Correlation Between Pgim Jennison and Jpmorgan International
Can any of the company-specific risk be diversified away by investing in both Pgim Jennison and Jpmorgan International 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 Jennison and Jpmorgan International into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Pgim Jennison Technology and Jpmorgan International Value, you can compare the effects of market volatilities on Pgim Jennison and Jpmorgan International 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 Jennison with a short position of Jpmorgan International. Check out your portfolio center. Please also check ongoing floating volatility patterns of Pgim Jennison and Jpmorgan International.
Diversification Opportunities for Pgim Jennison and Jpmorgan International
-0.08 | Correlation Coefficient |
Good diversification
The 3 months correlation between Pgim and Jpmorgan is -0.08. Overlapping area represents the amount of risk that can be diversified away by holding Pgim Jennison Technology and Jpmorgan International Value in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Jpmorgan International and Pgim Jennison 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 Jennison Technology are associated (or correlated) with Jpmorgan International. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Jpmorgan International has no effect on the direction of Pgim Jennison i.e., Pgim Jennison and Jpmorgan International go up and down completely randomly.
Pair Corralation between Pgim Jennison and Jpmorgan International
Assuming the 90 days horizon Pgim Jennison Technology is expected to under-perform the Jpmorgan International. In addition to that, Pgim Jennison is 2.69 times more volatile than Jpmorgan International Value. It trades about -0.07 of its total potential returns per unit of risk. Jpmorgan International Value is currently generating about -0.13 per unit of volatility. If you would invest 1,454 in Jpmorgan International Value on October 11, 2024 and sell it today you would lose (25.00) from holding Jpmorgan International Value or give up 1.72% of portfolio value over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Against |
| Strength | Insignificant |
| Accuracy | 95.24% |
| Values | Daily Returns |
Pgim Jennison Technology vs. Jpmorgan International Value
Performance |
| Timeline |
| Pgim Jennison Technology |
| Jpmorgan International |
Pgim Jennison and Jpmorgan International Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Pgim Jennison and Jpmorgan International
The main advantage of trading using opposite Pgim Jennison and Jpmorgan International positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Pgim Jennison position performs unexpectedly, Jpmorgan International 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 Jpmorgan International will offset losses from the drop in Jpmorgan International's long position.| Pgim Jennison vs. Stone Ridge Diversified | Pgim Jennison vs. Aqr Diversified Arbitrage | Pgim Jennison vs. Jhancock Diversified Macro | Pgim Jennison vs. Putnam Diversified Income |
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 Rebalancing module to analyze risk-adjusted returns against different time horizons to find asset-allocation targets.
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