Correlation Between ProShares Ultra and Ultimus Managers

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

By analyzing existing cross correlation between ProShares Ultra Bloomberg and Ultimus Managers Trust, you can compare the effects of market volatilities on ProShares Ultra and Ultimus Managers 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 Ultimus Managers. Check out your portfolio center. Please also check ongoing floating volatility patterns of ProShares Ultra and Ultimus Managers.

Diversification Opportunities for ProShares Ultra and Ultimus Managers

-0.38

Correlation Coefficient

ProShares Ultra  Ultimus Managers

Very good diversification

The 3 months correlation between ProShares and Ultimus is -0.38. Overlapping area represents the amount of risk that can be diversified away by holding ProShares Ultra Bloomberg and Ultimus Managers Trust in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Ultimus Managers Trust 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 Bloomberg are associated (or correlated) with Ultimus Managers. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Ultimus Managers Trust has no effect on the direction of ProShares Ultra i.e., ProShares Ultra and Ultimus Managers go up and down completely randomly.

Pair Corralation between ProShares Ultra and Ultimus Managers

Given the investment horizon of 90 days ProShares Ultra Bloomberg is expected to generate 5.32 times more return on investment than Ultimus Managers. However, ProShares Ultra is 5.32 times more volatile than Ultimus Managers Trust. It trades about 0.07 of its potential returns per unit of risk. Ultimus Managers Trust is currently generating about -0.06 per unit of risk. If you would invest  5,049  in ProShares Ultra Bloomberg on September 27, 2024 and sell it today you would earn a total of  279.00  from holding ProShares Ultra Bloomberg or generate 5.53% return on investment over 90 days.

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

ProShares Ultra Bloomberg  vs.  Ultimus Managers Trust

ProShares Ultra Bloomberg

Risk-Adjusted Performance

0 of 100

Very Weak

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

Ultimus Managers Trust

Risk-Adjusted Performance

10 of 100

OK

Compared to the overall equity markets, risk-adjusted returns on investments in Ultimus Managers Trust are ranked lower than 10 (%) of all global equities and portfolios over the last 90 days. In spite of comparatively conflicting basic indicators, Ultimus Managers may actually be approaching a critical reversion point that can send shares even higher in January 2025.

Pair Trading with ProShares Ultra and Ultimus Managers

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

The idea behind ProShares Ultra Bloomberg and Ultimus Managers 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 CEOs Directory module to screen CEOs from public companies around the world.