Correlation Between Elfun Diversified and Pgim Jennison
Can any of the company-specific risk be diversified away by investing in both Elfun Diversified and Pgim Jennison 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 Elfun Diversified and Pgim Jennison into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Elfun Diversified Fund and Pgim Jennison International, you can compare the effects of market volatilities on Elfun Diversified and Pgim Jennison 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 Elfun Diversified with a short position of Pgim Jennison. Check out your portfolio center. Please also check ongoing floating volatility patterns of Elfun Diversified and Pgim Jennison.
Diversification Opportunities for Elfun Diversified and Pgim Jennison
0.24 | Correlation Coefficient |
Modest diversification
The 3 months correlation between Elfun and Pgim is 0.24. Overlapping area represents the amount of risk that can be diversified away by holding Elfun Diversified Fund and Pgim Jennison International in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Pgim Jennison Intern and Elfun Diversified 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 Elfun Diversified Fund are associated (or correlated) with Pgim Jennison. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Pgim Jennison Intern has no effect on the direction of Elfun Diversified i.e., Elfun Diversified and Pgim Jennison go up and down completely randomly.
Pair Corralation between Elfun Diversified and Pgim Jennison
Assuming the 90 days horizon Elfun Diversified is expected to generate 1.06 times less return on investment than Pgim Jennison. But when comparing it to its historical volatility, Elfun Diversified Fund is 1.93 times less risky than Pgim Jennison. It trades about 0.11 of its potential returns per unit of risk. Pgim Jennison International is currently generating about 0.06 of returns per unit of risk over similar time horizon. If you would invest 2,315 in Pgim Jennison International on September 14, 2024 and sell it today you would earn a total of 742.00 from holding Pgim Jennison International or generate 32.05% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Very Weak |
| Accuracy | 100.0% |
| Values | Daily Returns |
Elfun Diversified Fund vs. Pgim Jennison International
Performance |
| Timeline |
| Elfun Diversified |
| Pgim Jennison Intern |
Elfun Diversified and Pgim Jennison Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Elfun Diversified and Pgim Jennison
The main advantage of trading using opposite Elfun Diversified and Pgim Jennison positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Elfun Diversified position performs unexpectedly, Pgim Jennison 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 Pgim Jennison will offset losses from the drop in Pgim Jennison's long position.| Elfun Diversified vs. Loomis Sayles Inflation | Elfun Diversified vs. Lord Abbett Inflation | Elfun Diversified vs. Goldman Sachs Inflation | Elfun Diversified vs. Ab Bond Inflation |
| Pgim Jennison vs. Prudential Jennison International | Pgim Jennison vs. Prudential Jennison International | Pgim Jennison vs. Prudential Short Duration | Pgim Jennison vs. Prudential Emerging Markets |
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 Portfolio Optimization module to compute new portfolio that will generate highest expected return given your specified tolerance for risk.
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