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.
DB Crude Oil Double Short ETN vs. ProShares UltraShort Bloomberg
Considering 30-days investment horizon, DB Crude Oil Double Short ETN is expected to under-perform the ProShares UltraShort. In addition to that, DB Crude is 1.06 times more volatile than ProShares UltraShort Bloomberg Crude Oil. It trades about -0.18 of its total potential returns per unit of risk. ProShares UltraShort Bloomberg Crude Oil is currently generating about -0.11 per unit of volatility. If you would invest 1,874 in ProShares UltraShort Bloomberg Crude Oil on June 20, 2018 and sell it today you would lose (201.00) from holding ProShares UltraShort Bloomberg Crude Oil or give up 10.73% of portfolio value over 30 days.
Pair Corralation between DB Crude and ProShares UltraShort
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.
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