Correlation Analysis Between ProShares UltraShort and ProShares Short

This module allows you to analyze existing cross correlation between ProShares UltraShort Utilities 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
Symbolsvs

ProShares UltraShort Utilities  vs.  ProShares Short SP500

 Performance (%) 
      Timeline 

Pair Volatility

Considering 30-days investment horizon, ProShares UltraShort is expected to generate 4.47 times less return on investment than ProShares Short. In addition to that, ProShares UltraShort is 1.96 times more volatile than ProShares Short SP500. It trades about 0.01 of its total potential returns per unit of risk. ProShares Short SP500 is currently generating about 0.1 per unit of volatility. If you would invest  2,763  in ProShares Short SP500 on September 17, 2018 and sell it today you would earn a total of  67.00  from holding ProShares Short SP500 or generate 2.42% return on investment over 30 days.

Pair Corralation between ProShares UltraShort and ProShares Short

-0.35
Time Period1 Month [change]
DirectionNegative 
StrengthInsignificant
Accuracy100.0%
ValuesDaily Returns

Diversification

Very good diversification

Overlapping area represents the amount of risk that can be diversified away by holding ProShares UltraShort Utilities 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 Utilities 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.

Comparative Volatility

 Predicted Return Density 
      Returns 
ProShares UltraShort  
0 

Risk-Adjusted Performance

Over the last 30 days ProShares UltraShort Utilities has generated negative risk-adjusted returns adding no value to investors with long positions.
ProShares Short SP500  
6 

Risk-Adjusted Performance

Compared to the overall equity markets, risk-adjusted returns on investments in ProShares Short SP500 are ranked lower than 6 (%) of all global equities and portfolios over the last 30 days.

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