatile than TSJA. It trades about 0.07 of its potential returns per unit of risk. TSJA is currently generating about 0.1 per unit of risk. If you would invest 2,916 in ProShares UltraShort Yen on August 26, 2024 and sell it today you would earn a total of 1,656 from holding ProShares UltraShort Yen or generate 56.79% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Very Strong |
| Accuracy | 31.99% |
| Values | Daily Returns |
ProShares UltraShort Yen vs. TSJA
Performance |
| Timeline |
| ProShares UltraShort Yen |
| TSJA |
Risk-Adjusted Performance
0 of 100
Weak | Strong |
Very Weak
ProShares UltraShort and TSJA Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with ProShares UltraShort and TSJA
The main advantage of trading using opposite ProShares UltraShort and TSJA positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if ProShares UltraShort position performs unexpectedly, TSJA 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 TSJA will offset losses from the drop in TSJA's long position.The idea behind ProShares UltraShort Yen and TSJA pairs trading is to make the combined position market-neutral, meaning the overall market's direction will not affect its win or loss (or potential downside or upside). This can be achieved by designing a pairs trade with two highly correlated stocks or equities that operate in a similar space or sector, making it possible to obtain profits through simple and relatively low-risk investment.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 Analyzer module to analyze all characteristics, volatility and risk-adjusted return of Macroaxis ideas.
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