Correlation Between PIMCO Mortgage and ProShares Ultra
Can any of the company-specific risk be diversified away by investing in both PIMCO Mortgage 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 PIMCO Mortgage and ProShares Ultra into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between PIMCO Mortgage Backed Securities and ProShares Ultra 20, you can compare the effects of market volatilities on PIMCO Mortgage 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 PIMCO Mortgage with a short position of ProShares Ultra. Check out your portfolio center. Please also check ongoing floating volatility patterns of PIMCO Mortgage and ProShares Ultra.
Diversification Opportunities for PIMCO Mortgage and ProShares Ultra
0.74 | Correlation Coefficient |
Poor diversification
The 3 months correlation between PIMCO and ProShares is 0.74. Overlapping area represents the amount of risk that can be diversified away by holding PIMCO Mortgage Backed Securiti and ProShares Ultra 20 in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on ProShares Ultra 20 and PIMCO Mortgage 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 PIMCO Mortgage Backed Securities 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 20 has no effect on the direction of PIMCO Mortgage i.e., PIMCO Mortgage and ProShares Ultra go up and down completely randomly.
Pair Corralation between PIMCO Mortgage and ProShares Ultra
Given the investment horizon of 90 days PIMCO Mortgage Backed Securities is expected to generate 0.21 times more return on investment than ProShares Ultra. However, PIMCO Mortgage Backed Securities is 4.83 times less risky than ProShares Ultra. It trades about 0.08 of its potential returns per unit of risk. ProShares Ultra 20 is currently generating about -0.03 per unit of risk. If you would invest 4,838 in PIMCO Mortgage Backed Securities on December 2, 2024 and sell it today you would earn a total of 83.00 from holding PIMCO Mortgage Backed Securities or generate 1.72% return on investment over 90 days.
Time Period | 3 Months [change] |
Direction | Moves Together |
Strength | Significant |
Accuracy | 100.0% |
Values | Daily Returns |
PIMCO Mortgage Backed Securiti vs. ProShares Ultra 20
Performance |
Timeline |
PIMCO Mortgage Backed |
ProShares Ultra 20 |
PIMCO Mortgage and ProShares Ultra Volatility Contrast
Predicted Return Density |
Returns |
Pair Trading with PIMCO Mortgage and ProShares Ultra
The main advantage of trading using opposite PIMCO Mortgage and ProShares Ultra positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if PIMCO Mortgage 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.PIMCO Mortgage vs. Columbia Diversified Fixed | PIMCO Mortgage vs. MFS Active Core | PIMCO Mortgage vs. Doubleline Etf Trust | PIMCO Mortgage vs. Virtus Newfleet ABSMBS |
ProShares Ultra vs. ProShares Ultra MSCI | ProShares Ultra vs. ProShares Ultra Euro | ProShares Ultra vs. ProShares Ultra High | ProShares Ultra vs. ProShares Ultra FTSE |
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 Portfolio Center module to all portfolio management and optimization tools to improve performance of your portfolios.
Other Complementary Tools
Idea Optimizer Use advanced portfolio builder with pre-computed micro ideas to build optimal portfolio | |
Equity Forecasting Use basic forecasting models to generate price predictions and determine price momentum | |
Aroon Oscillator Analyze current equity momentum using Aroon Oscillator and other momentum ratios | |
USA ETFs Find actively traded Exchange Traded Funds (ETF) in USA | |
Headlines Timeline Stay connected to all market stories and filter out noise. Drill down to analyze hype elasticity |