Correlation Between Vanguard Momentum and ProShares Ultra
Can any of the company-specific risk be diversified away by investing in both Vanguard Momentum 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 Vanguard Momentum and ProShares Ultra into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Vanguard Momentum Factor and ProShares Ultra Industrials, you can compare the effects of market volatilities on Vanguard Momentum 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 Vanguard Momentum with a short position of ProShares Ultra. Check out your portfolio center. Please also check ongoing floating volatility patterns of Vanguard Momentum and ProShares Ultra.
Diversification Opportunities for Vanguard Momentum and ProShares Ultra
0.92 | Correlation Coefficient |
Almost no diversification
The 3 months correlation between Vanguard and ProShares is 0.92. Overlapping area represents the amount of risk that can be diversified away by holding Vanguard Momentum Factor and ProShares Ultra Industrials in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on ProShares Ultra Indu and Vanguard Momentum 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 Vanguard Momentum Factor 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 Indu has no effect on the direction of Vanguard Momentum i.e., Vanguard Momentum and ProShares Ultra go up and down completely randomly.
Pair Corralation between Vanguard Momentum and ProShares Ultra
Given the investment horizon of 90 days Vanguard Momentum Factor is expected to under-perform the ProShares Ultra. But the etf apears to be less risky and, when comparing its historical volatility, Vanguard Momentum Factor is 1.33 times less risky than ProShares Ultra. The etf trades about -0.17 of its potential returns per unit of risk. The ProShares Ultra Industrials is currently generating about -0.11 of returns per unit of risk over similar time horizon. If you would invest 3,363 in ProShares Ultra Industrials on January 26, 2024 and sell it today you would lose (122.00) from holding ProShares Ultra Industrials or give up 3.63% of portfolio value over 90 days.
Time Period | 3 Months [change] |
Direction | Moves Together |
Strength | Very Strong |
Accuracy | 95.45% |
Values | Daily Returns |
Vanguard Momentum Factor vs. ProShares Ultra Industrials
Performance |
Timeline |
Vanguard Momentum Factor |
ProShares Ultra Indu |
Vanguard Momentum and ProShares Ultra Volatility Contrast
Predicted Return Density |
Returns |
Pair Trading with Vanguard Momentum and ProShares Ultra
The main advantage of trading using opposite Vanguard Momentum and ProShares Ultra positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Vanguard Momentum 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.Vanguard Momentum vs. Vanguard Small Cap Growth | Vanguard Momentum vs. Vanguard Mid Cap Value | Vanguard Momentum vs. Vanguard Small Cap Value | Vanguard Momentum vs. Vanguard Mid Cap Index |
ProShares Ultra vs. ProShares Ultra Consumer | ProShares Ultra vs. ProShares Ultra Consumer | ProShares Ultra vs. ProShares Ultra Utilities | ProShares Ultra vs. ProShares Ultra Health |
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 ETF Categories module to list of ETF categories grouped based on various criteria, such as the investment strategy or type of investments.
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