Pgim Esg Correlations

PGAVX Fund

USD 8.94 0.01 0.11%

The current 90-days correlation between Pgim Esg High and Prudential High Yield is 0.83 (i.e., Very poor 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 0.32 (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 signals in real.

Moving together with Pgim Mutual Fund

0.99	HYSZX	Prudential Short Duration	Pair Corr
0.98	HYSAX	Prudential Short Duration	Pair Corr
0.98	HYSCX	Prudential Short Duration	Pair Corr
0.97	PGAQX	Pgim Esg High	Pair Corr
1.0	PGANX	Pgim Esg High	Pair Corr
0.97	PGAUX	Pgim Esg High	Pair Corr
0.77	PGFCX	Pgim Conservative	Pair Corr
0.8	PGFEX	Pgim Enhanced Retirement	Pair Corr
0.85	PGJAX	Prudential Jennison	Pair Corr
0.86	PGJCX	Prudential Jennison	Pair Corr
0.86	PGJZX	Prudential Jennison	Pair Corr
0.81	PGIGX	Pgim Esg Short	Pair Corr
0.86	PGIPX	Pgim Esg Short	Pair Corr
0.72	PGIJX	Pgim Esg Short	Pair Corr
0.84	PGIKX	Pgim Esg Short	Pair Corr
0.75	FRFZX	Prudential Floating Rate	Pair Corr
0.76	FRFAX	Prudential Floating Rate	Pair Corr
0.75	FRFCX	Prudential Floating Rate	Pair Corr
0.61	PGKZX	Pgim Jennison Technology	Pair Corr
0.64	PGOAX	Prudential Jennison Small	Pair Corr

Moving against Pgim Mutual Fund

0.39	PGAFX	Pgim Wadhwani Systematic	Pair Corr
0.58	PHLAX	Prudential Health	Pair Corr
0.58	PHLCX	Prudential Health	Pair Corr
0.57	PHSZX	Prudential Health	Pair Corr

Related Correlations Analysis

	PHYZX	EAPCX	444859BR2	AQUI	BRRAY	MSTSX	ABHYX	LBHIX	SCAXF	VIASP
PHYZX		0.68	-0.63	0.0	-0.47	0.73	0.54	0.97	-0.21	0.13	PHYZX
EAPCX	0.68		-0.53	0.0	-0.59	0.82	0.38	0.61	-0.05	-0.05	EAPCX
444859BR2	-0.63	-0.53		0.0	0.21	-0.63	-0.02	-0.58	0.24	-0.31	444859BR2
AQUI	0.0	0.0	0.0		0.0	0.0	0.0	0.0	0.0	0.0	AQUI
BRRAY	-0.47	-0.59	0.21	0.0		-0.51	-0.43	-0.41	-0.02	0.09	BRRAY
MSTSX	0.73	0.82	-0.63	0.0	-0.51		0.33	0.69	0.02	-0.12	MSTSX
ABHYX	0.54	0.38	-0.02	0.0	-0.43	0.33		0.56	-0.02	-0.22	ABHYX
LBHIX	0.97	0.61	-0.58	0.0	-0.41	0.69	0.56		-0.21	0.13	LBHIX
SCAXF	-0.21	-0.05	0.24	0.0	-0.02	0.02	-0.02	-0.21		-0.75	SCAXF
VIASP	0.13	-0.05	-0.31	0.0	0.09	-0.12	-0.22	0.13	-0.75		VIASP
	PHYZX	EAPCX	444859BR2	AQUI	BRRAY	MSTSX	ABHYX	LBHIX	SCAXF	VIASP

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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

LBHIX	+ 0.97	PHYZX
MSTSX	+ 0.82	EAPCX
MSTSX	+ 0.73	PHYZX
LBHIX	+ 0.69	MSTSX
EAPCX	+ 0.68	PHYZX
LBHIX	+ 0.61	EAPCX

High negative correlations

VIASP	- 0.75	SCAXF
MSTSX	- 0.63	444859BR2
444859BR2	- 0.63	PHYZX
BRRAY	- 0.59	EAPCX
LBHIX	- 0.58	444859BR2
444859BR2	- 0.53	EAPCX

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
PHYZX	0.12	0.02	(0.36)	0.98	0.00	(0.29)	0.42	(0.21)	0.63
EAPCX	0.65	0.05	(0.04)	0.58	0.84	(0.66)	1.48	(1.45)	3.53
444859BR2	1.31	(0.03)	0.00	0.36	0.00	0.00	5.93	(4.50)	16.62
AQUI	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00
BRRAY	1.27	(0.11)	0.00	0.01	0.00	0.00	0.00	(2.98)	34.02
MSTSX	0.49	0.04	(0.11)	(0.30)	0.52	(0.59)	1.21	(1.02)	2.80
ABHYX	0.16	0.00	(0.20)	0.08	0.26	(0.24)	0.34	(0.33)	1.91
LBHIX	0.11	0.01	(0.32)	0.44	0.00	(0.29)	0.24	(0.24)	0.96
SCAXF	0.70	(0.40)	0.00	(1.01)	0.00	0.00	0.00	0.00	23.47
VIASP	0.74	0.11	0.01	(3.65)	1.04	(0.83)	2.28	(1.15)	7.18

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