Correlation Between ProShares Short and Vanguard Russell
Can any of the company-specific risk be diversified away by investing in both ProShares Short and Vanguard 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 Short and Vanguard Russell into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between ProShares Short VIX and Vanguard Russell 1000, you can compare the effects of market volatilities on ProShares Short and Vanguard 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 Short with a short position of Vanguard Russell. Check out your portfolio center. Please also check ongoing floating volatility patterns of ProShares Short and Vanguard Russell.
Diversification Opportunities for ProShares Short and Vanguard Russell
0.72 | Correlation Coefficient |
Poor diversification
The 3 months correlation between ProShares and Vanguard is 0.72. Overlapping area represents the amount of risk that can be diversified away by holding ProShares Short VIX and Vanguard Russell 1000 in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Vanguard Russell 1000 and ProShares Short 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 Short VIX are associated (or correlated) with Vanguard Russell. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Vanguard Russell 1000 has no effect on the direction of ProShares Short i.e., ProShares Short and Vanguard Russell go up and down completely randomly.
Pair Corralation between ProShares Short and Vanguard Russell
Given the investment horizon of 90 days ProShares Short VIX is expected to generate 1.8 times more return on investment than Vanguard Russell. However, ProShares Short is 1.8 times more volatile than Vanguard Russell 1000. It trades about -0.07 of its potential returns per unit of risk. Vanguard Russell 1000 is currently generating about -0.18 per unit of risk. If you would invest 5,639 in ProShares Short VIX on January 26, 2024 and sell it today you would lose (155.00) from holding ProShares Short VIX or give up 2.75% of portfolio value over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Significant |
| Accuracy | 100.0% |
| Values | Daily Returns |
ProShares Short VIX vs. Vanguard Russell 1000
Performance |
| Timeline |
| ProShares Short VIX |
| Vanguard Russell 1000 |
ProShares Short and Vanguard Russell Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with ProShares Short and Vanguard Russell
The main advantage of trading using opposite ProShares Short and Vanguard Russell positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if ProShares Short position performs unexpectedly, Vanguard 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 Vanguard Russell will offset losses from the drop in Vanguard Russell's long position.| ProShares Short vs. Innovator Equity Accelerated | ProShares Short vs. Innovator Equity Accelerated | ProShares Short vs. Innovator Growth 100 Accelerated | ProShares Short vs. Innovator Equity Accelerated |
| Vanguard Russell vs. iShares Small Cap | Vanguard Russell vs. Pacer Cash Cows | Vanguard Russell vs. GXO Logistics | Vanguard Russell vs. Amplify CWP Enhanced |
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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