Correlation Between PGIM Active and First Trust
Can any of the company-specific risk be diversified away by investing in both PGIM Active and First Trust 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 Active and First Trust into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between PGIM Active High and First Trust TCW, you can compare the effects of market volatilities on PGIM Active and First Trust 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 Active with a short position of First Trust. Check out your portfolio center. Please also check ongoing floating volatility patterns of PGIM Active and First Trust.
Diversification Opportunities for PGIM Active and First Trust
0.37 | Correlation Coefficient |
Weak diversification
The 3 months correlation between PGIM and First is 0.37. Overlapping area represents the amount of risk that can be diversified away by holding PGIM Active High and First Trust TCW in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on First Trust TCW and PGIM Active 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 Active High are associated (or correlated) with First Trust. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of First Trust TCW has no effect on the direction of PGIM Active i.e., PGIM Active and First Trust go up and down completely randomly.
Pair Corralation between PGIM Active and First Trust
Given the investment horizon of 90 days PGIM Active High is expected to generate 0.86 times more return on investment than First Trust. However, PGIM Active High is 1.16 times less risky than First Trust. It trades about -0.08 of its potential returns per unit of risk. First Trust TCW is currently generating about -0.47 per unit of risk. If you would invest 3,506 in PGIM Active High on October 9, 2024 and sell it today you would lose (14.00) from holding PGIM Active High or give up 0.4% of portfolio value over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Very Weak |
| Accuracy | 100.0% |
| Values | Daily Returns |
PGIM Active High vs. First Trust TCW
Performance |
| Timeline |
| PGIM Active High |
| First Trust TCW |
PGIM Active and First Trust Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with PGIM Active and First Trust
The main advantage of trading using opposite PGIM Active and First Trust positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if PGIM Active position performs unexpectedly, First Trust 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 First Trust will offset losses from the drop in First Trust's long position.| PGIM Active vs. Xtrackers High Beta | PGIM Active vs. Xtrackers Short Duration | PGIM Active vs. FlexShares High Yield | PGIM Active vs. Franklin Liberty High |
| First Trust vs. First Trust TCW | First Trust vs. First Trust TCW | First Trust vs. First Trust Ultra | First Trust vs. First Trust Short |
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 USA ETFs module to find actively traded Exchange Traded Funds (ETF) in USA.
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