ProShares VIX Correlations
| VIXM Etf | USD 13.78 0.25 1.78% |
The current 90-days correlation between ProShares VIX Mid and iPath Series B is -0.11 (i.e., Good diversification). A perfect positive correlation (i.e., a correlation coefficient of +1) implies that as ProShares VIX moves, either up or down, the other security will move in the same direction. Alternatively, perfect negative correlation means that if ProShares VIX Mid Term moves in either direction, the perfectly negatively correlated security will move in the opposite direction.
ProShares VIX Correlation With Market
Significant diversification
The correlation between ProShares VIX Mid Term and DJI is 0.06 (i.e., Significant diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding ProShares VIX Mid Term and DJI in the same portfolio, assuming nothing else is changed.
ProShares |
Moving together with ProShares Etf
| 0.76 | VXX | iPath Series B | PairCorr |
| 0.77 | VIXY | ProShares VIX Short | PairCorr |
| 0.86 | VXZ | iPath Series B | PairCorr |
| 0.66 | PFE | Pfizer Inc Aggressive Push | PairCorr |
Moving against ProShares Etf
| 0.69 | BAC | Bank of America Aggressive Push | PairCorr |
| 0.58 | EUO | ProShares UltraShort Euro | PairCorr |
| 0.58 | WINN | Harbor Long Term | PairCorr |
| 0.54 | UUP | Invesco DB Dollar | PairCorr |
| 0.53 | SHLD | Global X Funds | PairCorr |
| 0.46 | YCS | ProShares UltraShort Yen | PairCorr |
| 0.71 | JPM | JPMorgan Chase Sell-off Trend | PairCorr |
| 0.66 | DIS | Walt Disney Aggressive Push | PairCorr |
| 0.6 | CVX | Chevron Corp Sell-off Trend | PairCorr |
| 0.56 | AXP | American Express Fiscal Year End 24th of January 2025 | PairCorr |
| 0.45 | AA | Alcoa Corp Fiscal Year End 15th of January 2025 | PairCorr |
| 0.45 | HPQ | HP Inc | PairCorr |
| 0.45 | INTC | Intel Fiscal Year End 23rd of January 2025 | PairCorr |
Related Correlations Analysis
| 0.9 | -0.82 | 0.47 | 0.74 | VXZ | ||
| 0.9 | -0.97 | 0.16 | 0.52 | VIXY | ||
| -0.82 | -0.97 | 0.0 | -0.37 | SVXY | ||
| 0.47 | 0.16 | 0.0 | 0.77 | UBT | ||
| 0.74 | 0.52 | -0.37 | 0.77 | SMDD | ||
| Click cells to compare fundamentals | Check Volatility | Backtest Portfolio |
Correlation Matchups
Over a given time period, the two securities move together when the Correlation Coefficient is positive. Conversely, the two assets move in opposite directions when the Correlation Coefficient is negative. Determining your positions' relationship to each other is valuable for analyzing and projecting your portfolio's future expected return and risk.High positive correlations
| High negative correlations
|
ProShares VIX Constituents Risk-Adjusted Indicators
There is a big difference between ProShares Etf performing well and ProShares VIX ETF doing well as a business compared to the competition. There are so many exceptions to the norm that investors cannot definitively determine what's good or bad unless they analyze ProShares VIX's multiple risk-adjusted performance indicators across the competitive landscape. These indicators are quantitative in nature and help investors forecast volatility and risk-adjusted expected returns across various positions.| Mean Deviation | Jensen Alpha | Sortino Ratio | Treynor Ratio | Semi Deviation | Expected Shortfall | Potential Upside | Value @Risk | Maximum Drawdown | ||
|---|---|---|---|---|---|---|---|---|---|---|
| VXZ | 1.41 | 0.13 | 0.00 | 0.04 | 0.00 | 3.50 | 9.94 | |||
| VIXY | 3.14 | 0.48 | (0.04) | 0.00 | 3.20 | 7.84 | 30.34 | |||
| SVXY | 1.59 | (0.24) | (0.04) | 0.00 | 2.97 | 2.38 | 11.82 | |||
| UBT | 1.26 | (0.12) | 0.00 | 0.38 | 0.00 | 2.65 | 8.40 | |||
| SMDD | 2.14 | 0.04 | 0.00 | 0.11 | 0.00 | 3.31 | 19.99 |