Correlation Between ProShares VIX and 1x Short
Can any of the company-specific risk be diversified away by investing in both ProShares VIX and 1x 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 VIX and 1x Short 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 1x Short VIX, you can compare the effects of market volatilities on ProShares VIX and 1x 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 VIX with a short position of 1x Short. Check out your portfolio center. Please also check ongoing floating volatility patterns of ProShares VIX and 1x Short.
Diversification Opportunities for ProShares VIX and 1x Short
-0.72 | Correlation Coefficient |
Pay attention - limited upside
The 3 months correlation between ProShares and SVIX is -0.72. Overlapping area represents the amount of risk that can be diversified away by holding ProShares VIX Mid Term and 1x Short VIX in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on 1x Short VIX 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 1x Short. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of 1x Short VIX has no effect on the direction of ProShares VIX i.e., ProShares VIX and 1x Short go up and down completely randomly.
Pair Corralation between ProShares VIX and 1x Short
Given the investment horizon of 90 days ProShares VIX Mid Term is expected to under-perform the 1x Short. But the etf apears to be less risky and, when comparing its historical volatility, ProShares VIX Mid Term is 1.88 times less risky than 1x Short. The etf trades about -0.02 of its potential returns per unit of risk. The 1x Short VIX is currently generating about 0.01 of returns per unit of risk over similar time horizon. If you would invest 3,526 in 1x Short VIX on September 3, 2024 and sell it today you would lose (559.00) from holding 1x Short VIX or give up 15.85% of portfolio value over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Against |
| Strength | Weak |
| Accuracy | 100.0% |
| Values | Daily Returns |
ProShares VIX Mid Term vs. 1x Short VIX
Performance |
| Timeline |
| ProShares VIX Mid |
| 1x Short VIX |
ProShares VIX and 1x Short Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with ProShares VIX and 1x Short
The main advantage of trading using opposite ProShares VIX and 1x Short positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if ProShares VIX position performs unexpectedly, 1x 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 1x Short will offset losses from the drop in 1x Short'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 |
| 1x Short vs. 2x Long VIX | 1x Short vs. ProShares VIX Mid Term | 1x Short vs. ProShares Short VIX | 1x Short vs. AXS 2X Innovation |
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 AI Portfolio Architect module to use AI to generate optimal portfolios and find profitable investment opportunities.
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