Correlation Analysis Between Vanguard U and ProShares Ultra

This module allows you to analyze existing cross correlation between Vanguard U S Momentum Factor E and ProShares Ultra Consumer Goods. You can compare the effects of market volatilities on Vanguard U and ProShares Ultra 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 Vanguard U with a short position of ProShares Ultra. See also your portfolio center. Please also check ongoing floating volatility patterns of Vanguard U and ProShares Ultra.
Horizon     30 Days    Login   to change
Symbolsvs
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Comparative Performance

Vanguard U S  
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Risk-Adjusted Performance

Over the last 30 days Vanguard U S Momentum Factor E has generated negative risk-adjusted returns adding no value to investors with long positions. Allthough quite persistent forward indicators, Vanguard U is not utilizing all of its potentials. The late stock price mess, may contribute to short term losses for the partners.
ProShares Ultra Cons  
00

Risk-Adjusted Performance

Over the last 30 days ProShares Ultra Consumer Goods has generated negative risk-adjusted returns adding no value to investors with long positions. In spite of rather sound fundamental drivers, ProShares Ultra is not utilizing all of its potentials. The existing stock price tumult, may contribute to shorter-term losses for the shareholders.

Vanguard U and ProShares Ultra Volatility Contrast

 Predicted Return Density 
      Returns 

Vanguard U S Momentum Factor E  vs.  ProShares Ultra Consumer Goods

 Performance (%) 
      Timeline 

Pair Volatility

Given the investment horizon of 30 days, Vanguard U S Momentum Factor E is expected to under-perform the ProShares Ultra. But the etf apears to be less risky and, when comparing its historical volatility, Vanguard U S Momentum Factor E is 1.84 times less risky than ProShares Ultra. The etf trades about -0.02 of its potential returns per unit of risk. The ProShares Ultra Consumer Goods is currently generating about 0.01 of returns per unit of risk over similar time horizon. If you would invest  4,635  in ProShares Ultra Consumer Goods on August 18, 2019 and sell it today you would earn a total of  12.00  from holding ProShares Ultra Consumer Goods or generate 0.26% return on investment over 30 days.

Pair Corralation between Vanguard U and ProShares Ultra

0.27
Time Period3 Months [change]
DirectionPositive 
StrengthVery Weak
Accuracy85.71%
ValuesDaily Returns

Diversification Opportunities for Vanguard U and ProShares Ultra

Vanguard U S Momentum Factor E diversification synergy

Modest diversification

Overlapping area represents the amount of risk that can be diversified away by holding Vanguard U S Momentum Factor E and ProShares Ultra Consumer Goods in the same portfolio assuming nothing else is changed. The correlation between historical prices or returns on ProShares Ultra Cons and Vanguard U 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 Vanguard U S Momentum Factor E are associated (or correlated) with ProShares Ultra. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of ProShares Ultra Cons has no effect on the direction of Vanguard U i.e. Vanguard U and ProShares Ultra go up and down completely randomly.
See also your portfolio center. Please also try Aroon Oscillator module to analyze current equity momentum using aroon oscillator and other momentum ratios.


 
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