Correlation Between ProShares VIX and VIIX

Can any of the company-specific risk be diversified away by investing in both ProShares VIX and VIIX 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 VIX and VIIX into the same portfolio, which is an essential part of the fundamental portfolio management process.

By analyzing existing cross correlation between ProShares VIX Mid Term and VIIX, you can compare the effects of market volatilities on ProShares VIX and VIIX 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 VIX with a short position of VIIX. Check out your portfolio center. Please also check ongoing floating volatility patterns of ProShares VIX and VIIX.

Diversification Opportunities for ProShares VIX and VIIX

0.68

Correlation Coefficient

ProShares VIX  VIIX

Poor diversification

The 3 months correlation between ProShares and VIIX is 0.68. Overlapping area represents the amount of risk that can be diversified away by holding ProShares VIX Mid Term and VIIX in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on VIIX and ProShares VIX 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 VIX Mid Term are associated (or correlated) with VIIX. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of VIIX has no effect on the direction of ProShares VIX i.e., ProShares VIX and VIIX go up and down completely randomly.

Pair Corralation between ProShares VIX and VIIX

If you would invest  1,378  in ProShares VIX Mid Term on September 24, 2024 and sell it today you would earn a total of  105.00  from holding ProShares VIX Mid Term or generate 7.62% return on investment over 90 days.

Time Period	3 Months [change]
Direction	Moves Together
Strength	Significant
Accuracy	5.0%
Values	Daily Returns

ProShares VIX Mid Term  vs.  VIIX

ProShares VIX Mid

Risk-Adjusted Performance

0 of 100

Very Weak

Over the last 90 days ProShares VIX Mid Term has generated negative risk-adjusted returns adding no value to investors with long positions. In spite of very healthy basic indicators, ProShares VIX is not utilizing all of its potentials. The current stock price disarray, may contribute to short-term losses for the investors.

VIIX

Risk-Adjusted Performance

0 of 100

Very Weak

Over the last 90 days VIIX has generated negative risk-adjusted returns adding no value to investors with long positions. In spite of fairly strong forward indicators, VIIX is not utilizing all of its potentials. The current stock price disturbance, may contribute to short-term losses for the investors.

Pair Trading with ProShares VIX and VIIX

The main advantage of trading using opposite ProShares VIX and VIIX positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if ProShares VIX position performs unexpectedly, VIIX 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 VIIX will offset losses from the drop in VIIX's long position.

The idea behind ProShares VIX Mid Term and VIIX pairs trading is to make the combined position market-neutral, meaning the overall market's direction will not affect its win or loss (or potential downside or upside). This can be achieved by designing a pairs trade with two highly correlated stocks or equities that operate in a similar space or sector, making it possible to obtain profits through simple and relatively low-risk investment.

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 Portfolio Diagnostics module to use generated alerts and portfolio events aggregator to diagnose current holdings.