Correlation Between IShares Core and PGIM Short
Can any of the company-specific risk be diversified away by investing in both IShares Core and PGIM Short 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 IShares Core and PGIM Short into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between iShares Core 1 5 and PGIM Short Duration, you can compare the effects of market volatilities on IShares Core and PGIM Short 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 IShares Core with a short position of PGIM Short. Check out your portfolio center. Please also check ongoing floating volatility patterns of IShares Core and PGIM Short.
Diversification Opportunities for IShares Core and PGIM Short
0.79 | Correlation Coefficient |
Poor diversification
The 3 months correlation between IShares and PGIM is 0.79. Overlapping area represents the amount of risk that can be diversified away by holding iShares Core 1 5 and PGIM Short Duration in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on PGIM Short Duration and IShares Core 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 iShares Core 1 5 are associated (or correlated) with PGIM Short. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of PGIM Short Duration has no effect on the direction of IShares Core i.e., IShares Core and PGIM Short go up and down completely randomly.
Pair Corralation between IShares Core and PGIM Short
Given the investment horizon of 90 days IShares Core is expected to generate 1.44 times less return on investment than PGIM Short. But when comparing it to its historical volatility, iShares Core 1 5 is 1.08 times less risky than PGIM Short. It trades about 0.11 of its potential returns per unit of risk. PGIM Short Duration is currently generating about 0.15 of returns per unit of risk over similar time horizon. If you would invest 5,078 in PGIM Short Duration on September 1, 2024 and sell it today you would earn a total of 26.00 from holding PGIM Short Duration or generate 0.51% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Significant |
| Accuracy | 100.0% |
| Values | Daily Returns |
iShares Core 1 5 vs. PGIM Short Duration
Performance |
| Timeline |
| iShares Core 1 |
| PGIM Short Duration |
IShares Core and PGIM Short Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with IShares Core and PGIM Short
The main advantage of trading using opposite IShares Core and PGIM Short positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if IShares Core position performs unexpectedly, PGIM Short 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 Short will offset losses from the drop in PGIM Short's long position.| IShares Core vs. Vanguard Intermediate Term Corporate | IShares Core vs. Vanguard Short Term Bond | IShares Core vs. Vanguard Long Term Corporate | IShares Core vs. Vanguard Short Term Treasury |
| PGIM Short vs. Vanguard Intermediate Term Corporate | PGIM Short vs. Vanguard Short Term Bond | PGIM Short vs. Vanguard Long Term Corporate | PGIM Short vs. Vanguard Short Term Treasury |
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 Commodity Directory module to find actively traded commodities issued by global exchanges.
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