Correlation Between ProShares Ultra and IShares Convertible
Can any of the company-specific risk be diversified away by investing in both ProShares Ultra and IShares Convertible 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 Ultra and IShares Convertible into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between ProShares Ultra Euro and iShares Convertible Bond, you can compare the effects of market volatilities on ProShares Ultra and IShares Convertible 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 Ultra with a short position of IShares Convertible. Check out your portfolio center. Please also check ongoing floating volatility patterns of ProShares Ultra and IShares Convertible.
Diversification Opportunities for ProShares Ultra and IShares Convertible
0.72 | Correlation Coefficient |
Poor diversification
The 3 months correlation between ProShares and IShares is 0.72. Overlapping area represents the amount of risk that can be diversified away by holding ProShares Ultra Euro and iShares Convertible Bond in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on iShares Convertible Bond and ProShares Ultra 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 Ultra Euro are associated (or correlated) with IShares Convertible. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of iShares Convertible Bond has no effect on the direction of ProShares Ultra i.e., ProShares Ultra and IShares Convertible go up and down completely randomly.
Pair Corralation between ProShares Ultra and IShares Convertible
Considering the 90-day investment horizon ProShares Ultra is expected to generate 1.42 times less return on investment than IShares Convertible. In addition to that, ProShares Ultra is 1.33 times more volatile than iShares Convertible Bond. It trades about 0.06 of its total potential returns per unit of risk. iShares Convertible Bond is currently generating about 0.12 per unit of volatility. If you would invest 7,710 in iShares Convertible Bond on April 28, 2024 and sell it today you would earn a total of 264.00 from holding iShares Convertible Bond or generate 3.42% return on investment over 90 days.
Time Period | 3 Months [change] |
Direction | Moves Together |
Strength | Significant |
Accuracy | 100.0% |
Values | Daily Returns |
ProShares Ultra Euro vs. iShares Convertible Bond
Performance |
Timeline |
ProShares Ultra Euro |
iShares Convertible Bond |
ProShares Ultra and IShares Convertible Volatility Contrast
Predicted Return Density |
Returns |
Pair Trading with ProShares Ultra and IShares Convertible
The main advantage of trading using opposite ProShares Ultra and IShares Convertible positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if ProShares Ultra position performs unexpectedly, IShares Convertible 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 Convertible will offset losses from the drop in IShares Convertible's long position.ProShares Ultra vs. ProShares Ultra Yen | ProShares Ultra vs. ProShares UltraShort Yen | ProShares Ultra vs. ProShares UltraShort Euro | ProShares Ultra vs. ProShares Ultra Consumer |
IShares Convertible vs. First Trust Emerging | IShares Convertible vs. First Trust Managed | IShares Convertible vs. First Trust TCW | IShares Convertible vs. First Trust Senior |
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 Portfolio Anywhere module to track or share privately all of your investments from the convenience of any device.
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