Pgim High Correlations

ISD Fund

USD 14.53 0.09 0.62%

The current 90-days correlation between Pgim High Yield and Pgim Global High is 0.41 (i.e., Very weak 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

Very poor diversification

The correlation between Pgim High Yield and DJI is 0.84 (i.e., Very poor 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 main economic indicators.

Moving together with Pgim Fund

0.76	SMPIX	Semiconductor Ultrasector	Pair Corr
0.79	SMPSX	Semiconductor Ultrasector	Pair Corr
0.88	PMPIX	Precious Metals Ultr	Pair Corr
0.88	PMPSX	Precious Metals Ultr	Pair Corr
0.91	FGADX	Franklin Gold Precious	Pair Corr
0.91	FGPMX	Franklin Gold And	Pair Corr
0.89	OCMGX	Ocm Mutual Fund	Pair Corr
0.9	INIYX	International Investors	Pair Corr
0.85	FKRCX	Franklin Gold Precious	Pair Corr
0.91	OCMAX	Ocm Mutual Fund	Pair Corr
0.86	MHESX	Mh Elite Select	Pair Corr
0.92	BBALX	Northern Global Tactical	Pair Corr
0.84	MVALX	Meridian Contrarian	Pair Corr
0.81	USLUX	Us Global Investors	Pair Corr
0.9	DFSVX	Us Small Cap	Pair Corr
0.89	MFFPX	Mfs Lifetime 2050	Pair Corr
0.8	PHIKX	Columbia Convertible	Pair Corr
0.88	SZCCX	Deutsche Small Cap	Pair Corr
0.83	LMIAX	Columbia Amt Free	Pair Corr
0.9	RPFDX	T Rowe Price	Pair Corr
0.86	CCLTX	American Funds 2065	Pair Corr
0.81	ESMYX	Invesco European Small	Pair Corr
0.86	SPGEX	Symmetry Panoramic Global	Pair Corr
0.81	GWLIX	Aberdeen Gbl Eq	Pair Corr
0.83	TEOJX	Transamerica Emerging	Pair Corr
0.79	GAPRX	Goldman Sachs Equity	Pair Corr
0.71	FCMAX	Fidelity California	Pair Corr
0.93	ONCIX	Oppenheimer Cnsrvtv	Pair Corr
0.88	BLNAX	Balanced Fund Adviser	Pair Corr
0.84	MAFCX	Abbey Capital Multi	Pair Corr
0.89	PAEIX	T Rowe Price	Pair Corr
0.91	FTCWX	Fidelity Asset Manager	Pair Corr
0.81	AMPCX	Amcap Fund Class	Pair Corr
0.9	BZOIX	Collegeadvantage 529	Pair Corr
0.82	RDWFX	American Funds Developing	Pair Corr
0.92	SWYLX	Schwab Target 2020	Pair Corr
0.87	REIZX	Third Avenue Interna	Pair Corr
0.88	RSPMX	Victory Rs Partners	Pair Corr
0.63	HILFX	Hennessy Large Cap	Pair Corr

Related Correlations Analysis

	GHY	NPFD	NCV	CHW	BGB	HPI	ETB	GUG	ETO	DIAX
GHY		0.27	0.93	0.95	0.58	-0.6	0.85	0.88	0.86	0.81	GHY
NPFD	0.27		0.41	0.35	-0.07	0.38	0.25	0.29	0.04	-0.02	NPFD
NCV	0.93	0.41		0.95	0.61	-0.47	0.86	0.87	0.83	0.8	NCV
CHW	0.95	0.35	0.95		0.57	-0.52	0.84	0.88	0.82	0.79	CHW
BGB	0.58	-0.07	0.61	0.57		-0.59	0.7	0.67	0.82	0.84	BGB
HPI	-0.6	0.38	-0.47	-0.52	-0.59		-0.63	-0.63	-0.78	-0.77	HPI
ETB	0.85	0.25	0.86	0.84	0.7	-0.63		0.83	0.91	0.88	ETB
GUG	0.88	0.29	0.87	0.88	0.67	-0.63	0.83		0.87	0.84	GUG
ETO	0.86	0.04	0.83	0.82	0.82	-0.78	0.91	0.87		0.95	ETO
DIAX	0.81	-0.02	0.8	0.79	0.84	-0.77	0.88	0.84	0.95		DIAX
	GHY	NPFD	NCV	CHW	BGB	HPI	ETB	GUG	ETO	DIAX

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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

CHW	+ 0.95	GHY
CHW	+ 0.95	NCV
DIAX	+ 0.95	ETO
NCV	+ 0.93	GHY
ETO	+ 0.91	ETB
GUG	+ 0.88	GHY

High negative correlations

ETO	- 0.78	HPI
DIAX	- 0.77	HPI
GUG	- 0.63	HPI
ETB	- 0.63	HPI
HPI	- 0.6	GHY
HPI	- 0.59	BGB

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
GHY	0.40	0.04	0.04	0.18	0.34	(0.47)	0.97	(0.67)	2.21
NPFD	0.32	(0.01)	(0.09)	(0.01)	0.37	(0.36)	0.78	(0.68)	1.72
NCV	0.67	0.01	0.00	0.06	0.81	(0.69)	1.48	(1.49)	3.41
CHW	0.69	0.04	0.03	0.09	0.86	(0.68)	1.37	(1.50)	3.03
BGB	0.31	(0.03)	0.00	(0.10)	0.00	0.00	0.52	(0.68)	2.23
HPI	0.33	(0.08)	0.00	(0.46)	0.00	0.00	0.72	(0.72)	1.66
ETB	0.47	0.04	0.01	4.48	0.53	(0.50)	1.11	(0.86)	2.80
GUG	0.60	0.04	0.01	0.19	0.70	(0.62)	1.22	(1.07)	2.45
ETO	0.72	0.07	0.06	0.17	0.82	(0.74)	1.52	(1.34)	4.89
DIAX	0.48	0.04	0.04	0.09	0.48	(0.50)	0.99	(0.91)	2.30

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