Correlation Between ProShares Ultra and 2x Long
Can any of the company-specific risk be diversified away by investing in both ProShares Ultra and 2x Long 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 2x Long into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between ProShares Ultra SP500 and 2x Long VIX, you can compare the effects of market volatilities on ProShares Ultra and 2x Long 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 2x Long. Check out your portfolio center. Please also check ongoing floating volatility patterns of ProShares Ultra and 2x Long.
Diversification Opportunities for ProShares Ultra and 2x Long
-0.65 | Correlation Coefficient |
Excellent diversification
The 3 months correlation between ProShares and UVIX is -0.65. Overlapping area represents the amount of risk that can be diversified away by holding ProShares Ultra SP500 and 2x Long VIX in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on 2x Long VIX 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 SP500 are associated (or correlated) with 2x Long. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of 2x Long VIX has no effect on the direction of ProShares Ultra i.e., ProShares Ultra and 2x Long go up and down completely randomly.
Pair Corralation between ProShares Ultra and 2x Long
Considering the 90-day investment horizon ProShares Ultra SP500 is expected to generate 0.16 times more return on investment than 2x Long. However, ProShares Ultra SP500 is 6.29 times less risky than 2x Long. It trades about 0.14 of its potential returns per unit of risk. 2x Long VIX is currently generating about -0.03 per unit of risk. If you would invest 5,985 in ProShares Ultra SP500 on September 2, 2024 and sell it today you would earn a total of 3,822 from holding ProShares Ultra SP500 or generate 63.86% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Against |
| Strength | Weak |
| Accuracy | 100.0% |
| Values | Daily Returns |
ProShares Ultra SP500 vs. 2x Long VIX
Performance |
| Timeline |
| ProShares Ultra SP500 |
| 2x Long VIX |
ProShares Ultra and 2x Long Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with ProShares Ultra and 2x Long
The main advantage of trading using opposite ProShares Ultra and 2x Long positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if ProShares Ultra position performs unexpectedly, 2x Long 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 2x Long will offset losses from the drop in 2x Long's long position.| ProShares Ultra vs. ProShares Ultra QQQ | ProShares Ultra vs. ProShares Ultra Dow30 | ProShares Ultra vs. ProShares UltraShort SP500 | ProShares Ultra vs. ProShares Ultra Financials |
| 2x Long vs. 1x Short VIX | 2x Long vs. ProShares UltraShort Bloomberg | 2x Long vs. MicroSectors FANG Index | 2x Long vs. AXS TSLA Bear |
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 Equity Analysis module to research over 250,000 global equities including funds, stocks and ETFs to find investment opportunities.
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