Correlation Analysis Between VelocityShares 3x and ProShares UltraShort

This module allows you to analyze existing cross correlation between VelocityShares 3x Inv Natural Gas ETN and ProShares UltraShort Bloomberg Crude Oil. You can compare the effects of market volatilities on VelocityShares 3x 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 VelocityShares 3x with a short position of ProShares UltraShort. See also your portfolio center. Please also check ongoing floating volatility patterns of VelocityShares 3x and ProShares UltraShort.
 Time Horizon     30 Days    Login   to change
Symbolsvs

VelocityShares 3x Inv Natural   vs.  ProShares UltraShort Bloomberg

 Performance (%) 
      Timeline 

Pair Volatility

Given the investment horizon of 30 days, VelocityShares 3x Inv Natural Gas ETN is expected to under-perform the ProShares UltraShort. In addition to that, VelocityShares 3x is 1.24 times more volatile than ProShares UltraShort Bloomberg Crude Oil. It trades about -0.07 of its total potential returns per unit of risk. ProShares UltraShort Bloomberg Crude Oil is currently generating about 0.34 per unit of volatility. If you would invest  1,551  in ProShares UltraShort Bloomberg Crude Oil on May 20, 2018 and sell it today you would earn a total of  381.00  from holding ProShares UltraShort Bloomberg Crude Oil or generate 24.56% return on investment over 30 days.

Pair Corralation between VelocityShares 3x and ProShares UltraShort

-0.47
Time Period1 Month [change]
DirectionNegative 
StrengthVery Weak
Accuracy100.0%
ValuesDaily Returns

Diversification

Very good diversification

Overlapping area represents the amount of risk that can be diversified away by holding VelocityShares 3x Inv Natural and ProShares UltraShort Bloomberg in the same portfolio assuming nothing else is changed. The correlation between historical prices or returns on ProShares UltraShort and VelocityShares 3x 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 VelocityShares 3x Inv Natural Gas ETN 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 VelocityShares 3x i.e. VelocityShares 3x and ProShares UltraShort go up and down completely randomly.

Comparative Volatility

 Predicted Return Density 
      Returns 
VelocityShares 3x Inv  
0 

Risk-Adjusted Performance

Over the last 30 days VelocityShares 3x Inv Natural Gas ETN has generated negative risk-adjusted returns adding no value to investors with long positions.
ProShares UltraShort  
22 

Risk-Adjusted Performance

Compared to the overall equity markets, risk-adjusted returns on investments in ProShares UltraShort Bloomberg Crude Oil are ranked lower than 22 (%) of all global equities and portfolios over the last 30 days.

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