Correlation Between ProShares VIX and VIIX
Can any of the company-specific risk be diversified away by investing in both ProShares VIX and VIIX 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 VIIX 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 VIIX, you can compare the effects of market volatilities on ProShares VIX and VIIX 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 VIIX. Check out your portfolio center. Please also check ongoing floating volatility patterns of ProShares VIX and VIIX.
Diversification Opportunities for ProShares VIX and VIIX
0.37 | Correlation Coefficient |
Weak diversification
The 3 months correlation between ProShares and VIIX is 0.37. Overlapping area represents the amount of risk that can be diversified away by holding ProShares VIX Mid Term and VIIX in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on VIIX 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 VIIX. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of VIIX has no effect on the direction of ProShares VIX i.e., ProShares VIX and VIIX go up and down completely randomly.
Pair Corralation between ProShares VIX and VIIX
Given the investment horizon of 90 days ProShares VIX Mid Term is expected to generate 0.62 times more return on investment than VIIX. However, ProShares VIX Mid Term is 1.62 times less risky than VIIX. It trades about -0.06 of its potential returns per unit of risk. VIIX is currently generating about -0.15 per unit of risk. If you would invest 3,073 in ProShares VIX Mid Term on August 27, 2024 and sell it today you would lose (1,670) from holding ProShares VIX Mid Term or give up 54.34% of portfolio value over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Very Weak |
| Accuracy | 31.65% |
| Values | Daily Returns |
ProShares VIX Mid Term vs. VIIX
Performance |
| Timeline |
| ProShares VIX Mid |
| VIIX |
Risk-Adjusted Performance
0 of 100
Weak | Strong |
Very Weak
ProShares VIX and VIIX Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with ProShares VIX and VIIX
The main advantage of trading using opposite ProShares VIX and VIIX positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if ProShares VIX position performs unexpectedly, VIIX 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 VIIX will offset losses from the drop in VIIX'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 |
| VIIX vs. FT Vest Equity | VIIX vs. Zillow Group Class | VIIX vs. Northern Lights | VIIX vs. VanEck Vectors Moodys |
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 Top Crypto Exchanges module to search and analyze digital assets across top global cryptocurrency exchanges.
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