Correlation Analysis Between ProShares UltraShort and Direxion Daily

This module allows you to analyze existing cross correlation between ProShares UltraShort Utilities and Direxion Daily SP 500 Bear 3X. You can compare the effects of market volatilities on ProShares UltraShort and Direxion Daily 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 Direxion Daily. See also your portfolio center. Please also check ongoing floating volatility patterns of ProShares UltraShort and Direxion Daily.
Horizon     30 Days    Login   to change
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Comparative Performance

ProShares UltraShort  
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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. Inspite latest fragile performance, the Etf's forward-looking indicators remain unfluctuating and the recent disarray on Wall Street may also be a sign of long period gains for the ETF insiders.
Direxion Daily SP  
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Risk-Adjusted Performance

Over the last 30 days Direxion Daily SP 500 Bear 3X has generated negative risk-adjusted returns adding no value to investors with long positions. In defiance of relatively invariable forward-looking signals, Direxion Daily is not utilizing all of its potentials. The prevalent stock price agitation, may contribute to short term losses for the management.

ProShares UltraShort and Direxion Daily Volatility Contrast

 Predicted Return Density 
      Returns 

ProShares UltraShort Utilities  vs.  Direxion Daily SP 500 Bear 3X

 Performance (%) 
      Timeline 

Pair Volatility

Considering 30-days investment horizon, ProShares UltraShort Utilities is expected to under-perform the Direxion Daily. But the etf apears to be less risky and, when comparing its historical volatility, ProShares UltraShort Utilities is 2.18 times less risky than Direxion Daily. The etf trades about -0.13 of its potential returns per unit of risk. The Direxion Daily SP 500 Bear 3X is currently generating about 0.01 of returns per unit of risk over similar time horizon. If you would invest  1,724  in Direxion Daily SP 500 Bear 3X on September 14, 2019 and sell it today you would lose (6.00)  from holding Direxion Daily SP 500 Bear 3X or give up 0.35% of portfolio value over 30 days.

Pair Corralation between ProShares UltraShort and Direxion Daily

0.3
Time Period3 Months [change]
DirectionPositive 
StrengthVery Weak
Accuracy100.0%
ValuesDaily Returns

Diversification Opportunities for ProShares UltraShort and Direxion Daily

ProShares UltraShort Utilities diversification synergy

Weak diversification

Overlapping area represents the amount of risk that can be diversified away by holding ProShares UltraShort Utilities and Direxion Daily SP 500 Bear 3X in the same portfolio assuming nothing else is changed. The correlation between historical prices or returns on Direxion Daily SP 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 Direxion Daily. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Direxion Daily SP has no effect on the direction of ProShares UltraShort i.e. ProShares UltraShort and Direxion Daily go up and down completely randomly.
See also your portfolio center. Please also try ETF Directory module to find actively-traded exchange traded funds (etf) from around the world.


 
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