Correlation Between Vanguard Intermediate and PGIM Short
Can any of the company-specific risk be diversified away by investing in both Vanguard Intermediate and PGIM Short 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 Vanguard Intermediate and PGIM Short into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Vanguard Intermediate Term Corporate and PGIM Short Duration, you can compare the effects of market volatilities on Vanguard Intermediate and PGIM Short 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 Vanguard Intermediate with a short position of PGIM Short. Check out your portfolio center. Please also check ongoing floating volatility patterns of Vanguard Intermediate and PGIM Short.
Diversification Opportunities for Vanguard Intermediate and PGIM Short
0.62 | Correlation Coefficient |
Poor diversification
The 3 months correlation between Vanguard and PGIM is 0.62. Overlapping area represents the amount of risk that can be diversified away by holding Vanguard Intermediate Term Cor and PGIM Short Duration in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on PGIM Short Duration and Vanguard Intermediate 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 Vanguard Intermediate Term Corporate are associated (or correlated) with PGIM Short. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of PGIM Short Duration has no effect on the direction of Vanguard Intermediate i.e., Vanguard Intermediate and PGIM Short go up and down completely randomly.
Pair Corralation between Vanguard Intermediate and PGIM Short
Given the investment horizon of 90 days Vanguard Intermediate Term Corporate is expected to generate 2.4 times more return on investment than PGIM Short. However, Vanguard Intermediate is 2.4 times more volatile than PGIM Short Duration. It trades about 0.16 of its potential returns per unit of risk. PGIM Short Duration is currently generating about 0.13 per unit of risk. If you would invest 8,114 in Vanguard Intermediate Term Corporate on September 3, 2024 and sell it today you would earn a total of 103.00 from holding Vanguard Intermediate Term Corporate or generate 1.27% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Significant |
| Accuracy | 100.0% |
| Values | Daily Returns |
Vanguard Intermediate Term Cor vs. PGIM Short Duration
Performance |
| Timeline |
| Vanguard Intermediate |
| PGIM Short Duration |
Vanguard Intermediate and PGIM Short Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Vanguard Intermediate and PGIM Short
The main advantage of trading using opposite Vanguard Intermediate and PGIM Short positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Vanguard Intermediate position performs unexpectedly, PGIM Short 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 PGIM Short will offset losses from the drop in PGIM Short's long position.The idea behind Vanguard Intermediate Term Corporate and PGIM Short Duration pairs trading is to make the combined position market-neutral, meaning the overall market's direction will not affect its win or loss (or potential downside or upside). This can be achieved by designing a pairs trade with two highly correlated stocks or equities that operate in a similar space or sector, making it possible to obtain profits through simple and relatively low-risk investment.
| PGIM Short vs. iShares 1 5 Year | PGIM Short vs. SPDR Barclays Short | PGIM Short vs. iShares Core 1 5 | PGIM Short vs. iShares 0 5 Year |
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 Headlines Timeline module to stay connected to all market stories and filter out noise. Drill down to analyze hype elasticity.
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