Correlation Between ProShares Ultra and SEI Exchange

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

By analyzing existing cross correlation between ProShares Ultra Yen and SEI Exchange Traded, you can compare the effects of market volatilities on ProShares Ultra and SEI Exchange 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 Ultra with a short position of SEI Exchange. Check out your portfolio center. Please also check ongoing floating volatility patterns of ProShares Ultra and SEI Exchange.

Diversification Opportunities for ProShares Ultra and SEI Exchange

-0.57

Correlation Coefficient

ProShares Ultra  SEI Exchange

Excellent diversification

The 3 months correlation between ProShares and SEI is -0.57. Overlapping area represents the amount of risk that can be diversified away by holding ProShares Ultra Yen and SEI Exchange Traded in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on SEI Exchange Traded and ProShares Ultra 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 Ultra Yen are associated (or correlated) with SEI Exchange. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of SEI Exchange Traded has no effect on the direction of ProShares Ultra i.e., ProShares Ultra and SEI Exchange go up and down completely randomly.

Pair Corralation between ProShares Ultra and SEI Exchange

Considering the 90-day investment horizon ProShares Ultra Yen is expected to under-perform the SEI Exchange. In addition to that, ProShares Ultra is 1.47 times more volatile than SEI Exchange Traded. It trades about -0.07 of its total potential returns per unit of risk. SEI Exchange Traded is currently generating about 0.12 per unit of volatility. If you would invest  2,361  in SEI Exchange Traded on September 23, 2024 and sell it today you would earn a total of  1,564  from holding SEI Exchange Traded or generate 66.24% return on investment over 90 days.

Time Period	3 Months [change]
Direction	Moves Against
Strength	Very Weak
Accuracy	100.0%
Values	Daily Returns

ProShares Ultra Yen  vs.  SEI Exchange Traded

ProShares Ultra Yen

Risk-Adjusted Performance

0 of 100

Very Weak

Over the last 90 days ProShares Ultra Yen has generated negative risk-adjusted returns adding no value to investors with long positions. Despite unsteady performance in the last few months, the Etf's fundamental indicators remain quite persistent which may send shares a bit higher in January 2025. The latest mess may also be a sign of long-standing up-swing for the ETF venture institutional investors.

SEI Exchange Traded

Risk-Adjusted Performance

11 of 100

Good

Compared to the overall equity markets, risk-adjusted returns on investments in SEI Exchange Traded are ranked lower than 11 (%) of all global equities and portfolios over the last 90 days. In spite of very fragile forward indicators, SEI Exchange may actually be approaching a critical reversion point that can send shares even higher in January 2025.

Pair Trading with ProShares Ultra and SEI Exchange

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

The idea behind ProShares Ultra Yen and SEI Exchange Traded 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.

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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 Holdings module to check your current holdings and cash postion to detemine if your portfolio needs rebalancing.