Correlation Between ProShares Ultra and ProShares VIX
Can any of the company-specific risk be diversified away by investing in both ProShares Ultra and ProShares VIX 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 VIX into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between ProShares Ultra VIX and ProShares VIX Short Term, you can compare the effects of market volatilities on ProShares Ultra and ProShares VIX 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 VIX. Check out your portfolio center. Please also check ongoing floating volatility patterns of ProShares Ultra and ProShares VIX.
Diversification Opportunities for ProShares Ultra and ProShares VIX
0.99 | Correlation Coefficient |
No risk reduction
The 3 months correlation between ProShares and ProShares is 0.99. Overlapping area represents the amount of risk that can be diversified away by holding ProShares Ultra VIX and ProShares VIX Short Term in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on ProShares VIX Short 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 VIX are associated (or correlated) with ProShares VIX. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of ProShares VIX Short has no effect on the direction of ProShares Ultra i.e., ProShares Ultra and ProShares VIX go up and down completely randomly.
Pair Corralation between ProShares Ultra and ProShares VIX
Given the investment horizon of 90 days ProShares Ultra VIX is expected to under-perform the ProShares VIX. In addition to that, ProShares Ultra is 1.45 times more volatile than ProShares VIX Short Term. It trades about -0.05 of its total potential returns per unit of risk. ProShares VIX Short Term is currently generating about -0.05 per unit of volatility. If you would invest 18,700 in ProShares VIX Short Term on August 27, 2024 and sell it today you would lose (14,196) from holding ProShares VIX Short Term or give up 75.91% of portfolio value over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Very Strong |
| Accuracy | 100.0% |
| Values | Daily Returns |
ProShares Ultra VIX vs. ProShares VIX Short Term
Performance |
| Timeline |
| ProShares Ultra VIX |
| ProShares VIX Short |
ProShares Ultra and ProShares VIX Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with ProShares Ultra and ProShares VIX
The main advantage of trading using opposite ProShares Ultra and ProShares VIX positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if ProShares Ultra position performs unexpectedly, ProShares VIX 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 VIX will offset losses from the drop in ProShares VIX's long position.| ProShares Ultra vs. ProShares UltraPro Short | ProShares Ultra vs. ProShares Short VIX | ProShares Ultra vs. iPath Series B | ProShares Ultra vs. ProShares UltraPro QQQ |
| ProShares VIX vs. ProShares VIX Mid Term | ProShares VIX vs. ProShares Short VIX | ProShares VIX vs. ProShares Ultra VIX | ProShares VIX vs. iPath Series B |
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 Risk-Return Analysis module to view associations between returns expected from investment and the risk you assume.
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