Correlation Between Pgim High and Gmo High
Can any of the company-specific risk be diversified away by investing in both Pgim High and Gmo High 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 High and Gmo High into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Pgim High Yield and Gmo High Yield, you can compare the effects of market volatilities on Pgim High and Gmo High 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 High with a short position of Gmo High. Check out your portfolio center. Please also check ongoing floating volatility patterns of Pgim High and Gmo High.
Diversification Opportunities for Pgim High and Gmo High
Very poor diversification
The 3 months correlation between Pgim and Gmo is 0.87. Overlapping area represents the amount of risk that can be diversified away by holding Pgim High Yield and Gmo High Yield in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Gmo High Yield and Pgim High 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 High Yield are associated (or correlated) with Gmo High. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Gmo High Yield has no effect on the direction of Pgim High i.e., Pgim High and Gmo High go up and down completely randomly.
Pair Corralation between Pgim High and Gmo High
Assuming the 90 days horizon Pgim High is expected to generate 1.08 times less return on investment than Gmo High. But when comparing it to its historical volatility, Pgim High Yield is 1.03 times less risky than Gmo High. It trades about 0.22 of its potential returns per unit of risk. Gmo High Yield is currently generating about 0.23 of returns per unit of risk over similar time horizon. If you would invest 1,695 in Gmo High Yield on September 3, 2024 and sell it today you would earn a total of 117.00 from holding Gmo High Yield or generate 6.9% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Strong |
| Accuracy | 100.0% |
| Values | Daily Returns |
Pgim High Yield vs. Gmo High Yield
Performance |
| Timeline |
| Pgim High Yield |
| Gmo High Yield |
Pgim High and Gmo High Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Pgim High and Gmo High
The main advantage of trading using opposite Pgim High and Gmo High positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Pgim High position performs unexpectedly, Gmo High 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 Gmo High will offset losses from the drop in Gmo High's long position.| Pgim High vs. Vanguard High Yield Corporate | Pgim High vs. Vanguard High Yield Porate | Pgim High vs. Blackrock Hi Yld | Pgim High vs. Blackrock High Yield |
| Gmo High vs. Vanguard High Yield Corporate | Gmo High vs. Vanguard High Yield Porate | Gmo High vs. Blackrock Hi Yld | Gmo High vs. Blackrock High Yield |
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 Content Syndication module to quickly integrate customizable finance content to your own investment portal.
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