Pgim Esg Correlations

PGANX Fund

USD 8.94 0.01 0.11%

The current 90-days correlation between Pgim Esg High and Us Vector Equity is 0.46 (i.e., Very weak diversification). The correlation of Pgim Esg 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.

Pgim Esg Correlation With Market

Weak diversification

The correlation between Pgim Esg High and DJI is 0.3 (i.e., Weak diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Pgim Esg High and DJI in the same portfolio, assuming nothing else is changed.

Check out Your Equity Center to better understand how to build diversified portfolios, which includes a position in Pgim Esg High. Also, note that the market value of any mutual fund could be closely tied with the direction of predictive economic indicators such as various price indices.

Moving together with Pgim Mutual Fund

0.95	VWEAX	Vanguard High Yield	Pair Corr
0.73	BHYCX	Blackrock Hi Yld	Pair Corr
0.89	BHYIX	Blackrock High Yield	Pair Corr
0.88	BHYSX	Blackrock Hi Yld	Pair Corr
0.88	BHYAX	Blackrock High Yield	Pair Corr
0.95	FAHHX	American Funds American	Pair Corr
0.95	FTAHX	American Funds American	Pair Corr
0.94	AHTFX	American High Income	Pair Corr
0.94	AHTCX	American High Income	Pair Corr

Moving against Pgim Mutual Fund

0.45	SMPSX	Semiconductor Ultrasector	Pair Corr
0.43	SMPIX	Semiconductor Ultrasector	Pair Corr

Related Correlations Analysis

	DFVEX	XJCEX	OWFIX	GMADX	LEQCX	TRWIX	AAEZX	SWSFX
DFVEX		0.63	0.7	0.6	0.73	0.6	0.81	-0.29	DFVEX
XJCEX	0.63		0.69	0.58	0.62	0.63	0.73	0.0	XJCEX
OWFIX	0.7	0.69		0.61	0.69	0.75	0.88	0.02	OWFIX
GMADX	0.6	0.58	0.61		0.46	0.8	0.72	0.11	GMADX
LEQCX	0.73	0.62	0.69	0.46		0.38	0.76	0.26	LEQCX
TRWIX	0.6	0.63	0.75	0.8	0.38		0.79	0.01	TRWIX
AAEZX	0.81	0.73	0.88	0.72	0.76	0.79		0.13	AAEZX
SWSFX	-0.29	0.0	0.02	0.11	0.26	0.01	0.13		SWSFX
	DFVEX	XJCEX	OWFIX	GMADX	LEQCX	TRWIX	AAEZX	SWSFX

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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

AAEZX	+ 0.88	OWFIX
AAEZX	+ 0.81	DFVEX
TRWIX	+ 0.8	GMADX
AAEZX	+ 0.79	TRWIX
AAEZX	+ 0.76	LEQCX
TRWIX	+ 0.75	OWFIX

High negative correlations

SWSFX	- 0.29	DFVEX
SWSFX	- 0.0	XJCEX

Risk-Adjusted Indicators

There is a big difference between Pgim Mutual Fund performing well and Pgim Esg Mutual 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 Esg'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
DFVEX	0.61	0.02	(0.01)	0.11	0.72	(0.68)	1.07	(0.97)	7.28
XJCEX	0.64	0.05	(0.01)	0.20	0.88	(0.63)	1.29	(1.58)	5.31
OWFIX	0.15	(0.01)	(0.38)	(0.11)	0.16	(0.22)	0.30	(0.30)	1.10
GMADX	0.64	0.02	(0.02)	0.13	1.25	(0.67)	1.17	(1.28)	11.02
LEQCX	0.43	0.03	(0.06)	0.17	0.42	(0.47)	0.87	(0.69)	2.97
TRWIX	0.65	0.03	(0.04)	0.27	0.89	(0.68)	1.59	(1.53)	5.26
AAEZX	0.22	0.01	(0.17)	0.14	0.25	(0.28)	0.60	(0.40)	1.90
SWSFX	0.04	0.00	0.00	0.75	0.00	0.00	0.10	(0.10)	0.59

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