Correlation Between ProShares VIX and TSJA
Can any of the company-specific risk be diversified away by investing in both ProShares VIX and TSJA 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 TSJA 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 TSJA, you can compare the effects of market volatilities on ProShares VIX and TSJA 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 TSJA. Check out your portfolio center. Please also check ongoing floating volatility patterns of ProShares VIX and TSJA.
Diversification Opportunities for ProShares VIX and TSJA
-0.06 | Correlation Coefficient |
Good diversification
The 3 months correlation between ProShares and TSJA is -0.06. Overlapping area represents the amount of risk that can be diversified away by holding ProShares VIX Short Term and TSJA in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on TSJA 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 TSJA. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of TSJA has no effect on the direction of ProShares VIX i.e., ProShares VIX and TSJA go up and down completely randomly.
Pair Corralation between ProShares VIX and TSJA
Given the investment horizon of 90 days ProShares VIX Short Term is expected to under-perform the TSJA. In addition to that, ProShares VIX is 5.97 times more volatile than TSJA. It trades about -0.06 of its total potential returns per unit of risk. TSJA is currently generating about 0.12 per unit of volatility. If you would invest 2,441 in TSJA on August 27, 2024 and sell it today you would earn a total of 332.00 from holding TSJA or generate 13.6% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Against |
| Strength | Insignificant |
| Accuracy | 31.85% |
| Values | Daily Returns |
ProShares VIX Short Term vs. TSJA
Performance |
| Timeline |
| ProShares VIX Short |
| TSJA |
Risk-Adjusted Performance
0 of 100
Weak | Strong |
Very Weak
ProShares VIX and TSJA Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with ProShares VIX and TSJA
The main advantage of trading using opposite ProShares VIX and TSJA positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if ProShares VIX position performs unexpectedly, TSJA 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 TSJA will offset losses from the drop in TSJA'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 |
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 Dashboard module to portfolio dashboard that provides centralized access to all your investments.
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