Correlation Between PGIM ETF and SPDR SP
Can any of the company-specific risk be diversified away by investing in both PGIM ETF and SPDR SP 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 ETF and SPDR SP into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between PGIM ETF Trust and SPDR SP 400, you can compare the effects of market volatilities on PGIM ETF and SPDR SP 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 ETF with a short position of SPDR SP. Check out your portfolio center. Please also check ongoing floating volatility patterns of PGIM ETF and SPDR SP.
Diversification Opportunities for PGIM ETF and SPDR SP
Almost no diversification
The 3 months correlation between PGIM and SPDR is 0.96. Overlapping area represents the amount of risk that can be diversified away by holding PGIM ETF Trust and SPDR SP 400 in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on SPDR SP 400 and PGIM ETF 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 ETF Trust are associated (or correlated) with SPDR SP. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of SPDR SP 400 has no effect on the direction of PGIM ETF i.e., PGIM ETF and SPDR SP go up and down completely randomly.
Pair Corralation between PGIM ETF and SPDR SP
Given the investment horizon of 90 days PGIM ETF is expected to generate 1.03 times less return on investment than SPDR SP. But when comparing it to its historical volatility, PGIM ETF Trust is 1.22 times less risky than SPDR SP. It trades about 0.41 of its potential returns per unit of risk. SPDR SP 400 is currently generating about 0.35 of returns per unit of risk over similar time horizon. If you would invest 8,665 in SPDR SP 400 on September 1, 2024 and sell it today you would earn a total of 768.00 from holding SPDR SP 400 or generate 8.86% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Very Strong |
| Accuracy | 95.45% |
| Values | Daily Returns |
PGIM ETF Trust vs. SPDR SP 400
Performance |
| Timeline |
| PGIM ETF Trust |
| SPDR SP 400 |
PGIM ETF and SPDR SP Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with PGIM ETF and SPDR SP
The main advantage of trading using opposite PGIM ETF and SPDR SP positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if PGIM ETF position performs unexpectedly, SPDR SP 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 SP will offset losses from the drop in SPDR SP's long position.| PGIM ETF vs. iShares Small Cap | PGIM ETF vs. Invesco ESG NASDAQ | PGIM ETF vs. Invesco ESG NASDAQ | PGIM ETF vs. BlackRock Carbon Transition |
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 Stock Screener module to find equities using a custom stock filter or screen asymmetry in trading patterns, price, volume, or investment outlook..
Other Complementary Tools
| Sign In To Macroaxis Sign in to explore Macroaxis' wealth optimization platform and fintech modules | |
| Portfolio Dashboard Portfolio dashboard that provides centralized access to all your investments | |
| Equity Analysis Research over 250,000 global equities including funds, stocks and ETFs to find investment opportunities | |
| My Watchlist Analysis Analyze my current watchlist and to refresh optimization strategy. Macroaxis watchlist is based on self-learning algorithm to remember stocks you like | |
| Theme Ratings Determine theme ratings based on digital equity recommendations. Macroaxis theme ratings are based on combination of fundamental analysis and risk-adjusted market performance |