ProShares VIX Correlations

VIXY Etf

USD 30.52 1.99 6.98%

The current 90-days correlation between ProShares VIX Short and Direxion Daily Energy is 0.01 (i.e., Significant diversification). The correlation of ProShares VIX is a statistical measure of how it moves in relation to other instruments. This measure is expressed in what is known as the correlation coefficient, which ranges between -1 and +1. A correlation greater than 0.8 is generally described as strong, whereas a correlation less than 0.5 is generally considered weak. If the correlation is 0, the equities are not correlated; they are entirely random.

ProShares VIX Correlation With Market

Excellent diversification

The correlation between ProShares VIX Short Term and DJI is -0.68 (i.e., Excellent diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding ProShares VIX Short Term and DJI in the same portfolio, assuming nothing else is changed.

Build AI portfolio with ProShares Etf

Check out World Market Map to better understand how to build diversified portfolios, which includes a position in ProShares VIX Short Term. Also, note that the market value of any etf could be closely tied with the direction of predictive economic indicators such as signals in small area income & poverty estimates.

Moving together with ProShares Etf

1.0	VXX	iPath Series B Low Volatility	Pair Corr
0.93	VIXM	ProShares VIX Mid	Pair Corr
0.87	VXZ	iPath Series B	Pair Corr

Moving against ProShares Etf

0.53	DFEN	Direxion Daily Aerospace	Pair Corr
0.44	CEFD	ETRACS Monthly Pay	Pair Corr
0.4	NUGT	Direxion Daily Gold	Pair Corr
0.38	UDN	Invesco DB Dollar	Pair Corr
0.36	USD	ProShares Ultra Semi	Pair Corr
0.31	UGL	ProShares Ultra Gold	Pair Corr
0.76	DAUG	FT Cboe Vest	Pair Corr
0.62	UAUG	Innovator Equity Ultra	Pair Corr
0.57	NAPR	Innovator Nasdaq 100	Pair Corr
0.53	RSST	Return Stacked Stocks	Pair Corr
0.41	ESGD	iShares ESG Aware	Pair Corr
0.39	FNK	First Trust Mid	Pair Corr
0.37	DISV	Dimensional ETF Trust	Pair Corr
0.35	AUMI	Themes Gold Miners	Pair Corr
0.33	FTCS	First Trust Capital	Pair Corr
0.32	MEXX	Direxion Daily MSCI	Pair Corr
0.32	STXV	EA Series Trust	Pair Corr
0.31	FEM	First Trust Emerging	Pair Corr
0.75	GPGCX	Grandeur Peak Global	Pair Corr
0.67	DIA	SPDR Dow Jones	Pair Corr
0.64	PAUG	Innovator Equity Power	Pair Corr
0.62	SLV	iShares Silver Trust	Pair Corr
0.57	QTAP	Innovator Growth 100	Pair Corr
0.49	EAFG	Pacer Funds Trust	Pair Corr

Related Correlations Analysis

	SVXY	UVXY	SMB	STOT	GUSH	FTSD	AAPU	TZA	QID	ERX
SVXY		-0.94	0.18	0.06	-0.43	0.24	-0.44	-0.31	-0.38	-0.18	SVXY
UVXY	-0.94		-0.49	-0.39	0.12	-0.55	0.59	0.56	0.15	-0.16	UVXY
SMB	0.18	-0.49		0.95	0.71	0.95	-0.55	-0.75	0.53	0.88	SMB
STOT	0.06	-0.39	0.95		0.79	0.96	-0.5	-0.73	0.59	0.93	STOT
GUSH	-0.43	0.12	0.71	0.79		0.68	-0.17	-0.55	0.57	0.94	GUSH
FTSD	0.24	-0.55	0.95	0.96	0.68		-0.59	-0.78	0.55	0.87	FTSD
AAPU	-0.44	0.59	-0.55	-0.5	-0.17	-0.59		0.72	-0.1	-0.38	AAPU
TZA	-0.31	0.56	-0.75	-0.73	-0.55	-0.78	0.72		-0.2	-0.74	TZA
QID	-0.38	0.15	0.53	0.59	0.57	0.55	-0.1	-0.2		0.6	QID
ERX	-0.18	-0.16	0.88	0.93	0.94	0.87	-0.38	-0.74	0.6		ERX
	SVXY	UVXY	SMB	STOT	GUSH	FTSD	AAPU	TZA	QID	ERX

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Correlation Matchups

Over a given time period, the two securities move together when the Correlation Coefficient is positive. Conversely, the two assets move in opposite directions when the Correlation Coefficient is negative. Determining your positions' relationship to each other is valuable for analyzing and projecting your portfolio's future expected return and risk.

High positive correlations

FTSD	+ 0.96	STOT
STOT	+ 0.95	SMB
FTSD	+ 0.95	SMB
ERX	+ 0.94	GUSH
ERX	+ 0.93	STOT
ERX	+ 0.88	SMB

High negative correlations

UVXY	- 0.94	SVXY
TZA	- 0.78	FTSD
TZA	- 0.75	SMB
ERX	- 0.74	TZA
TZA	- 0.73	STOT
AAPU	- 0.59	FTSD

ProShares VIX Constituents Risk-Adjusted Indicators

There is a big difference between ProShares Etf performing well and ProShares VIX ETF doing well as a business compared to the competition. There are so many exceptions to the norm that investors cannot definitively determine what's good or bad unless they analyze ProShares VIX's multiple risk-adjusted performance indicators across the competitive landscape. These indicators are quantitative in nature and help investors forecast volatility and risk-adjusted expected returns across various positions.

	Mean Deviation	Jensen Alpha	Sortino Ratio	Treynor Ratio	Semi Deviation	Expected Shortfall	Potential Upside	Value @Risk	Maximum Drawdown
SVXY	1.12	0.00	0.01	0.03	1.55	(1.18)	2.03	(2.23)	8.30
UVXY	3.36	(0.04)	0.00	0.04	0.00	0.00	6.81	(6.05)	30.60
SMB	0.08	0.01	(0.20)	1.10	0.00	(0.09)	0.17	(0.12)	0.46
STOT	0.05	0.01	(0.40)	(0.38)	0.00	(0.06)	0.11	(0.08)	0.34
GUSH	2.77	0.59	0.18	0.71	2.75	(3.05)	6.67	(4.41)	13.96
FTSD	0.05	0.01	(0.45)	(1.47)	0.00	(0.07)	0.12	(0.09)	0.34
AAPU	1.91	(0.24)	0.00	(0.14)	0.00	0.00	5.19	(4.61)	18.48
TZA	2.50	(0.13)	0.00	0.07	0.00	0.00	5.12	(4.80)	16.18
QID	1.46	0.09	0.00	(0.02)	1.63	(1.66)	3.78	(2.80)	8.39
ERX	2.24	0.69	0.27	1.20	2.14	(2.63)	5.26	(3.91)	10.76

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