Correlation Between ProShares Ultra and Nuveen Ultra

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

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

Diversification Opportunities for ProShares Ultra and Nuveen Ultra

-0.86

Correlation Coefficient

ProShares Ultra  Nuveen Ultra

Pay attention - limited upside

The 3 months correlation between ProShares and Nuveen is -0.86. Overlapping area represents the amount of risk that can be diversified away by holding ProShares Ultra Yen and Nuveen Ultra Short in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Nuveen Ultra Short 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 Yen are associated (or correlated) with Nuveen Ultra. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Nuveen Ultra Short has no effect on the direction of ProShares Ultra i.e., ProShares Ultra and Nuveen Ultra go up and down completely randomly.

Pair Corralation between ProShares Ultra and Nuveen Ultra

Considering the 90-day investment horizon ProShares Ultra Yen is expected to under-perform the Nuveen Ultra. In addition to that, ProShares Ultra is 61.39 times more volatile than Nuveen Ultra Short. It trades about -0.06 of its total potential returns per unit of risk. Nuveen Ultra Short is currently generating about 0.71 per unit of volatility. If you would invest  2,501  in Nuveen Ultra Short on September 2, 2024 and sell it today you would earn a total of  29.00  from holding Nuveen Ultra Short or generate 1.16% return on investment over 90 days.

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

ProShares Ultra Yen  vs.  Nuveen Ultra Short

ProShares Ultra Yen

Risk-Adjusted Performance

0 of 100

Very Weak

Over the last 90 days ProShares Ultra Yen has generated negative risk-adjusted returns adding no value to investors with long positions. Despite quite persistent fundamental indicators, ProShares Ultra is not utilizing all of its potentials. The latest stock price mess, may contribute to short-term losses for the institutional investors.

Nuveen Ultra Short

Risk-Adjusted Performance

55 of 100

Excellent

Compared to the overall equity markets, risk-adjusted returns on investments in Nuveen Ultra Short are ranked lower than 55 (%) of all global equities and portfolios over the last 90 days. Despite somewhat strong basic indicators, Nuveen Ultra is not utilizing all of its potentials. The current stock price disturbance, may contribute to short-term losses for the investors.

Pair Trading with ProShares Ultra and Nuveen Ultra

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

The idea behind ProShares Ultra Yen and Nuveen Ultra Short 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 Aroon Oscillator module to analyze current equity momentum using Aroon Oscillator and other momentum ratios.