Correlation Between ProShares VIX and ETF Series
Can any of the company-specific risk be diversified away by investing in both ProShares VIX and ETF Series 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 VIX and ETF Series into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between ProShares VIX Mid Term and ETF Series Solutions, you can compare the effects of market volatilities on ProShares VIX and ETF Series 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 VIX with a short position of ETF Series. Check out your portfolio center. Please also check ongoing floating volatility patterns of ProShares VIX and ETF Series.
Diversification Opportunities for ProShares VIX and ETF Series
-0.67 | Correlation Coefficient |
Excellent diversification
The 3 months correlation between ProShares and ETF is -0.67. Overlapping area represents the amount of risk that can be diversified away by holding ProShares VIX Mid Term and ETF Series Solutions in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on ETF Series Solutions and ProShares VIX 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 VIX Mid Term are associated (or correlated) with ETF Series. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of ETF Series Solutions has no effect on the direction of ProShares VIX i.e., ProShares VIX and ETF Series go up and down completely randomly.
Pair Corralation between ProShares VIX and ETF Series
Given the investment horizon of 90 days ProShares VIX Mid Term is expected to under-perform the ETF Series. In addition to that, ProShares VIX is 2.09 times more volatile than ETF Series Solutions. It trades about -0.07 of its total potential returns per unit of risk. ETF Series Solutions is currently generating about 0.1 per unit of volatility. If you would invest 2,109 in ETF Series Solutions on September 2, 2024 and sell it today you would earn a total of 1,267 from holding ETF Series Solutions or generate 60.08% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Against |
| Strength | Weak |
| Accuracy | 100.0% |
| Values | Daily Returns |
ProShares VIX Mid Term vs. ETF Series Solutions
Performance |
| Timeline |
| ProShares VIX Mid |
| ETF Series Solutions |
ProShares VIX and ETF Series Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with ProShares VIX and ETF Series
The main advantage of trading using opposite ProShares VIX and ETF Series positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if ProShares VIX position performs unexpectedly, ETF Series 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 ETF Series will offset losses from the drop in ETF Series' long position.The idea behind ProShares VIX Mid Term and ETF Series Solutions pairs trading is to make the combined position market-neutral, meaning the overall market's direction will not affect its win or loss (or potential downside or upside). This can be achieved by designing a pairs trade with two highly correlated stocks or equities that operate in a similar space or sector, making it possible to obtain profits through simple and relatively low-risk investment.| ETF Series vs. Core Alternative ETF | ETF Series vs. Invesco SP 500 | ETF Series vs. ETF Series Solutions | ETF Series vs. WisdomTree Target Range |
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 Price Ceiling Movement module to calculate and plot Price Ceiling Movement for different equity instruments.
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