Correlation Between PGIM Active and SPDR Portfolio
Can any of the company-specific risk be diversified away by investing in both PGIM Active and SPDR Portfolio 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 SPDR Portfolio 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 SPDR Portfolio Aggregate, you can compare the effects of market volatilities on PGIM Active and SPDR Portfolio 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 SPDR Portfolio. Check out your portfolio center. Please also check ongoing floating volatility patterns of PGIM Active and SPDR Portfolio.
Diversification Opportunities for PGIM Active and SPDR Portfolio
-0.11 | Correlation Coefficient |
Good diversification
The 3 months correlation between PGIM and SPDR is -0.11. Overlapping area represents the amount of risk that can be diversified away by holding PGIM Active High and SPDR Portfolio Aggregate in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on SPDR Portfolio Aggregate 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 SPDR Portfolio. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of SPDR Portfolio Aggregate has no effect on the direction of PGIM Active i.e., PGIM Active and SPDR Portfolio go up and down completely randomly.
Pair Corralation between PGIM Active and SPDR Portfolio
Given the investment horizon of 90 days PGIM Active is expected to generate 1.19 times less return on investment than SPDR Portfolio. But when comparing it to its historical volatility, PGIM Active High is 1.95 times less risky than SPDR Portfolio. It trades about 0.23 of its potential returns per unit of risk. SPDR Portfolio Aggregate is currently generating about 0.14 of returns per unit of risk over similar time horizon. If you would invest 2,515 in SPDR Portfolio Aggregate on September 13, 2024 and sell it today you would earn a total of 23.00 from holding SPDR Portfolio Aggregate or generate 0.91% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Against |
| Strength | Insignificant |
| Accuracy | 100.0% |
| Values | Daily Returns |
PGIM Active High vs. SPDR Portfolio Aggregate
Performance |
| Timeline |
| PGIM Active High |
| SPDR Portfolio Aggregate |
PGIM Active and SPDR Portfolio Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with PGIM Active and SPDR Portfolio
The main advantage of trading using opposite PGIM Active and SPDR Portfolio positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if PGIM Active position performs unexpectedly, SPDR Portfolio 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 SPDR Portfolio will offset losses from the drop in SPDR Portfolio's long position.| PGIM Active vs. Rivernorth Opportunistic Municipalome | PGIM Active vs. MFS Investment Grade | PGIM Active vs. Blackrock Muniholdings Ny | PGIM Active vs. Blackrock Muniholdings Closed |
| SPDR Portfolio vs. SPDR SP World | SPDR Portfolio vs. SPDR Barclays Intermediate | SPDR Portfolio vs. SPDR Portfolio SP | SPDR Portfolio vs. SPDR Portfolio Emerging |
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 Competition Analyzer module to analyze and compare many basic indicators for a group of related or unrelated entities.
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