Correlation Analysis Between DOW and ProShares UltraShort

This module allows you to analyze existing cross correlation between DOW and ProShares UltraShort SmallCap600. You can compare the effects of market volatilities on DOW 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 DOW with a short position of ProShares UltraShort. See also your portfolio center. Please also check ongoing floating volatility patterns of DOW and ProShares UltraShort.
Horizon     30 Days    Login   to change
Symbolsvs

DOW  vs.  ProShares UltraShort SmallCap6

 Performance (%) 
      Timeline 

Pair Volatility

Given the investment horizon of 30 days, DOW is expected to generate 0.56 times more return on investment than ProShares UltraShort. However, DOW is 1.78 times less risky than ProShares UltraShort. It trades about 0.39 of its potential returns per unit of risk. ProShares UltraShort SmallCap600 is currently generating about 0.17 per unit of risk. If you would invest  2,579,035  in DOW on August 24, 2018 and sell it today you would earn a total of  95,315  from holding DOW or generate 3.7% return on investment over 30 days.

Pair Corralation between DOW and ProShares UltraShort

0.59
Time Period1 Month [change]
DirectionPositive 
StrengthWeak
Accuracy95.24%
ValuesDaily Returns

Diversification

Very weak diversification

Overlapping area represents the amount of risk that can be diversified away by holding DOW and ProShares UltraShort SmallCap6 in the same portfolio assuming nothing else is changed. The correlation between historical prices or returns on ProShares UltraShort and DOW 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 DOW 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 has no effect on the direction of DOW i.e. DOW and ProShares UltraShort go up and down completely randomly.
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Comparative Volatility

 Predicted Return Density 
      Returns 

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