Correlation Between ProShares UltraShort and JPMorgan BetaBuilders

Can any of the company-specific risk be diversified away by investing in both ProShares UltraShort and JPMorgan BetaBuilders 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 UltraShort and JPMorgan BetaBuilders into the same portfolio, which is an essential part of the fundamental portfolio management process.

By analyzing existing cross correlation between ProShares UltraShort Yen and JPMorgan BetaBuilders Aggregate, you can compare the effects of market volatilities on ProShares UltraShort and JPMorgan BetaBuilders 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 UltraShort with a short position of JPMorgan BetaBuilders. Check out your portfolio center. Please also check ongoing floating volatility patterns of ProShares UltraShort and JPMorgan BetaBuilders.

Diversification Opportunities for ProShares UltraShort and JPMorgan BetaBuilders

-0.92

Correlation Coefficient

ProShares UltraShort  JPMorgan BetaBuilders

Pay attention - limited upside

The 3 months correlation between ProShares and JPMorgan is -0.92. Overlapping area represents the amount of risk that can be diversified away by holding ProShares UltraShort Yen and JPMorgan BetaBuilders Aggregat in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on JPMorgan BetaBuilders and ProShares UltraShort 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 UltraShort Yen are associated (or correlated) with JPMorgan BetaBuilders. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of JPMorgan BetaBuilders has no effect on the direction of ProShares UltraShort i.e., ProShares UltraShort and JPMorgan BetaBuilders go up and down completely randomly.

Pair Corralation between ProShares UltraShort and JPMorgan BetaBuilders

Considering the 90-day investment horizon ProShares UltraShort Yen is expected to generate 5.35 times more return on investment than JPMorgan BetaBuilders. However, ProShares UltraShort is 5.35 times more volatile than JPMorgan BetaBuilders Aggregate. It trades about 0.17 of its potential returns per unit of risk. JPMorgan BetaBuilders Aggregate is currently generating about -0.11 per unit of risk. If you would invest  3,896  in ProShares UltraShort Yen on August 26, 2024 and sell it today you would earn a total of  676.00  from holding ProShares UltraShort Yen or generate 17.35% return on investment over 90 days.

Time Period	3 Months [change]
Direction	Moves Against
Strength	Significant
Accuracy	100.0%
Values	Daily Returns

ProShares UltraShort Yen  vs.  JPMorgan BetaBuilders Aggregat

ProShares UltraShort Yen

Risk-Adjusted Performance

13 of 100

Good

Compared to the overall equity markets, risk-adjusted returns on investments in ProShares UltraShort Yen are ranked lower than 13 (%) of all global equities and portfolios over the last 90 days. In spite of comparatively unfluctuating fundamental indicators, ProShares UltraShort unveiled solid returns over the last few months and may actually be approaching a breakup point.

JPMorgan BetaBuilders

Risk-Adjusted Performance

0 of 100

Very Weak

Over the last 90 days JPMorgan BetaBuilders Aggregate has generated negative risk-adjusted returns adding no value to investors with long positions. Despite nearly stable technical and fundamental indicators, JPMorgan BetaBuilders is not utilizing all of its potentials. The current stock price disturbance, may contribute to mid-run losses for the stockholders.

Pair Trading with ProShares UltraShort and JPMorgan BetaBuilders

The main advantage of trading using opposite ProShares UltraShort and JPMorgan BetaBuilders positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if ProShares UltraShort position performs unexpectedly, JPMorgan BetaBuilders 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 JPMorgan BetaBuilders will offset losses from the drop in JPMorgan BetaBuilders' long position.

The idea behind ProShares UltraShort Yen and JPMorgan BetaBuilders Aggregate 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.

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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 Equity Search module to search for actively traded equities including funds and ETFs from over 30 global markets.