Correlation Between PGIM Active and PGIM ETF

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Can any of the company-specific risk be diversified away by investing in both PGIM Active and PGIM ETF 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 PGIM ETF 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 PGIM ETF Trust, you can compare the effects of market volatilities on PGIM Active and PGIM ETF 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 PGIM ETF. Check out your portfolio center. Please also check ongoing floating volatility patterns of PGIM Active and PGIM ETF.

Diversification Opportunities for PGIM Active and PGIM ETF

-0.11
  Correlation Coefficient

Good diversification

The 3 months correlation between PGIM and PGIM is -0.11. Overlapping area represents the amount of risk that can be diversified away by holding PGIM Active High and PGIM ETF Trust in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on PGIM ETF Trust 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 PGIM ETF. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of PGIM ETF Trust has no effect on the direction of PGIM Active i.e., PGIM Active and PGIM ETF go up and down completely randomly.

Pair Corralation between PGIM Active and PGIM ETF

Given the investment horizon of 90 days PGIM Active is expected to generate 1.27 times less return on investment than PGIM ETF. But when comparing it to its historical volatility, PGIM Active High is 1.87 times less risky than PGIM ETF. It trades about 0.37 of its potential returns per unit of risk. PGIM ETF Trust is currently generating about 0.25 of returns per unit of risk over similar time horizon. If you would invest  4,173  in PGIM ETF Trust on September 13, 2024 and sell it today you would earn a total of  56.00  from holding PGIM ETF Trust or generate 1.34% return on investment over 90 days.
Time Period3 Months [change]
DirectionMoves Against 
StrengthInsignificant
Accuracy100.0%
ValuesDaily Returns

PGIM Active High  vs.  PGIM ETF Trust

 Performance 
       Timeline  
PGIM Active High 

Risk-Adjusted Performance

10 of 100

 
Weak
 
Strong
OK
Compared to the overall equity markets, risk-adjusted returns on investments in PGIM Active High are ranked lower than 10 (%) of all global equities and portfolios over the last 90 days. Despite quite persistent basic indicators, PGIM Active is not utilizing all of its potentials. The recent stock price mess, may contribute to short-term losses for the institutional investors.
PGIM ETF Trust 

Risk-Adjusted Performance

0 of 100

 
Weak
 
Strong
Very Weak
Over the last 90 days PGIM ETF Trust has generated negative risk-adjusted returns adding no value to investors with long positions. Despite somewhat strong basic indicators, PGIM ETF is not utilizing all of its potentials. The latest stock price disturbance, may contribute to short-term losses for the investors.

PGIM Active and PGIM ETF Volatility Contrast

   Predicted Return Density   
       Returns  

Pair Trading with PGIM Active and PGIM ETF

The main advantage of trading using opposite PGIM Active and PGIM ETF positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if PGIM Active position performs unexpectedly, PGIM ETF 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 PGIM ETF will offset losses from the drop in PGIM ETF's long position.
The idea behind PGIM Active High and PGIM ETF Trust pairs trading is to make the combined position market-neutral, meaning the overall market's direction will not affect its win or loss (or potential downside or upside). This can be achieved by designing a pairs trade with two highly correlated stocks or equities that operate in a similar space or sector, making it possible to obtain profits through simple and relatively low-risk investment.
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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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