Correlation Between 2x Long and ProShares Ultra
Can any of the company-specific risk be diversified away by investing in both 2x Long 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 2x Long and ProShares Ultra into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between 2x Long VIX and ProShares Ultra SP500, you can compare the effects of market volatilities on 2x Long 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 2x Long with a short position of ProShares Ultra. Check out your portfolio center. Please also check ongoing floating volatility patterns of 2x Long and ProShares Ultra.
Diversification Opportunities for 2x Long and ProShares Ultra
-0.78 | Correlation Coefficient |
Pay attention - limited upside
The 3 months correlation between UVIX and ProShares is -0.78. Overlapping area represents the amount of risk that can be diversified away by holding 2x Long VIX and ProShares Ultra SP500 in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on ProShares Ultra SP500 and 2x Long 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 2x Long 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 SP500 has no effect on the direction of 2x Long i.e., 2x Long and ProShares Ultra go up and down completely randomly.
Pair Corralation between 2x Long and ProShares Ultra
Given the investment horizon of 90 days 2x Long VIX is expected to under-perform the ProShares Ultra. In addition to that, 2x Long is 4.93 times more volatile than ProShares Ultra SP500. It trades about -0.05 of its total potential returns per unit of risk. ProShares Ultra SP500 is currently generating about 0.09 per unit of volatility. If you would invest 9,671 in ProShares Ultra SP500 on September 14, 2024 and sell it today you would earn a total of 178.00 from holding ProShares Ultra SP500 or generate 1.84% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Against |
| Strength | Weak |
| Accuracy | 100.0% |
| Values | Daily Returns |
2x Long VIX vs. ProShares Ultra SP500
Performance |
| Timeline |
| 2x Long VIX |
| ProShares Ultra SP500 |
2x Long and ProShares Ultra Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with 2x Long and ProShares Ultra
The main advantage of trading using opposite 2x Long and ProShares Ultra positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if 2x Long 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.| 2x Long vs. ProShares Ultra SP500 | 2x Long vs. Direxion Daily SP | 2x Long vs. Direxion Daily SP | 2x Long vs. MicroSectors FANG Index |
| ProShares Ultra vs. ProShares Ultra QQQ | ProShares Ultra vs. ProShares Ultra Dow30 | ProShares Ultra vs. ProShares UltraShort SP500 | ProShares Ultra vs. ProShares Ultra Financials |
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 Correlation Analysis module to reduce portfolio risk simply by holding instruments which are not perfectly correlated.
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