Correlation Analysis Between ProShares UltraShort and ProShares Short

This module allows you to analyze existing cross correlation between ProShares UltraShort SmallCap600 and ProShares Short SP500. You can compare the effects of market volatilities on ProShares UltraShort and ProShares Short 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 Short. See also your portfolio center. Please also check ongoing floating volatility patterns of ProShares UltraShort and ProShares Short.
Horizon     30 Days    Login   to change
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Compare Efficiency

Comparative Performance

ProShares UltraShort  
12

Risk-Adjusted Performance

Compared to the overall equity markets, risk-adjusted returns on investments in ProShares UltraShort SmallCap600 are ranked lower than 12 (%) of all global equities and portfolios over the last 30 days.
ProShares Short SP500  
9

Risk-Adjusted Performance

Compared to the overall equity markets, risk-adjusted returns on investments in ProShares Short SP500 are ranked lower than 9 (%) of all global equities and portfolios over the last 30 days.

ProShares UltraShort and ProShares Short Volatility Contrast

 Predicted Return Density 
      Returns 

ProShares UltraShort SmallCap6  vs.  ProShares Short SP500

 Performance (%) 
      Timeline 

Pair Volatility

Considering 30-days investment horizon, ProShares UltraShort SmallCap600 is expected to generate 1.94 times more return on investment than ProShares Short. However, ProShares UltraShort is 1.94 times more volatile than ProShares Short SP500. It trades about 0.18 of its potential returns per unit of risk. ProShares Short SP500 is currently generating about 0.15 per unit of risk. If you would invest  1,397  in ProShares UltraShort SmallCap600 on November 19, 2018 and sell it today you would earn a total of  325.20  from holding ProShares UltraShort SmallCap600 or generate 23.28% return on investment over 30 days.

Pair Corralation between ProShares UltraShort and ProShares Short

0.5
Time Period2 Months [change]
DirectionPositive 
StrengthWeak
Accuracy87.23%
ValuesDaily Returns

Diversification Opportunities for ProShares UltraShort and ProShares Short

ProShares UltraShort SmallCap6 diversification synergy

Very weak diversification

Overlapping area represents the amount of risk that can be diversified away by holding ProShares UltraShort SmallCap6 and ProShares Short SP500 in the same portfolio assuming nothing else is changed. The correlation between historical prices or returns on ProShares Short SP500 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 SmallCap600 are associated (or correlated) with ProShares Short. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of ProShares Short SP500 has no effect on the direction of ProShares UltraShort i.e. ProShares UltraShort and ProShares Short go up and down completely randomly.

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