Correlation Between ProShares VIX and LHA Market
Can any of the company-specific risk be diversified away by investing in both ProShares VIX and LHA Market 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 LHA Market 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 LHA Market State, you can compare the effects of market volatilities on ProShares VIX and LHA Market 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 LHA Market. Check out your portfolio center. Please also check ongoing floating volatility patterns of ProShares VIX and LHA Market.
Diversification Opportunities for ProShares VIX and LHA Market
0.06 | Correlation Coefficient |
Significant diversification
The 3 months correlation between ProShares and LHA is 0.06. Overlapping area represents the amount of risk that can be diversified away by holding ProShares VIX Mid Term and LHA Market State in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on LHA Market State 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 LHA Market. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of LHA Market State has no effect on the direction of ProShares VIX i.e., ProShares VIX and LHA Market go up and down completely randomly.
Pair Corralation between ProShares VIX and LHA Market
Given the investment horizon of 90 days ProShares VIX Mid Term is expected to under-perform the LHA Market. In addition to that, ProShares VIX is 2.85 times more volatile than LHA Market State. It trades about -0.19 of its total potential returns per unit of risk. LHA Market State is currently generating about 0.05 per unit of volatility. If you would invest 2,203 in LHA Market State on August 30, 2024 and sell it today you would earn a total of 14.00 from holding LHA Market State or generate 0.64% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Insignificant |
| Accuracy | 95.65% |
| Values | Daily Returns |
ProShares VIX Mid Term vs. LHA Market State
Performance |
| Timeline |
| ProShares VIX Mid |
| LHA Market State |
ProShares VIX and LHA Market Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with ProShares VIX and LHA Market
The main advantage of trading using opposite ProShares VIX and LHA Market positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if ProShares VIX position performs unexpectedly, LHA Market 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 LHA Market will offset losses from the drop in LHA Market's long position.| ProShares VIX vs. iPath Series B | ProShares VIX vs. ProShares VIX Short Term | ProShares VIX vs. ProShares Short VIX | ProShares VIX vs. ProShares Ultra 20 |
| LHA Market vs. Alpha Architect Quantitative | LHA Market vs. Alpha Architect International | LHA Market vs. Alpha Architect International | LHA Market vs. Alpha Architect Quantitative |
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 Comparator module to compare the composition, asset allocations and performance of any two portfolios in your account.
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