Correlation Between PGIM Ultra and First Trust
Can any of the company-specific risk be diversified away by investing in both PGIM Ultra and First Trust 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 Ultra and First Trust into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between PGIM Ultra Short and First Trust S Network, you can compare the effects of market volatilities on PGIM Ultra and First Trust 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 Ultra with a short position of First Trust. Check out your portfolio center. Please also check ongoing floating volatility patterns of PGIM Ultra and First Trust.
Diversification Opportunities for PGIM Ultra and First Trust
0.86 | Correlation Coefficient |
Very poor diversification
The 3 months correlation between PGIM and First is 0.86. Overlapping area represents the amount of risk that can be diversified away by holding PGIM Ultra Short and First Trust S Network in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on First Trust S and PGIM Ultra 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 Ultra Short are associated (or correlated) with First Trust. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of First Trust S has no effect on the direction of PGIM Ultra i.e., PGIM Ultra and First Trust go up and down completely randomly.
Pair Corralation between PGIM Ultra and First Trust
Given the investment horizon of 90 days PGIM Ultra is expected to generate 18.8 times less return on investment than First Trust. But when comparing it to its historical volatility, PGIM Ultra Short is 30.06 times less risky than First Trust. It trades about 0.68 of its potential returns per unit of risk. First Trust S Network is currently generating about 0.43 of returns per unit of risk over similar time horizon. If you would invest 2,615 in First Trust S Network on August 30, 2024 and sell it today you would earn a total of 225.00 from holding First Trust S Network or generate 8.6% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Strong |
| Accuracy | 100.0% |
| Values | Daily Returns |
PGIM Ultra Short vs. First Trust S Network
Performance |
| Timeline |
| PGIM Ultra Short |
| First Trust S |
PGIM Ultra and First Trust Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with PGIM Ultra and First Trust
The main advantage of trading using opposite PGIM Ultra and First Trust positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if PGIM Ultra position performs unexpectedly, First Trust 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 First Trust will offset losses from the drop in First Trust's long position.| PGIM Ultra vs. Janus Henderson Short | PGIM Ultra vs. iShares Ultra Short Term | PGIM Ultra vs. SPDR Bloomberg Investment | PGIM Ultra vs. Invesco Ultra Short |
| First Trust vs. First Trust Exchange Traded | First Trust vs. First Trust S Network | First Trust vs. First Trust Expanded | First Trust vs. First Trust Indxx |
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 Positions Ratings module to determine portfolio positions ratings based on digital equity recommendations. Macroaxis instant position ratings are based on combination of fundamental analysis and risk-adjusted market performance.
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