Correlation Between PGIM Active and IShares Edge
Can any of the company-specific risk be diversified away by investing in both PGIM Active and IShares Edge 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 IShares Edge 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 iShares Edge High, you can compare the effects of market volatilities on PGIM Active and IShares Edge 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 IShares Edge. Check out your portfolio center. Please also check ongoing floating volatility patterns of PGIM Active and IShares Edge.
Diversification Opportunities for PGIM Active and IShares Edge
0.9 | Correlation Coefficient |
Almost no diversification
The 3 months correlation between PGIM and IShares is 0.9. Overlapping area represents the amount of risk that can be diversified away by holding PGIM Active High and iShares Edge High in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on iShares Edge High 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 IShares Edge. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of iShares Edge High has no effect on the direction of PGIM Active i.e., PGIM Active and IShares Edge go up and down completely randomly.
Pair Corralation between PGIM Active and IShares Edge
Given the investment horizon of 90 days PGIM Active is expected to generate 1.12 times less return on investment than IShares Edge. But when comparing it to its historical volatility, PGIM Active High is 1.1 times less risky than IShares Edge. It trades about 0.17 of its potential returns per unit of risk. iShares Edge High is currently generating about 0.18 of returns per unit of risk over similar time horizon. If you would invest 4,396 in iShares Edge High on September 1, 2024 and sell it today you would earn a total of 399.00 from holding iShares Edge High or generate 9.08% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Very Strong |
| Accuracy | 99.47% |
| Values | Daily Returns |
PGIM Active High vs. iShares Edge High
Performance |
| Timeline |
| PGIM Active High |
| iShares Edge High |
PGIM Active and IShares Edge Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with PGIM Active and IShares Edge
The main advantage of trading using opposite PGIM Active and IShares Edge positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if PGIM Active position performs unexpectedly, IShares Edge 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 IShares Edge will offset losses from the drop in IShares Edge'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 |
| IShares Edge vs. iShares Edge Investment | IShares Edge vs. iShares Interest Rate | IShares Edge vs. iShares Fallen Angels | IShares Edge vs. iShares Intl High |
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 Manager module to state of the art Portfolio Manager to monitor and improve performance of your invested capital.
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