Pair Correlation Between ProShares UltraShort and ProShares UltraShort

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

Pair Volatility

Given the investment horizon of 30 days, ProShares UltraShort Bloomberg Natrl Gas is expected to generate 0.84 times more return on investment than ProShares UltraShort. However, ProShares UltraShort Bloomberg Natrl Gas is 1.19 times less risky than ProShares UltraShort. It trades about 0.1 of its potential returns per unit of risk. ProShares UltraShort Bloomberg Crude Oil is currently generating about -0.06 per unit of risk. If you would invest  3,362  in ProShares UltraShort Bloomberg Natrl Gas on September 21, 2017 and sell it today you would earn a total of  161  from holding ProShares UltraShort Bloomberg Natrl Gas or generate 4.79% return on investment over 30 days.

Correlation Coefficient

Pair Corralation between ProShares UltraShort and ProShares UltraShort
0.52

Parameters

Time Period1 Month [change]
DirectionPositive 
StrengthWeak
Accuracy95.65%
ValuesDaily Returns

Diversification

Very weak diversification

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

Comparative Volatility

 Predicted Return Density 
      Returns 

ProShares UltraShort

  
6 

Risk-Adjusted Performance

Compared to the overall equity markets, risk-adjusted returns on investments in ProShares UltraShort Bloomberg Natrl Gas are ranked lower than 6 (%) of all global equities and portfolios over the last 30 days.

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.