Correlation Between PGIM ETF and US Treasury
Can any of the company-specific risk be diversified away by investing in both PGIM ETF and US Treasury 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 PGIM ETF and US Treasury into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between PGIM ETF Trust and US Treasury 12, you can compare the effects of market volatilities on PGIM ETF and US Treasury 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 PGIM ETF with a short position of US Treasury. Check out your portfolio center. Please also check ongoing floating volatility patterns of PGIM ETF and US Treasury.
Diversification Opportunities for PGIM ETF and US Treasury
0.87 | Correlation Coefficient |
Very poor diversification
The 3 months correlation between PGIM and OBIL is 0.87. Overlapping area represents the amount of risk that can be diversified away by holding PGIM ETF Trust and US Treasury 12 in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on US Treasury 12 and PGIM ETF 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 PGIM ETF Trust are associated (or correlated) with US Treasury. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of US Treasury 12 has no effect on the direction of PGIM ETF i.e., PGIM ETF and US Treasury go up and down completely randomly.
Pair Corralation between PGIM ETF and US Treasury
Given the investment horizon of 90 days PGIM ETF Trust is expected to generate 0.75 times more return on investment than US Treasury. However, PGIM ETF Trust is 1.34 times less risky than US Treasury. It trades about 0.69 of its potential returns per unit of risk. US Treasury 12 is currently generating about 0.43 per unit of risk. If you would invest 4,974 in PGIM ETF Trust on September 1, 2024 and sell it today you would earn a total of 163.00 from holding PGIM ETF Trust or generate 3.28% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Strong |
| Accuracy | 100.0% |
| Values | Daily Returns |
PGIM ETF Trust vs. US Treasury 12
Performance |
| Timeline |
| PGIM ETF Trust |
| US Treasury 12 |
PGIM ETF and US Treasury Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with PGIM ETF and US Treasury
The main advantage of trading using opposite PGIM ETF and US Treasury positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if PGIM ETF position performs unexpectedly, US Treasury 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 US Treasury will offset losses from the drop in US Treasury's long position.| PGIM ETF vs. VanEck Vectors Moodys | PGIM ETF vs. BondBloxx ETF Trust | PGIM ETF vs. Vanguard ESG Corporate | PGIM ETF vs. Vanguard Intermediate Term Corporate |
| US Treasury vs. SPDR Barclays Long | US Treasury vs. SPDR Portfolio Intermediate | US Treasury vs. SPDR Barclays Short | US Treasury vs. SPDR Barclays Intermediate |
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 Volatility module to check portfolio volatility and analyze historical return density to properly model market risk.
Other Complementary Tools
| Global Correlations Find global opportunities by holding instruments from different markets | |
| Bollinger Bands Use Bollinger Bands indicator to analyze target price for a given investing horizon | |
| Top Crypto Exchanges Search and analyze digital assets across top global cryptocurrency exchanges | |
| Alpha Finder Use alpha and beta coefficients to find investment opportunities after accounting for the risk | |
| Competition Analyzer Analyze and compare many basic indicators for a group of related or unrelated entities |