Correlation Between SPDR SP and ProShares
Can any of the company-specific risk be diversified away by investing in both SPDR SP and ProShares 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 SPDR SP and ProShares into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between SPDR SP 500 and ProShares SP 500, you can compare the effects of market volatilities on SPDR SP and ProShares 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 SPDR SP with a short position of ProShares. Check out your portfolio center. Please also check ongoing floating volatility patterns of SPDR SP and ProShares.
Diversification Opportunities for SPDR SP and ProShares
Almost no diversification
The 3 months correlation between SPDR and ProShares is 0.92. Overlapping area represents the amount of risk that can be diversified away by holding SPDR SP 500 and ProShares SP 500 in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on ProShares SP 500 and SPDR SP 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 SPDR SP 500 are associated (or correlated) with ProShares. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of ProShares SP 500 has no effect on the direction of SPDR SP i.e., SPDR SP and ProShares go up and down completely randomly.
Pair Corralation between SPDR SP and ProShares
Considering the 90-day investment horizon SPDR SP 500 is expected to under-perform the ProShares. But the etf apears to be less risky and, when comparing its historical volatility, SPDR SP 500 is 1.13 times less risky than ProShares. The etf trades about -0.36 of its potential returns per unit of risk. The ProShares SP 500 is currently generating about -0.19 of returns per unit of risk over similar time horizon. If you would invest 10,011 in ProShares SP 500 on January 21, 2024 and sell it today you would lose (308.00) from holding ProShares SP 500 or give up 3.08% of portfolio value over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Very Strong |
| Accuracy | 95.65% |
| Values | Daily Returns |
SPDR SP 500 vs. ProShares SP 500
Performance |
| Timeline |
| SPDR SP 500 |
| ProShares SP 500 |
SPDR SP and ProShares Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with SPDR SP and ProShares
The main advantage of trading using opposite SPDR SP and ProShares positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if SPDR SP position performs unexpectedly, ProShares 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 will offset losses from the drop in ProShares' long position.| SPDR SP vs. Dimensional Targeted Value | SPDR SP vs. Dimensional World ex | SPDR SP vs. Dimensional Small Cap |
| ProShares vs. iShares Core Dividend | ProShares vs. SPDR SP Dividend | ProShares vs. Invesco SP 500 | ProShares vs. Vanguard Dividend Appreciation |
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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