Correlation Between Annaly Capital and ProShares Ultra

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Can any of the company-specific risk be diversified away by investing in both Annaly Capital and ProShares Ultra 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 Annaly Capital and ProShares Ultra into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Annaly Capital Management and ProShares Ultra Bloomberg, you can compare the effects of market volatilities on Annaly Capital and ProShares Ultra 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 Annaly Capital with a short position of ProShares Ultra. Check out your portfolio center. Please also check ongoing floating volatility patterns of Annaly Capital and ProShares Ultra.

Diversification Opportunities for Annaly Capital and ProShares Ultra

0.19
  Correlation Coefficient

Average diversification

The 3 months correlation between Annaly and ProShares is 0.19. Overlapping area represents the amount of risk that can be diversified away by holding Annaly Capital Management and ProShares Ultra Bloomberg in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on ProShares Ultra Bloomberg and Annaly Capital 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 Annaly Capital Management are associated (or correlated) with ProShares Ultra. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of ProShares Ultra Bloomberg has no effect on the direction of Annaly Capital i.e., Annaly Capital and ProShares Ultra go up and down completely randomly.

Pair Corralation between Annaly Capital and ProShares Ultra

Considering the 90-day investment horizon Annaly Capital Management is expected to generate 0.25 times more return on investment than ProShares Ultra. However, Annaly Capital Management is 3.95 times less risky than ProShares Ultra. It trades about 0.1 of its potential returns per unit of risk. ProShares Ultra Bloomberg is currently generating about -0.18 per unit of risk. If you would invest  1,891  in Annaly Capital Management on December 29, 2023 and sell it today you would earn a total of  53.00  from holding Annaly Capital Management or generate 2.8% return on investment over 90 days.
Time Period3 Months [change]
DirectionMoves Together 
StrengthInsignificant
Accuracy95.65%
ValuesDaily Returns

Annaly Capital Management  vs.  ProShares Ultra Bloomberg

 Performance 
       Timeline  
Annaly Capital Management 

Risk-Adjusted Performance

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Very Weak
Over the last 90 days Annaly Capital Management has generated negative risk-adjusted returns adding no value to investors with long positions. In spite of fairly strong essential indicators, Annaly Capital is not utilizing all of its potentials. The latest stock price disturbance, may contribute to short-term losses for the investors.
ProShares Ultra Bloomberg 

Risk-Adjusted Performance

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Low
 
High
Very Weak
Over the last 90 days ProShares Ultra Bloomberg has generated negative risk-adjusted returns adding no value to investors with long positions. Despite weak performance in the last few months, the Etf's forward indicators remain quite persistent which may send shares a bit higher in April 2024. The latest mess may also be a sign of long-standing up-swing for the ETF venture institutional investors.

Annaly Capital and ProShares Ultra Volatility Contrast

   Predicted Return Density   
       Returns  

Pair Trading with Annaly Capital and ProShares Ultra

The main advantage of trading using opposite Annaly Capital and ProShares Ultra positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Annaly Capital position performs unexpectedly, ProShares Ultra 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 ProShares Ultra will offset losses from the drop in ProShares Ultra's long position.
The idea behind Annaly Capital Management and ProShares Ultra Bloomberg 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 Watchlist Optimization module to optimize watchlists to build efficient portfolios or rebalance existing positions based on the mean-variance optimization algorithm.

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