Correlation Between IShares Core and PGIM ETF
Can any of the company-specific risk be diversified away by investing in both IShares Core and PGIM ETF 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 ETF into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between iShares Core SP and PGIM ETF Trust, you can compare the effects of market volatilities on IShares Core and PGIM ETF 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 ETF. Check out your portfolio center. Please also check ongoing floating volatility patterns of IShares Core and PGIM ETF.
Diversification Opportunities for IShares Core and PGIM ETF
0.9 | Correlation Coefficient |
Almost no diversification
The 3 months correlation between IShares and PGIM is 0.9. Overlapping area represents the amount of risk that can be diversified away by holding iShares Core SP and PGIM ETF Trust in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on PGIM ETF Trust 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 SP are associated (or correlated) with PGIM ETF. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of PGIM ETF Trust has no effect on the direction of IShares Core i.e., IShares Core and PGIM ETF go up and down completely randomly.
Pair Corralation between IShares Core and PGIM ETF
Considering the 90-day investment horizon IShares Core is expected to generate 2.25 times less return on investment than PGIM ETF. But when comparing it to its historical volatility, iShares Core SP is 10.89 times less risky than PGIM ETF. It trades about 0.11 of its potential returns per unit of risk. PGIM ETF Trust is currently generating about 0.02 of returns per unit of risk over similar time horizon. If you would invest 9,893 in PGIM ETF Trust on August 29, 2024 and sell it today you would lose (4,758) from holding PGIM ETF Trust or give up 48.09% of portfolio value over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Very Strong |
| Accuracy | 93.35% |
| Values | Daily Returns |
iShares Core SP vs. PGIM ETF Trust
Performance |
| Timeline |
| iShares Core SP |
| PGIM ETF Trust |
IShares Core and PGIM ETF Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with IShares Core and PGIM ETF
The main advantage of trading using opposite IShares Core and PGIM ETF positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if IShares Core position performs unexpectedly, PGIM ETF 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 ETF will offset losses from the drop in PGIM ETF's long position.| IShares Core vs. iShares Core SP | IShares Core vs. iShares Core SP | IShares Core vs. iShares SP 500 | IShares Core vs. iShares Russell 2000 |
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 Money Flow Index module to determine momentum by analyzing Money Flow Index and other technical indicators.
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