Correlation Between ProShares UltraPro and Calamos ETF

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

By analyzing existing cross correlation between ProShares UltraPro SP500 and Calamos ETF Trust, you can compare the effects of market volatilities on ProShares UltraPro and Calamos ETF 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 UltraPro with a short position of Calamos ETF. Check out your portfolio center. Please also check ongoing floating volatility patterns of ProShares UltraPro and Calamos ETF.

Diversification Opportunities for ProShares UltraPro and Calamos ETF

0.98

Correlation Coefficient

ProShares UltraPro  Calamos ETF

Almost no diversification

The 3 months correlation between ProShares and Calamos is 0.98. Overlapping area represents the amount of risk that can be diversified away by holding ProShares UltraPro SP500 and Calamos ETF Trust in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Calamos ETF Trust and ProShares UltraPro 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 UltraPro SP500 are associated (or correlated) with Calamos ETF. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Calamos ETF Trust has no effect on the direction of ProShares UltraPro i.e., ProShares UltraPro and Calamos ETF go up and down completely randomly.

Pair Corralation between ProShares UltraPro and Calamos ETF

Given the investment horizon of 90 days ProShares UltraPro SP500 is expected to generate 10.32 times more return on investment than Calamos ETF. However, ProShares UltraPro is 10.32 times more volatile than Calamos ETF Trust. It trades about 0.19 of its potential returns per unit of risk. Calamos ETF Trust is currently generating about 0.25 per unit of risk. If you would invest  7,637  in ProShares UltraPro SP500 on September 4, 2024 and sell it today you would earn a total of  2,125  from holding ProShares UltraPro SP500 or generate 27.83% return on investment over 90 days.

Time Period	3 Months [change]
Direction	Moves Together
Strength	Very Strong
Accuracy	100.0%
Values	Daily Returns

ProShares UltraPro SP500  vs.  Calamos ETF Trust

ProShares UltraPro SP500

Risk-Adjusted Performance

15 of 100

Good

Compared to the overall equity markets, risk-adjusted returns on investments in ProShares UltraPro SP500 are ranked lower than 15 (%) of all global equities and portfolios over the last 90 days. In spite of very abnormal basic indicators, ProShares UltraPro displayed solid returns over the last few months and may actually be approaching a breakup point.

Calamos ETF Trust

Risk-Adjusted Performance

19 of 100

Solid

Compared to the overall equity markets, risk-adjusted returns on investments in Calamos ETF Trust are ranked lower than 19 (%) of all global equities and portfolios over the last 90 days. Even with relatively steady basic indicators, Calamos ETF is not utilizing all of its potentials. The latest stock price chaos, may contribute to medium-term losses for the stakeholders.

Pair Trading with ProShares UltraPro and Calamos ETF

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

The idea behind ProShares UltraPro SP500 and Calamos ETF Trust 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 Portfolio Dashboard module to portfolio dashboard that provides centralized access to all your investments.