ProShares Ultra Correlations

UJB Etf

USD 74.01 0.25 0.34%

The current 90-days correlation between ProShares Ultra High and Direxion Daily 20 is 0.09 (i.e., Significant diversification). The correlation of ProShares Ultra is a statistical measure of how it moves in relation to other instruments. This measure is expressed in what is known as the correlation coefficient, which ranges between -1 and +1. A correlation greater than 0.8 is generally described as strong, whereas a correlation less than 0.5 is generally considered weak.

ProShares Ultra Correlation With Market

Very weak diversification

The correlation between ProShares Ultra High and DJI is 0.5 (i.e., Very weak diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding ProShares Ultra High and DJI in the same portfolio, assuming nothing else is changed.

Check out World Market Map to better understand how to build diversified portfolios, which includes a position in ProShares Ultra High. Also, note that the market value of any etf could be closely tied with the direction of predictive economic indicators such as signals in inflation.

Moving together with ProShares Etf

0.82

ITDD

iShares Trust

Pair Corr

Moving against ProShares Etf

0.43

JNJ

Johnson Johnson Fiscal Year End 28th of January 2025

Pair Corr

Related Correlations Analysis

	TMV	TYD	DRN	EDC	TYO
TMV		-0.96	-0.66	-0.25	0.96	TMV
TYD	-0.96		0.75	0.32	-1.0	TYD
DRN	-0.66	0.75		0.09	-0.75	DRN
EDC	-0.25	0.32	0.09		-0.34	EDC
TYO	0.96	-1.0	-0.75	-0.34		TYO
	TMV	TYD	DRN	EDC	TYO

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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

TYO	+ 0.96	TMV
DRN	+ 0.75	TYD
EDC	+ 0.32	TYD
EDC	+ 0.09	DRN

High negative correlations

TYO	- 1.0	TYD
TYD	- 0.96	TMV
TYO	- 0.75	DRN
DRN	- 0.66	TMV
TYO	- 0.34	EDC
EDC	- 0.25	TMV

ProShares Ultra Constituents Risk-Adjusted Indicators

There is a big difference between ProShares Etf performing well and ProShares Ultra 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 Ultra'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
TMV	1.92	0.45	0.13	(0.85)	2.17	(2.21)	4.43	(3.57)	15.47
TYD	0.81	(0.21)	0.00	1.44	0.00	0.00	1.58	(1.93)	4.82
DRN	2.17	(0.21)	0.00	(1.55)	0.00	0.00	3.77	(4.67)	12.07
EDC	2.48	0.10	0.01	0.29	2.99	(2.71)	6.30	(5.57)	19.17
TYO	0.81	0.22	0.11	1.44	0.85	(0.88)	2.11	(1.56)	6.11

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