Correlation Between PGIM Active and ETF Series
Can any of the company-specific risk be diversified away by investing in both PGIM Active and ETF Series 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 ETF Series 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 ETF Series Solutions, you can compare the effects of market volatilities on PGIM Active and ETF Series 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 ETF Series. Check out your portfolio center. Please also check ongoing floating volatility patterns of PGIM Active and ETF Series.
Diversification Opportunities for PGIM Active and ETF Series
0.47 | Correlation Coefficient |
Very weak diversification
The 3 months correlation between PGIM and ETF is 0.47. Overlapping area represents the amount of risk that can be diversified away by holding PGIM Active High and ETF Series Solutions in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on ETF Series Solutions 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 ETF Series. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of ETF Series Solutions has no effect on the direction of PGIM Active i.e., PGIM Active and ETF Series go up and down completely randomly.
Pair Corralation between PGIM Active and ETF Series
Given the investment horizon of 90 days PGIM Active High is expected to generate 1.66 times more return on investment than ETF Series. However, PGIM Active is 1.66 times more volatile than ETF Series Solutions. It trades about 0.11 of its potential returns per unit of risk. ETF Series Solutions is currently generating about 0.07 per unit of risk. If you would invest 2,947 in PGIM Active High on September 4, 2024 and sell it today you would earn a total of 582.00 from holding PGIM Active High or generate 19.75% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Weak |
| Accuracy | 100.0% |
| Values | Daily Returns |
PGIM Active High vs. ETF Series Solutions
Performance |
| Timeline |
| PGIM Active High |
| ETF Series Solutions |
PGIM Active and ETF Series Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with PGIM Active and ETF Series
The main advantage of trading using opposite PGIM Active and ETF Series positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if PGIM Active position performs unexpectedly, ETF Series 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 ETF Series will offset losses from the drop in ETF Series' long position.| PGIM Active vs. iShares iBoxx Investment | PGIM Active vs. SPDR Bloomberg High | PGIM Active vs. iShares TIPS Bond | PGIM Active vs. iShares 20 Year |
| ETF Series vs. ClearShares Ultra Short Maturity | ETF Series vs. PGIM Active High | ETF Series vs. Pacer Trendpilot Bond | ETF Series vs. Pacer Lunt Large |
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 Instant Ratings module to determine any equity ratings based on digital recommendations. Macroaxis instant equity ratings are based on combination of fundamental analysis and risk-adjusted market performance.
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