ProShares VIX Correlations

VIXY Etf

USD 35.73 3.22 8.27%

The current 90-days correlation between ProShares VIX Short and ProShares Short VIX is -1.0 (i.e., Pay attention - limited upside). The correlation of ProShares VIX 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. If the correlation is 0, the equities are not correlated; they are entirely random.

ProShares VIX Correlation With Market

Modest diversification

The correlation between ProShares VIX Short Term and DJI is 0.22 (i.e., Modest diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding ProShares VIX Short Term and DJI in the same portfolio, assuming nothing else is changed.

Build AI portfolio with ProShares Etf

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

Moving together with ProShares Etf

1.0	VXX	iPath Series B	Pair Corr
0.93	VIXM	ProShares VIX Mid	Pair Corr
0.92	VXZ	iPath Series B	Pair Corr
0.65	KO	Coca Cola Earnings Call This Week	Pair Corr

Moving against ProShares Etf

0.95	CEFD	ETRACS Monthly Pay	Pair Corr
0.92	WSML	iShares MSCI World	Pair Corr
0.92	PJUN	Innovator SP 500	Pair Corr
0.91	EVUS	iShares ESG Aware	Pair Corr
0.89	CPSL	Calamos Laddered	Pair Corr
0.87	AUGZ	TrueShares Structured	Pair Corr
0.79	ANEW	ProShares MSCI Trans	Pair Corr
0.76	TSL	GraniteShares 125x Long	Pair Corr
0.63	GLDX	USCF Gold Strategy	Pair Corr
0.58	GLD	SPDR Gold Shares	Pair Corr
0.57	LITP	Sprott Lithium Miners	Pair Corr
0.42	UDN	Invesco DB Dollar	Pair Corr
0.36	YCS	ProShares UltraShort Yen	Pair Corr
0.83	TRV	The Travelers Companies	Pair Corr
0.72	HPQ	HP Inc	Pair Corr
0.71	JPM	JPMorgan Chase	Pair Corr
0.7	XOM	Exxon Mobil Corp	Pair Corr
0.68	GE	GE Aerospace Earnings Call This Week	Pair Corr
0.66	JNJ	Johnson Johnson	Pair Corr
0.65	CVX	Chevron Corp	Pair Corr
0.65	MMM	3M Company Earnings Call This Week	Pair Corr
0.61	INTC	Intel	Pair Corr
0.51	AA	Alcoa Corp Earnings Call This Week	Pair Corr
0.42	MRK	Merck Company	Pair Corr
0.41	CAT	Caterpillar	Pair Corr
0.33	PFE	Pfizer Inc	Pair Corr

Related Correlations Analysis

	META	MSFT	UBER	F	T	A	CRM	JPM	MRK	XOM
META		0.11	-0.06	-0.19	0.64	-0.47	-0.41	-0.16	-0.45	-0.24	META
MSFT	0.11		-0.14	-0.16	-0.48	0.01	-0.27	-0.02	-0.12	-0.27	MSFT
UBER	-0.06	-0.14		0.79	0.11	0.5	-0.45	0.73	0.36	0.64	UBER
F	-0.19	-0.16	0.79		0.02	0.65	-0.46	0.64	0.61	0.61	F
T	0.64	-0.48	0.11	0.02		-0.45	-0.07	-0.05	-0.27	0.02	T
A	-0.47	0.01	0.5	0.65	-0.45		-0.33	0.56	0.64	0.54	A
CRM	-0.41	-0.27	-0.45	-0.46	-0.07	-0.33		-0.26	-0.17	-0.06	CRM
JPM	-0.16	-0.02	0.73	0.64	-0.05	0.56	-0.26		0.21	0.84	JPM
MRK	-0.45	-0.12	0.36	0.61	-0.27	0.64	-0.17	0.21		0.27	MRK
XOM	-0.24	-0.27	0.64	0.61	0.02	0.54	-0.06	0.84	0.27		XOM
	META	MSFT	UBER	F	T	A	CRM	JPM	MRK	XOM

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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

XOM	+ 0.84	JPM
F	+ 0.79	UBER
JPM	+ 0.73	UBER
A	+ 0.65	F
T	+ 0.64	META
XOM	+ 0.64	UBER

High negative correlations

T	- 0.48	MSFT
A	- 0.47	META
CRM	- 0.46	F
A	- 0.45	T
CRM	- 0.45	UBER
MRK	- 0.45	META

ProShares VIX Competition 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
META	1.30	0.05	(0.02)	(0.03)	1.48	(1.48)	2.18	(2.32)	15.10
MSFT	0.75	(0.02)	(0.05)	0.01	0.97	(0.74)	1.86	(1.64)	6.50
UBER	1.40	0.00	(0.01)	0.05	1.95	(1.33)	3.62	(3.30)	8.86
F	1.13	0.06	0.04	0.10	1.51	(1.20)	2.98	(1.83)	9.82
T	0.84	(0.02)	0.00	0.66	0.00	0.00	1.82	(2.30)	6.47
A	1.41	0.39	0.23	(1.65)	1.03	(1.64)	3.82	(2.15)	10.46
CRM	1.47	(0.13)	0.00	(0.11)	0.00	0.00	2.76	(3.33)	8.74
JPM	0.81	(0.01)	(0.01)	0.04	1.13	(0.80)	1.69	(1.91)	4.93
MRK	1.27	0.04	0.02	0.09	1.31	(1.44)	2.91	(2.36)	9.11
XOM	0.92	(0.01)	(0.02)	0.03	1.38	(0.83)	1.72	(2.42)	4.70

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