Correlation Between ProShares Ultra and Dimensional Global

Can any of the company-specific risk be diversified away by investing in both ProShares Ultra and Dimensional Global 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 Dimensional Global 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 Dimensional Global Core, you can compare the effects of market volatilities on ProShares Ultra and Dimensional Global 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 Dimensional Global. Check out your portfolio center. Please also check ongoing floating volatility patterns of ProShares Ultra and Dimensional Global.

Diversification Opportunities for ProShares Ultra and Dimensional Global

0.68

Correlation Coefficient

ProShares Ultra  Dimensional Global

Poor diversification

The 3 months correlation between ProShares and Dimensional is 0.68. Overlapping area represents the amount of risk that can be diversified away by holding ProShares Ultra Yen and Dimensional Global Core in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Dimensional Global Core 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 Dimensional Global. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Dimensional Global Core has no effect on the direction of ProShares Ultra i.e., ProShares Ultra and Dimensional Global go up and down completely randomly.

Pair Corralation between ProShares Ultra and Dimensional Global

Considering the 90-day investment horizon ProShares Ultra Yen is expected to under-perform the Dimensional Global. In addition to that, ProShares Ultra is 5.95 times more volatile than Dimensional Global Core. It trades about -0.18 of its total potential returns per unit of risk. Dimensional Global Core is currently generating about -0.04 per unit of volatility. If you would invest  5,433  in Dimensional Global Core on September 18, 2024 and sell it today you would lose (39.00) from holding Dimensional Global Core or give up 0.72% of portfolio value over 90 days.

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

ProShares Ultra Yen  vs.  Dimensional Global Core

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 unsteady performance in the last few months, the Etf's fundamental indicators remain quite persistent which may send shares a bit higher in January 2025. The latest mess may also be a sign of long-standing up-swing for the ETF venture institutional investors.

Dimensional Global Core

Risk-Adjusted Performance

0 of 100

Very Weak

Over the last 90 days Dimensional Global Core has generated negative risk-adjusted returns adding no value to investors with long positions. Even with relatively invariable technical and fundamental indicators, Dimensional Global is not utilizing all of its potentials. The latest stock price agitation, may contribute to short-term losses for the retail investors.

Pair Trading with ProShares Ultra and Dimensional Global

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

The idea behind ProShares Ultra Yen and Dimensional Global Core 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 Volatility Analysis module to get historical volatility and risk analysis based on latest market data.