Correlation Analysis Between ProShares UltraPro and ProShares UltraShort

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

ProShares UltraPro 3x Shrt Cru  vs.  ProShares UltraShort Bloomberg

 Performance (%) 
      Timeline 

Pair Volatility

Given the investment horizon of 30 days, ProShares UltraPro 3x Shrt Crude Oil ETF is expected to under-perform the ProShares UltraShort. In addition to that, ProShares UltraPro is 1.52 times more volatile than ProShares UltraShort Bloomberg Crude Oil. It trades about -0.11 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 ProShares UltraPro and ProShares UltraShort

1.0
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 ProShares UltraPro 3x Shrt Cru 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 UltraPro 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 UltraPro 3x Shrt Crude Oil ETF 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 UltraPro i.e. ProShares UltraPro and ProShares UltraShort go up and down completely randomly.

Comparative Volatility

 Predicted Return Density 
      Returns 
ProShares UltraPro 3x  
0 

Risk-Adjusted Performance

Over the last 30 days ProShares UltraPro 3x Shrt Crude Oil ETF 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.

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See also your portfolio center. Please also try Portfolio Rebalancing module to analyze risk-adjusted returns against different time horizons to find asset-allocation targets.


 
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