Correlation Analysis Between ProShares UltraShort and VelocityShares 3x

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

ProShares UltraShort Bloomberg  vs.  VelocityShares 3x Invrs Crude

 Performance (%) 
      Timeline 

Pair Volatility

Considering 30-days investment horizon, ProShares UltraShort Bloomberg Crude Oil is expected to generate 0.63 times more return on investment than VelocityShares 3x. However, ProShares UltraShort Bloomberg Crude Oil is 1.59 times less risky than VelocityShares 3x. It trades about -0.08 of its potential returns per unit of risk. VelocityShares 3x Invrs Crude Oil ETNNew is currently generating about -0.1 per unit of risk. If you would invest  1,866  in ProShares UltraShort Bloomberg Crude Oil on June 17, 2018 and sell it today you would lose (152.00)  from holding ProShares UltraShort Bloomberg Crude Oil or give up 8.15% of portfolio value over 30 days.

Pair Corralation between ProShares UltraShort and VelocityShares 3x

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 UltraShort Bloomberg and VelocityShares 3x Invrs Crude in the same portfolio assuming nothing else is changed. The correlation between historical prices or returns on VelocityShares 3x Invrs 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 Crude Oil are associated (or correlated) with VelocityShares 3x. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of VelocityShares 3x Invrs has no effect on the direction of ProShares UltraShort i.e. ProShares UltraShort and VelocityShares 3x go up and down completely randomly.

Comparative Volatility

 Predicted Return Density 
      Returns 
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.
VelocityShares 3x Invrs  
0 

Risk-Adjusted Performance

Over the last 30 days VelocityShares 3x Invrs Crude Oil ETNNew 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 Volatility module to check portfolio volatility and analyze historical return density to properly model market risk.