Correlation Between ProShares Short and IPath Series
Can any of the company-specific risk be diversified away by investing in both ProShares Short and IPath Series at the same time? Although using a correlation coefficient on its own may not help to predict future stock returns, this module helps to understand the diversifiable risk of combining ProShares Short and IPath Series into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between ProShares Short VIX and iPath Series B, you can compare the effects of market volatilities on ProShares Short and IPath Series 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 Short with a short position of IPath Series. Check out your portfolio center. Please also check ongoing floating volatility patterns of ProShares Short and IPath Series.
Diversification Opportunities for ProShares Short and IPath Series
-0.99 | Correlation Coefficient |
Pay attention - limited upside
The 3 months correlation between ProShares and IPath is -0.99. Overlapping area represents the amount of risk that can be diversified away by holding ProShares Short VIX and iPath Series B in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on iPath Series B and ProShares Short 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 Short VIX are associated (or correlated) with IPath Series. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of iPath Series B has no effect on the direction of ProShares Short i.e., ProShares Short and IPath Series go up and down completely randomly.
Pair Corralation between ProShares Short and IPath Series
Given the investment horizon of 90 days ProShares Short VIX is expected to generate 0.51 times more return on investment than IPath Series. However, ProShares Short VIX is 1.96 times less risky than IPath Series. It trades about 0.06 of its potential returns per unit of risk. iPath Series B is currently generating about -0.06 per unit of risk. If you would invest 5,040 in ProShares Short VIX on September 12, 2024 and sell it today you would earn a total of 286.00 from holding ProShares Short VIX or generate 5.67% return on investment over 90 days.
Time Period | 3 Months [change] |
Direction | Moves Against |
Strength | Significant |
Accuracy | 98.44% |
Values | Daily Returns |
ProShares Short VIX vs. iPath Series B
Performance |
Timeline |
ProShares Short VIX |
iPath Series B |
ProShares Short and IPath Series Volatility Contrast
Predicted Return Density |
Returns |
Pair Trading with ProShares Short and IPath Series
The main advantage of trading using opposite ProShares Short and IPath Series positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if ProShares Short position performs unexpectedly, IPath Series can make up some of the losses. Pair trading also minimizes risk from directional movements in the market. For example, if an entire industry or sector drops because of unexpected headlines, the short position in IPath Series will offset losses from the drop in IPath Series' long position.ProShares Short vs. ProShares Ultra Euro | ProShares Short vs. ProShares UltraShort Yen | ProShares Short vs. ProShares Ultra Telecommunications | ProShares Short vs. ProShares Ultra Consumer |
IPath Series vs. ProShares Ultra Euro | IPath Series vs. ProShares UltraShort Yen | IPath Series vs. ProShares Ultra Telecommunications | IPath Series vs. ProShares Ultra Consumer |
Check out your portfolio center.Note that this page's information should be used as a complementary analysis to find the right mix of equity instruments to add to your existing portfolios or create a brand new portfolio. You can also try the Pattern Recognition module to use different Pattern Recognition models to time the market across multiple global exchanges.
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