Correlation Between Invesco CurrencyShares and ProShares Ultra
Can any of the company-specific risk be diversified away by investing in both Invesco CurrencyShares 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 Invesco CurrencyShares and ProShares Ultra into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Invesco CurrencyShares Japanese and ProShares Ultra FTSE, you can compare the effects of market volatilities on Invesco CurrencyShares 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 Invesco CurrencyShares with a short position of ProShares Ultra. Check out your portfolio center. Please also check ongoing floating volatility patterns of Invesco CurrencyShares and ProShares Ultra.
Diversification Opportunities for Invesco CurrencyShares and ProShares Ultra
-0.36 | Correlation Coefficient |
Very good diversification
The 3 months correlation between Invesco and ProShares is -0.36. Overlapping area represents the amount of risk that can be diversified away by holding Invesco CurrencyShares Japanes and ProShares Ultra FTSE in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on ProShares Ultra FTSE and Invesco CurrencyShares 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 Invesco CurrencyShares Japanese 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 FTSE has no effect on the direction of Invesco CurrencyShares i.e., Invesco CurrencyShares and ProShares Ultra go up and down completely randomly.
Pair Corralation between Invesco CurrencyShares and ProShares Ultra
Considering the 90-day investment horizon Invesco CurrencyShares Japanese is expected to under-perform the ProShares Ultra. But the etf apears to be less risky and, when comparing its historical volatility, Invesco CurrencyShares Japanese is 6.03 times less risky than ProShares Ultra. The etf trades about -0.08 of its potential returns per unit of risk. The ProShares Ultra FTSE is currently generating about 0.2 of returns per unit of risk over similar time horizon. If you would invest 1,112 in ProShares Ultra FTSE on February 5, 2024 and sell it today you would earn a total of 553.00 from holding ProShares Ultra FTSE or generate 49.73% return on investment over 90 days.
Time Period | 3 Months [change] |
Direction | Moves Against |
Strength | Insignificant |
Accuracy | 100.0% |
Values | Daily Returns |
Invesco CurrencyShares Japanes vs. ProShares Ultra FTSE
Performance |
Timeline |
Invesco CurrencyShares |
ProShares Ultra FTSE |
Invesco CurrencyShares and ProShares Ultra Volatility Contrast
Predicted Return Density |
Returns |
Pair Trading with Invesco CurrencyShares and ProShares Ultra
The main advantage of trading using opposite Invesco CurrencyShares and ProShares Ultra positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Invesco CurrencyShares 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 Invesco CurrencyShares Japanese and ProShares Ultra FTSE 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.
ProShares Ultra vs. ProShares Ultra MSCI | ProShares Ultra vs. ProShares Ultra MSCI | ProShares Ultra vs. ProShares Ultra MSCI | ProShares Ultra vs. ProShares Ultra MSCI |
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 Headlines Timeline module to stay connected to all market stories and filter out noise. Drill down to analyze hype elasticity.
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