Pair Correlation Between ProShares Ultra and VelocityShares 3x

This module allows you to analyze existing cross correlation between ProShares Ultra Bloomberg Natural Gas and VelocityShares 3x Long Crude Oil ETNs linked to the SP GSCI Crude Oil Index ER. You can compare the effects of market volatilities on ProShares Ultra and VelocityShares 3x 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 Ultra with a short position of VelocityShares 3x. See also your portfolio center. Please also check ongoing floating volatility patterns of ProShares Ultra and VelocityShares 3x.
Investment Horizon     30 Days    Login   to change
Symbolsvs
 ProShares Ultra Bloomberg Natu  vs   VelocityShares 3x Long Crude O
 Performance (%) 
      Timeline 

Pair Volatility

Given the investment horizon of 30 days, ProShares Ultra Bloomberg Natural Gas is expected to under-perform the VelocityShares 3x. In addition to that, ProShares Ultra is 1.2 times more volatile than VelocityShares 3x Long Crude Oil ETNs linked to the SP GSCI Crude Oil Index ER. It trades about -0.4 of its total potential returns per unit of risk. VelocityShares 3x Long Crude Oil ETNs linked to the SP GSCI Crude Oil Index ER is currently generating about 0.04 per unit of volatility. If you would invest  2,088  in VelocityShares 3x Long Crude Oil ETNs linked to the SP GSCI Crude Oil Index ER on November 17, 2017 and sell it today you would earn a total of  42  from holding VelocityShares 3x Long Crude Oil ETNs linked to the SP GSCI Crude Oil Index ER or generate 2.01% return on investment over 30 days.

Correlation Coefficient

Pair Corralation between ProShares Ultra and VelocityShares 3x
-0.1

Parameters

Time Period1 Month [change]
DirectionNegative 
StrengthInsignificant
Accuracy95.24%
ValuesDaily Returns

Diversification

Good diversification

Overlapping area represents the amount of risk that can be diversified away by holding ProShares Ultra Bloomberg Natu and VelocityShares 3x Long Crude O in the same portfolio assuming nothing else is changed. The correlation between historical prices or returns on VelocityShares 3x Long and ProShares Ultra 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 Ultra Bloomberg Natural Gas are associated (or correlated) with VelocityShares 3x. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of VelocityShares 3x Long has no effect on the direction of ProShares Ultra i.e. ProShares Ultra and VelocityShares 3x go up and down completely randomly.

Comparative Volatility

 Predicted Return Density 
      Returns 

ProShares Ultra Bloo

  
0 

Risk-Adjusted Performance

Over the last 30 days ProShares Ultra Bloomberg Natural Gas has generated negative risk-adjusted returns adding no value to investors with long positions.

VelocityShares 3x Long

  
2 

Risk-Adjusted Performance

Compared to the overall equity markets, risk-adjusted returns on investments in VelocityShares 3x Long Crude Oil ETNs linked to the SP GSCI Crude Oil Index ER are ranked lower than 2 (%) of all global equities and portfolios over the last 30 days.