Correlation Between JPMorgan Fundamental and PGIM ETF
Can any of the company-specific risk be diversified away by investing in both JPMorgan Fundamental 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 JPMorgan Fundamental and PGIM ETF into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between JPMorgan Fundamental Data and PGIM ETF Trust, you can compare the effects of market volatilities on JPMorgan Fundamental 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 JPMorgan Fundamental with a short position of PGIM ETF. Check out your portfolio center. Please also check ongoing floating volatility patterns of JPMorgan Fundamental and PGIM ETF.
Diversification Opportunities for JPMorgan Fundamental and PGIM ETF
0.99 | Correlation Coefficient |
No risk reduction
The 3 months correlation between JPMorgan and PGIM is 0.99. Overlapping area represents the amount of risk that can be diversified away by holding JPMorgan Fundamental Data 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 JPMorgan Fundamental 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 JPMorgan Fundamental Data 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 JPMorgan Fundamental i.e., JPMorgan Fundamental and PGIM ETF go up and down completely randomly.
Pair Corralation between JPMorgan Fundamental and PGIM ETF
Given the investment horizon of 90 days JPMorgan Fundamental is expected to generate 1.6 times less return on investment than PGIM ETF. But when comparing it to its historical volatility, JPMorgan Fundamental Data is 1.26 times less risky than PGIM ETF. It trades about 0.32 of its potential returns per unit of risk. PGIM ETF Trust is currently generating about 0.41 of returns per unit of risk over similar time horizon. If you would invest 5,751 in PGIM ETF Trust on September 1, 2024 and sell it today you would earn a total of 519.00 from holding PGIM ETF Trust or generate 9.02% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Very Strong |
| Accuracy | 95.45% |
| Values | Daily Returns |
JPMorgan Fundamental Data vs. PGIM ETF Trust
Performance |
| Timeline |
| JPMorgan Fundamental Data |
| PGIM ETF Trust |
JPMorgan Fundamental and PGIM ETF Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with JPMorgan Fundamental and PGIM ETF
The main advantage of trading using opposite JPMorgan Fundamental and PGIM ETF positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if JPMorgan Fundamental 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.| JPMorgan Fundamental vs. iShares Small Cap | JPMorgan Fundamental vs. Invesco ESG NASDAQ | JPMorgan Fundamental vs. Invesco ESG NASDAQ | JPMorgan Fundamental vs. BlackRock Carbon Transition |
| PGIM ETF vs. iShares Small Cap | PGIM ETF vs. Invesco ESG NASDAQ | PGIM ETF vs. Invesco ESG NASDAQ | PGIM ETF vs. BlackRock Carbon Transition |
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 Holdings module to check your current holdings and cash postion to detemine if your portfolio needs rebalancing.
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