Correlation Between ProShares VIX and ETRACS Monthly
Can any of the company-specific risk be diversified away by investing in both ProShares VIX and ETRACS Monthly 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 ETRACS Monthly into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between ProShares VIX Short Term and ETRACS Monthly Pay, you can compare the effects of market volatilities on ProShares VIX and ETRACS Monthly 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 ETRACS Monthly. Check out your portfolio center. Please also check ongoing floating volatility patterns of ProShares VIX and ETRACS Monthly.
Diversification Opportunities for ProShares VIX and ETRACS Monthly
-0.74 | Correlation Coefficient |
Pay attention - limited upside
The 3 months correlation between ProShares and ETRACS is -0.74. Overlapping area represents the amount of risk that can be diversified away by holding ProShares VIX Short Term and ETRACS Monthly Pay in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on ETRACS Monthly Pay 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 Short Term are associated (or correlated) with ETRACS Monthly. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of ETRACS Monthly Pay has no effect on the direction of ProShares VIX i.e., ProShares VIX and ETRACS Monthly go up and down completely randomly.
Pair Corralation between ProShares VIX and ETRACS Monthly
Given the investment horizon of 90 days ProShares VIX Short Term is expected to under-perform the ETRACS Monthly. In addition to that, ProShares VIX is 4.65 times more volatile than ETRACS Monthly Pay. It trades about -0.03 of its total potential returns per unit of risk. ETRACS Monthly Pay is currently generating about 0.08 per unit of volatility. If you would invest 1,880 in ETRACS Monthly Pay on November 2, 2024 and sell it today you would earn a total of 146.00 from holding ETRACS Monthly Pay or generate 7.77% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Against |
| Strength | Weak |
| Accuracy | 100.0% |
| Values | Daily Returns |
ProShares VIX Short Term vs. ETRACS Monthly Pay
Performance |
| Timeline |
| ProShares VIX Short |
| ETRACS Monthly Pay |
ProShares VIX and ETRACS Monthly Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with ProShares VIX and ETRACS Monthly
The main advantage of trading using opposite ProShares VIX and ETRACS Monthly positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if ProShares VIX position performs unexpectedly, ETRACS Monthly 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 ETRACS Monthly will offset losses from the drop in ETRACS Monthly's long position.| 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 |
| ETRACS Monthly vs. ETRACS Quarterly Pay | ETRACS Monthly vs. Simplify Volatility Premium | ETRACS Monthly vs. ETRACS Monthly Pay | ETRACS Monthly vs. iShares Trust |
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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