Correlation Between ProShares Ultra and ProShares Short
Can any of the company-specific risk be diversified away by investing in both ProShares Ultra and ProShares Short 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 ProShares Short into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between ProShares Ultra 20 and ProShares Short VIX, you can compare the effects of market volatilities on ProShares Ultra and ProShares Short 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 ProShares Short. Check out your portfolio center. Please also check ongoing floating volatility patterns of ProShares Ultra and ProShares Short.
Diversification Opportunities for ProShares Ultra and ProShares Short
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 Ultra 20 and ProShares Short VIX in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on ProShares Short 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 20 are associated (or correlated) with ProShares Short. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of ProShares Short VIX has no effect on the direction of ProShares Ultra i.e., ProShares Ultra and ProShares Short go up and down completely randomly.
Pair Corralation between ProShares Ultra and ProShares Short
Considering the 90-day investment horizon ProShares Ultra is expected to generate 5.46 times less return on investment than ProShares Short. But when comparing it to its historical volatility, ProShares Ultra 20 is 1.22 times less risky than ProShares Short. It trades about 0.01 of its potential returns per unit of risk. ProShares Short VIX is currently generating about 0.04 of returns per unit of risk over similar time horizon. If you would invest 4,737 in ProShares Short VIX on December 3, 2024 and sell it today you would earn a total of 217.00 from holding ProShares Short VIX or generate 4.58% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Weak |
| Accuracy | 100.0% |
| Values | Daily Returns |
ProShares Ultra 20 vs. ProShares Short VIX
Performance |
| Timeline |
| ProShares Ultra 20 |
| ProShares Short VIX |
ProShares Ultra and ProShares Short Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with ProShares Ultra and ProShares Short
The main advantage of trading using opposite ProShares Ultra and ProShares Short positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if ProShares Ultra position performs unexpectedly, ProShares Short 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 Short will offset losses from the drop in ProShares Short's long position.| ProShares Ultra vs. ProShares Ultra MSCI | ||
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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 File Import module to quickly import all of your third-party portfolios from your local drive in csv format.
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