Correlation Between Pgim Jennison and State Street
Can any of the company-specific risk be diversified away by investing in both Pgim Jennison and State Street 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 State Street into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Pgim Jennison Diversified and State Street Target, you can compare the effects of market volatilities on Pgim Jennison and State Street 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 State Street. Check out your portfolio center. Please also check ongoing floating volatility patterns of Pgim Jennison and State Street.
Diversification Opportunities for Pgim Jennison and State Street
0.89 | Correlation Coefficient |
Very poor diversification
The 3 months correlation between Pgim and State is 0.89. Overlapping area represents the amount of risk that can be diversified away by holding Pgim Jennison Diversified and State Street Target in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on State Street Target 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 Diversified are associated (or correlated) with State Street. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of State Street Target has no effect on the direction of Pgim Jennison i.e., Pgim Jennison and State Street go up and down completely randomly.
Pair Corralation between Pgim Jennison and State Street
Assuming the 90 days horizon Pgim Jennison Diversified is expected to generate 2.16 times more return on investment than State Street. However, Pgim Jennison is 2.16 times more volatile than State Street Target. It trades about 0.18 of its potential returns per unit of risk. State Street Target is currently generating about 0.17 per unit of risk. If you would invest 2,154 in Pgim Jennison Diversified on September 13, 2024 and sell it today you would earn a total of 78.00 from holding Pgim Jennison Diversified or generate 3.62% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Strong |
| Accuracy | 95.45% |
| Values | Daily Returns |
Pgim Jennison Diversified vs. State Street Target
Performance |
| Timeline |
| Pgim Jennison Diversified |
| State Street Target |
Pgim Jennison and State Street Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Pgim Jennison and State Street
The main advantage of trading using opposite Pgim Jennison and State Street positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Pgim Jennison position performs unexpectedly, State Street 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 State Street will offset losses from the drop in State Street's long position.| Pgim Jennison vs. Prudential Jennison International | Pgim Jennison vs. Prudential Jennison International | Pgim Jennison vs. Pgim Jennison International | Pgim Jennison vs. Pgim Jennison International |
| State Street vs. State Street Target | State Street vs. State Street Target | State Street vs. Ssga International Stock | State Street vs. State Street Target |
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 Portfolio Backtesting module to avoid under-diversification and over-optimization by backtesting your portfolios.
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