Pair Correlation Between DB Crude and ProShares UltraShort

This module allows you to analyze existing cross correlation between DB Crude Oil Double Short ETN and ProShares UltraShort Bloomberg Crude Oil. You can compare the effects of market volatilities on DB Crude 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 DB Crude with a short position of ProShares UltraShort. See also your portfolio center. Please also check ongoing floating volatility patterns of DB Crude and ProShares UltraShort.
Investment Horizon     30 Days    Login   to change
Symbolsvs
 DB Crude Oil Double Short ETN  vs   ProShares UltraShort Bloomberg
 Performance (%) 
      Timeline 

Pair Volatility

Considering 30-days investment horizon, DB Crude Oil Double Short ETN is expected to generate 0.92 times more return on investment than ProShares UltraShort. However, DB Crude Oil Double Short ETN is 1.08 times less risky than ProShares UltraShort. It trades about -0.12 of its potential returns per unit of risk. ProShares UltraShort Bloomberg Crude Oil is currently generating about -0.12 per unit of risk. If you would invest  12,829  in DB Crude Oil Double Short ETN on September 19, 2017 and sell it today you would lose (970)  from holding DB Crude Oil Double Short ETN or give up 7.56% of portfolio value over 30 days.

Correlation Coefficient

Pair Corralation between DB Crude and ProShares UltraShort
0.99

Parameters

Time Period1 Month [change]
DirectionPositive 
StrengthVery Strong
Accuracy100.0%
ValuesDaily Returns

Diversification

No risk reduction

Overlapping area represents the amount of risk that can be diversified away by holding DB Crude Oil Double Short ETN and ProShares UltraShort Bloomberg in the same portfolio assuming nothing else is changed. The correlation between historical prices or returns on ProShares UltraShort and DB Crude 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 DB Crude Oil Double Short 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 DB Crude i.e. DB Crude and ProShares UltraShort go up and down completely randomly.

Comparative Volatility

 Predicted Return Density 
      Returns 

DB Crude Oil

  
0 

Risk-Adjusted Performance

Over the last 30 days DB Crude Oil Double Short ETN has generated negative risk-adjusted returns adding no value to investors with long positions.

ProShares UltraShort

  
0 

Risk-Adjusted Performance

Over the last 30 days ProShares UltraShort Bloomberg Crude Oil has generated negative risk-adjusted returns adding no value to investors with long positions.