Correlation Between ProShares and SEI Exchange
Can any of the company-specific risk be diversified away by investing in both ProShares 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 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 SP 500 and SEI Exchange Traded, you can compare the effects of market volatilities on ProShares 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 with a short position of SEI Exchange. Check out your portfolio center. Please also check ongoing floating volatility patterns of ProShares and SEI Exchange.
Diversification Opportunities for ProShares and SEI Exchange
0.71 | Correlation Coefficient |
Poor diversification
The 3 months correlation between ProShares and SEI is 0.71. Overlapping area represents the amount of risk that can be diversified away by holding ProShares SP 500 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 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 SP 500 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 i.e., ProShares and SEI Exchange go up and down completely randomly.
Pair Corralation between ProShares and SEI Exchange
Given the investment horizon of 90 days ProShares is expected to generate 1.18 times less return on investment than SEI Exchange. But when comparing it to its historical volatility, ProShares SP 500 is 1.55 times less risky than SEI Exchange. It trades about 0.4 of its potential returns per unit of risk. SEI Exchange Traded is currently generating about 0.3 of returns per unit of risk over similar time horizon. If you would invest 3,292 in SEI Exchange Traded on September 1, 2024 and sell it today you would earn a total of 197.00 from holding SEI Exchange Traded or generate 5.98% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Significant |
| Accuracy | 95.45% |
| Values | Daily Returns |
ProShares SP 500 vs. SEI Exchange Traded
Performance |
| Timeline |
| ProShares SP 500 |
| SEI Exchange Traded |
ProShares and SEI Exchange Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with ProShares and SEI Exchange
The main advantage of trading using opposite ProShares and SEI Exchange positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if ProShares 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.| ProShares vs. iShares Core SP | ProShares vs. iShares Core MSCI | ProShares vs. iShares Broad USD | ProShares vs. iShares Core SP |
| SEI Exchange vs. iShares Core SP | SEI Exchange vs. iShares Core MSCI | SEI Exchange vs. iShares Broad USD | SEI Exchange vs. iShares Core SP |
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 Volatility Analysis module to get historical volatility and risk analysis based on latest market data.
Other Complementary Tools
| Equity Forecasting Use basic forecasting models to generate price predictions and determine price momentum | |
| Piotroski F Score Get Piotroski F Score based on the binary analysis strategy of nine different fundamentals | |
| Odds Of Bankruptcy Get analysis of equity chance of financial distress in the next 2 years | |
| Bond Analysis Evaluate and analyze corporate bonds as a potential investment for your portfolios. | |
| Portfolio Comparator Compare the composition, asset allocations and performance of any two portfolios in your account |