Pgim High Correlations

ISD Fund

USD 13.79 0.08 0.58%

The current 90-days correlation between Pgim High Yield and Nuveen Global High is 0.25 (i.e., Modest diversification). The correlation of Pgim High 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.

Pgim High Correlation With Market

Average diversification

The correlation between Pgim High Yield and DJI is 0.18 (i.e., Average diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Pgim High Yield and DJI in the same portfolio, assuming nothing else is changed.

Check out Risk vs Return Analysis to better understand how to build diversified portfolios, which includes a position in Pgim High Yield. Also, note that the market value of any fund could be closely tied with the direction of predictive economic indicators such as signals in state.

Moving together with Pgim Fund

0.61	AIO	Virtus Allianzgi Art	Pair Corr
0.61	WWACX	Westwood Alternative	Pair Corr

Moving against Pgim Fund

0.54	USPSX	Profunds Ultrashort	Pair Corr
0.53	USPIX	Profunds Ultrashort	Pair Corr

Related Correlations Analysis

	NFJ	JGH	NCZ	NML	FPF	FCT	JLS	VMO	CHW	CBH
NFJ		0.77	0.68	0.68	0.38	0.38	0.5	0.64	0.51	0.17	NFJ
JGH	0.77		0.85	0.8	0.17	0.56	0.75	0.51	0.32	0.49	JGH
NCZ	0.68	0.85		0.71	0.05	0.63	0.67	0.33	0.31	0.54	NCZ
NML	0.68	0.8	0.71		-0.18	0.62	0.49	0.22	-0.08	0.62	NML
FPF	0.38	0.17	0.05	-0.18		-0.5	0.09	0.71	0.74	-0.65	FPF
FCT	0.38	0.56	0.63	0.62	-0.5		0.65	-0.19	-0.21	0.86	FCT
JLS	0.5	0.75	0.67	0.49	0.09	0.65		0.23	0.19	0.57	JLS
VMO	0.64	0.51	0.33	0.22	0.71	-0.19	0.23		0.68	-0.38	VMO
CHW	0.51	0.32	0.31	-0.08	0.74	-0.21	0.19	0.68		-0.46	CHW
CBH	0.17	0.49	0.54	0.62	-0.65	0.86	0.57	-0.38	-0.46		CBH
	NFJ	JGH	NCZ	NML	FPF	FCT	JLS	VMO	CHW	CBH

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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

CBH	+ 0.86	FCT
NCZ	+ 0.85	JGH
NML	+ 0.8	JGH
JGH	+ 0.77	NFJ
JLS	+ 0.75	JGH
CHW	+ 0.74	FPF

High negative correlations

CBH	- 0.65	FPF
FCT	- 0.5	FPF
CBH	- 0.46	CHW
CBH	- 0.38	VMO
CHW	- 0.21	FCT
VMO	- 0.19	FCT

Risk-Adjusted Indicators

There is a big difference between Pgim Fund performing well and Pgim High Fund 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 Pgim High'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
NFJ	0.53	0.01	(0.01)	0.04	0.64	(0.56)	1.13	(1.02)	2.96
JGH	0.41	0.01	0.00	0.08	0.50	(0.44)	0.79	(0.88)	3.20
NCZ	0.93	0.07	0.05	0.21	1.06	(1.05)	2.24	(1.83)	7.07
NML	0.91	0.16	0.12	0.29	1.11	(0.95)	2.23	(1.90)	6.06
FPF	0.47	(0.04)	0.00	(0.46)	0.00	0.00	0.94	(1.03)	2.85
FCT	0.49	0.02	0.01	0.24	0.50	(0.57)	1.00	(0.90)	3.32
JLS	0.47	0.04	0.03	0.28	0.67	(0.46)	0.97	(0.89)	3.06
VMO	0.53	(0.05)	0.00	(0.29)	0.00	0.00	1.04	(1.13)	2.45
CHW	0.66	(0.08)	0.00	(0.24)	0.00	0.00	1.29	(1.55)	3.89
CBH	0.13	0.04	0.08	2.47	0.00	(0.18)	0.22	(0.22)	0.78

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