Correlation Between SPDR Portfolio and ProShares Russell

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

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

Diversification Opportunities for SPDR Portfolio and ProShares Russell

-0.09

Correlation Coefficient

SPDR Portfolio  ProShares Russell

Good diversification

The 3 months correlation between SPDR and ProShares is -0.09. Overlapping area represents the amount of risk that can be diversified away by holding SPDR Portfolio Aggregate and ProShares Russell Dividend in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on ProShares Russell and SPDR Portfolio 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 SPDR Portfolio Aggregate are associated (or correlated) with ProShares Russell. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of ProShares Russell has no effect on the direction of SPDR Portfolio i.e., SPDR Portfolio and ProShares Russell go up and down completely randomly.

Pair Corralation between SPDR Portfolio and ProShares Russell

Given the investment horizon of 90 days SPDR Portfolio Aggregate is expected to under-perform the ProShares Russell. But the etf apears to be less risky and, when comparing its historical volatility, SPDR Portfolio Aggregate is 2.19 times less risky than ProShares Russell. The etf trades about -0.14 of its potential returns per unit of risk. The ProShares Russell Dividend is currently generating about 0.0 of returns per unit of risk over similar time horizon. If you would invest  4,954  in ProShares Russell Dividend on September 18, 2024 and sell it today you would lose (3.00) from holding ProShares Russell Dividend or give up 0.06% of portfolio value over 90 days.

Time Period	3 Months [change]
Direction	Moves Against
Strength	Insignificant
Accuracy	98.44%
Values	Daily Returns

SPDR Portfolio Aggregate  vs.  ProShares Russell Dividend

SPDR Portfolio Aggregate

Risk-Adjusted Performance

0 of 100

Very Weak

Over the last 90 days SPDR Portfolio Aggregate has generated negative risk-adjusted returns adding no value to investors with long positions. Despite somewhat strong basic indicators, SPDR Portfolio is not utilizing all of its potentials. The latest stock price disturbance, may contribute to short-term losses for the investors.

ProShares Russell

Risk-Adjusted Performance

0 of 100

Very Weak

Over the last 90 days ProShares Russell Dividend has generated negative risk-adjusted returns adding no value to investors with long positions. In spite of fairly stable fundamental indicators, ProShares Russell is not utilizing all of its potentials. The latest stock price fuss, may contribute to near-short-term losses for the sophisticated investors.

Pair Trading with SPDR Portfolio and ProShares Russell

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

The idea behind SPDR Portfolio Aggregate and ProShares Russell Dividend 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 Competition Analyzer module to analyze and compare many basic indicators for a group of related or unrelated entities.