Correlation Between ProShares Large and IShares Russell
Can any of the company-specific risk be diversified away by investing in both ProShares Large and IShares 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 Large and IShares Russell into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between ProShares Large Cap and iShares Russell 1000, you can compare the effects of market volatilities on ProShares Large and IShares 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 Large with a short position of IShares Russell. Check out your portfolio center. Please also check ongoing floating volatility patterns of ProShares Large and IShares Russell.
Diversification Opportunities for ProShares Large and IShares Russell
1.0 | Correlation Coefficient |
No risk reduction
The 3 months correlation between ProShares and IShares is 1.0. Overlapping area represents the amount of risk that can be diversified away by holding ProShares Large Cap and iShares Russell 1000 in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on iShares Russell 1000 and ProShares Large 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 Large Cap are associated (or correlated) with IShares Russell. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of iShares Russell 1000 has no effect on the direction of ProShares Large i.e., ProShares Large and IShares Russell go up and down completely randomly.
Pair Corralation between ProShares Large and IShares Russell
Considering the 90-day investment horizon ProShares Large is expected to generate 1.2 times less return on investment than IShares Russell. In addition to that, ProShares Large is 1.01 times more volatile than iShares Russell 1000. It trades about 0.04 of its total potential returns per unit of risk. iShares Russell 1000 is currently generating about 0.05 per unit of volatility. If you would invest 22,174 in iShares Russell 1000 on January 25, 2024 and sell it today you would earn a total of 5,625 from holding iShares Russell 1000 or generate 25.37% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Very Strong |
| Accuracy | 100.0% |
| Values | Daily Returns |
ProShares Large Cap vs. iShares Russell 1000
Performance |
| Timeline |
| ProShares Large Cap |
| iShares Russell 1000 |
ProShares Large and IShares Russell Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with ProShares Large and IShares Russell
The main advantage of trading using opposite ProShares Large and IShares Russell positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if ProShares Large position performs unexpectedly, IShares 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 IShares Russell will offset losses from the drop in IShares Russell's long position.| ProShares Large vs. ProShares Hedge Replication | ProShares Large vs. ProShares Ultra MSCI | ProShares Large vs. ProShares Ultra Consumer | ProShares Large vs. ProShares Ultra Consumer |
| IShares Russell vs. iShares Russell 3000 | IShares Russell vs. iShares Russell Mid Cap | IShares Russell vs. iShares Russell 1000 | IShares Russell vs. iShares Russell 2000 |
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 Instant Ratings module to determine any equity ratings based on digital recommendations. Macroaxis instant equity ratings are based on combination of fundamental analysis and risk-adjusted market performance.
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