Correlation Between Prudential Jennison and Ultimus Managers
Can any of the company-specific risk be diversified away by investing in both Prudential Jennison and Ultimus Managers 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 Prudential Jennison and Ultimus Managers into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Prudential Jennison International and Ultimus Managers Trust, you can compare the effects of market volatilities on Prudential Jennison and Ultimus Managers 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 Prudential Jennison with a short position of Ultimus Managers. Check out your portfolio center. Please also check ongoing floating volatility patterns of Prudential Jennison and Ultimus Managers.
Diversification Opportunities for Prudential Jennison and Ultimus Managers
-0.1 | Correlation Coefficient |
Good diversification
The 3 months correlation between Prudential and Ultimus is -0.1. Overlapping area represents the amount of risk that can be diversified away by holding Prudential Jennison Internatio and Ultimus Managers Trust in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Ultimus Managers Trust and Prudential 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 Prudential Jennison International are associated (or correlated) with Ultimus Managers. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Ultimus Managers Trust has no effect on the direction of Prudential Jennison i.e., Prudential Jennison and Ultimus Managers go up and down completely randomly.
Pair Corralation between Prudential Jennison and Ultimus Managers
Assuming the 90 days horizon Prudential Jennison International is expected to under-perform the Ultimus Managers. But the mutual fund apears to be less risky and, when comparing its historical volatility, Prudential Jennison International is 1.18 times less risky than Ultimus Managers. The mutual fund trades about -0.11 of its potential returns per unit of risk. The Ultimus Managers Trust is currently generating about 0.25 of returns per unit of risk over similar time horizon. If you would invest 1,212 in Ultimus Managers Trust on September 2, 2024 and sell it today you would earn a total of 52.00 from holding Ultimus Managers Trust or generate 4.29% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Against |
| Strength | Insignificant |
| Accuracy | 100.0% |
| Values | Daily Returns |
Prudential Jennison Internatio vs. Ultimus Managers Trust
Performance |
| Timeline |
| Prudential Jennison |
| Ultimus Managers Trust |
Prudential Jennison and Ultimus Managers Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Prudential Jennison and Ultimus Managers
The main advantage of trading using opposite Prudential Jennison and Ultimus Managers positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Prudential Jennison position performs unexpectedly, Ultimus Managers 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 Ultimus Managers will offset losses from the drop in Ultimus Managers' long position.| Prudential Jennison vs. Aam Select Income | Prudential Jennison vs. Qs Large Cap | Prudential Jennison vs. Western Asset Municipal | Prudential Jennison vs. Bbh Partner Fund |
| Ultimus Managers vs. Westwood Short Duration | Ultimus Managers vs. Westwood Alternative Income | Ultimus Managers vs. Westwood High Income | Ultimus Managers vs. Westwood Income Opportunity |
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 Performance Analysis module to check effects of mean-variance optimization against your current asset allocation.
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