Correlation Between ProShares VIX and ProShares UltraShort
Can any of the company-specific risk be diversified away by investing in both ProShares VIX and ProShares UltraShort 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 ProShares UltraShort 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 ProShares UltraShort Yen, you can compare the effects of market volatilities on ProShares VIX and ProShares UltraShort 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 ProShares UltraShort. Check out your portfolio center. Please also check ongoing floating volatility patterns of ProShares VIX and ProShares UltraShort.
Diversification Opportunities for ProShares VIX and ProShares UltraShort
-0.04 | Correlation Coefficient |
Good diversification
The 3 months correlation between ProShares and ProShares is -0.04. Overlapping area represents the amount of risk that can be diversified away by holding ProShares VIX Short Term and ProShares UltraShort Yen in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on ProShares UltraShort Yen 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 ProShares UltraShort. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of ProShares UltraShort Yen has no effect on the direction of ProShares VIX i.e., ProShares VIX and ProShares UltraShort go up and down completely randomly.
Pair Corralation between ProShares VIX and ProShares UltraShort
Given the investment horizon of 90 days ProShares VIX Short Term is expected to under-perform the ProShares UltraShort. In addition to that, ProShares VIX is 2.43 times more volatile than ProShares UltraShort Yen. It trades about -0.11 of its total potential returns per unit of risk. ProShares UltraShort Yen is currently generating about 0.1 per unit of volatility. If you would invest 4,404 in ProShares UltraShort Yen on August 24, 2024 and sell it today you would earn a total of 150.00 from holding ProShares UltraShort Yen or generate 3.41% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Against |
| Strength | Insignificant |
| Accuracy | 100.0% |
| Values | Daily Returns |
ProShares VIX Short Term vs. ProShares UltraShort Yen
Performance |
| Timeline |
| ProShares VIX Short |
| ProShares UltraShort Yen |
ProShares VIX and ProShares UltraShort Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with ProShares VIX and ProShares UltraShort
The main advantage of trading using opposite ProShares VIX and ProShares UltraShort positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if ProShares VIX position performs unexpectedly, ProShares UltraShort 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 ProShares UltraShort will offset losses from the drop in ProShares UltraShort'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 |
| ProShares UltraShort vs. Invesco DB Dollar | ProShares UltraShort vs. iPath Series B | ProShares UltraShort vs. ProShares VIX Short Term | ProShares UltraShort vs. ProShares VIX Mid Term |
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 Optimization module to compute new portfolio that will generate highest expected return given your specified tolerance for risk.
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