Correlation Between PGIM Active and Franklin Liberty
Can any of the company-specific risk be diversified away by investing in both PGIM Active and Franklin Liberty 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 Franklin Liberty 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 Franklin Liberty International, you can compare the effects of market volatilities on PGIM Active and Franklin Liberty 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 Franklin Liberty. Check out your portfolio center. Please also check ongoing floating volatility patterns of PGIM Active and Franklin Liberty.
Diversification Opportunities for PGIM Active and Franklin Liberty
0.62 | Correlation Coefficient |
Poor diversification
The 3 months correlation between PGIM and Franklin is 0.62. Overlapping area represents the amount of risk that can be diversified away by holding PGIM Active High and Franklin Liberty International in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Franklin Liberty Int 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 Franklin Liberty. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Franklin Liberty Int has no effect on the direction of PGIM Active i.e., PGIM Active and Franklin Liberty go up and down completely randomly.
Pair Corralation between PGIM Active and Franklin Liberty
Given the investment horizon of 90 days PGIM Active is expected to generate 1.08 times less return on investment than Franklin Liberty. But when comparing it to its historical volatility, PGIM Active High is 1.07 times less risky than Franklin Liberty. It trades about 0.24 of its potential returns per unit of risk. Franklin Liberty International is currently generating about 0.24 of returns per unit of risk over similar time horizon. If you would invest 2,066 in Franklin Liberty International on August 31, 2024 and sell it today you would earn a total of 26.00 from holding Franklin Liberty International or generate 1.26% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Significant |
| Accuracy | 95.65% |
| Values | Daily Returns |
PGIM Active High vs. Franklin Liberty International
Performance |
| Timeline |
| PGIM Active High |
| Franklin Liberty Int |
PGIM Active and Franklin Liberty Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with PGIM Active and Franklin Liberty
The main advantage of trading using opposite PGIM Active and Franklin Liberty positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if PGIM Active position performs unexpectedly, Franklin Liberty 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 Franklin Liberty will offset losses from the drop in Franklin Liberty's long position.| PGIM Active vs. Xtrackers High Beta | PGIM Active vs. Xtrackers Short Duration | PGIM Active vs. FlexShares High Yield |
| Franklin Liberty vs. Franklin Liberty High | Franklin Liberty vs. Franklin Liberty Senior | Franklin Liberty vs. Franklin Liberty Intermediate | Franklin Liberty vs. Franklin Liberty 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 ETF Categories module to list of ETF categories grouped based on various criteria, such as the investment strategy or type of investments.
Other Complementary Tools
| Portfolio Volatility Check portfolio volatility and analyze historical return density to properly model market risk | |
| Portfolio Rebalancing Analyze risk-adjusted returns against different time horizons to find asset-allocation targets | |
| Price Ceiling Movement Calculate and plot Price Ceiling Movement for different equity instruments | |
| Portfolio File Import Quickly import all of your third-party portfolios from your local drive in csv format | |
| Positions Ratings Determine portfolio positions ratings based on digital equity recommendations. Macroaxis instant position ratings are based on combination of fundamental analysis and risk-adjusted market performance |