Correlation Between Pgim Jennison and Vanguard Materials
Can any of the company-specific risk be diversified away by investing in both Pgim Jennison and Vanguard Materials 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 Jennison and Vanguard Materials into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Pgim Jennison Natural and Vanguard Materials Index, you can compare the effects of market volatilities on Pgim Jennison and Vanguard Materials 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 Jennison with a short position of Vanguard Materials. Check out your portfolio center. Please also check ongoing floating volatility patterns of Pgim Jennison and Vanguard Materials.
Diversification Opportunities for Pgim Jennison and Vanguard Materials
0.85 | Correlation Coefficient |
Very poor diversification
The 3 months correlation between Pgim and Vanguard is 0.85. Overlapping area represents the amount of risk that can be diversified away by holding Pgim Jennison Natural and Vanguard Materials Index in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Vanguard Materials Index and Pgim Jennison 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 Jennison Natural are associated (or correlated) with Vanguard Materials. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Vanguard Materials Index has no effect on the direction of Pgim Jennison i.e., Pgim Jennison and Vanguard Materials go up and down completely randomly.
Pair Corralation between Pgim Jennison and Vanguard Materials
Assuming the 90 days horizon Pgim Jennison is expected to generate 2.58 times less return on investment than Vanguard Materials. In addition to that, Pgim Jennison is 1.33 times more volatile than Vanguard Materials Index. It trades about 0.01 of its total potential returns per unit of risk. Vanguard Materials Index is currently generating about 0.05 per unit of volatility. If you would invest 8,783 in Vanguard Materials Index on September 4, 2024 and sell it today you would earn a total of 2,026 from holding Vanguard Materials Index or generate 23.07% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Strong |
| Accuracy | 100.0% |
| Values | Daily Returns |
Pgim Jennison Natural vs. Vanguard Materials Index
Performance |
| Timeline |
| Pgim Jennison Natural |
| Vanguard Materials Index |
Pgim Jennison and Vanguard Materials Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Pgim Jennison and Vanguard Materials
The main advantage of trading using opposite Pgim Jennison and Vanguard Materials positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Pgim Jennison position performs unexpectedly, Vanguard Materials 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 Vanguard Materials will offset losses from the drop in Vanguard Materials' long position.| Pgim Jennison vs. Prudential Jennison International | Pgim Jennison vs. Prudential Jennison International | Pgim Jennison vs. Prudential Jennison International | Pgim Jennison vs. Prudential Short Duration |
| Vanguard Materials vs. Vanguard Emerging Markets | Vanguard Materials vs. Vanguard Total International | Vanguard Materials vs. Vanguard Reit Index | Vanguard Materials vs. Vanguard Industrials Index |
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 Risk-Return Analysis module to view associations between returns expected from investment and the risk you assume.
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