Correlation Between ProShares Short and ProShares Ultra
Can any of the company-specific risk be diversified away by investing in both ProShares Short 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 ProShares Short and ProShares Ultra into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between ProShares Short VIX and ProShares Ultra 20, you can compare the effects of market volatilities on ProShares Short 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 ProShares Short with a short position of ProShares Ultra. Check out your portfolio center. Please also check ongoing floating volatility patterns of ProShares Short and ProShares Ultra.
Diversification Opportunities for ProShares Short and ProShares Ultra
0.56 | Correlation Coefficient |
Very weak diversification
The 3 months correlation between ProShares and ProShares is 0.56. Overlapping area represents the amount of risk that can be diversified away by holding ProShares Short VIX 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 ProShares Short 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 Short VIX 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 ProShares Short i.e., ProShares Short and ProShares Ultra go up and down completely randomly.
Pair Corralation between ProShares Short and ProShares Ultra
Given the investment horizon of 90 days ProShares Short is expected to generate 1.15 times less return on investment than ProShares Ultra. In addition to that, ProShares Short is 1.3 times more volatile than ProShares Ultra 20. It trades about 0.02 of its total potential returns per unit of risk. ProShares Ultra 20 is currently generating about 0.03 per unit of volatility. If you would invest 1,687 in ProShares Ultra 20 on December 3, 2024 and sell it today you would earn a total of 223.00 from holding ProShares Ultra 20 or generate 13.22% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Weak |
| Accuracy | 100.0% |
| Values | Daily Returns |
ProShares Short VIX vs. ProShares Ultra 20
Performance |
| Timeline |
| ProShares Short VIX |
| ProShares Ultra 20 |
ProShares Short and ProShares Ultra Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with ProShares Short and ProShares Ultra
The main advantage of trading using opposite ProShares Short and ProShares Ultra positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if ProShares Short 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.| ProShares Short vs. ProShares Ultra VIX | ||
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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 Rebalancing module to analyze risk-adjusted returns against different time horizons to find asset-allocation targets.
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