Correlation Between Davenport Small and Pgim Jennison
Can any of the company-specific risk be diversified away by investing in both Davenport Small and Pgim Jennison 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 Davenport Small and Pgim Jennison into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Davenport Small Cap and Pgim Jennison Diversified, you can compare the effects of market volatilities on Davenport Small and Pgim Jennison 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 Davenport Small with a short position of Pgim Jennison. Check out your portfolio center. Please also check ongoing floating volatility patterns of Davenport Small and Pgim Jennison.
Diversification Opportunities for Davenport Small and Pgim Jennison
0.66 | Correlation Coefficient |
Poor diversification
The 3 months correlation between Davenport and PGIM is 0.66. Overlapping area represents the amount of risk that can be diversified away by holding Davenport Small Cap and Pgim Jennison Diversified in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Pgim Jennison Diversified and Davenport Small 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 Davenport Small Cap are associated (or correlated) with Pgim Jennison. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Pgim Jennison Diversified has no effect on the direction of Davenport Small i.e., Davenport Small and Pgim Jennison go up and down completely randomly.
Pair Corralation between Davenport Small and Pgim Jennison
Assuming the 90 days horizon Davenport Small Cap is expected to generate 0.5 times more return on investment than Pgim Jennison. However, Davenport Small Cap is 2.0 times less risky than Pgim Jennison. It trades about -0.17 of its potential returns per unit of risk. Pgim Jennison Diversified is currently generating about -0.1 per unit of risk. If you would invest 1,899 in Davenport Small Cap on December 1, 2024 and sell it today you would lose (176.00) from holding Davenport Small Cap or give up 9.27% of portfolio value over 90 days.
Time Period | 3 Months [change] |
Direction | Moves Together |
Strength | Significant |
Accuracy | 98.36% |
Values | Daily Returns |
Davenport Small Cap vs. Pgim Jennison Diversified
Performance |
Timeline |
Davenport Small Cap |
Pgim Jennison Diversified |
Davenport Small and Pgim Jennison Volatility Contrast
Predicted Return Density |
Returns |
Pair Trading with Davenport Small and Pgim Jennison
The main advantage of trading using opposite Davenport Small and Pgim Jennison positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Davenport Small position performs unexpectedly, Pgim Jennison 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 Jennison will offset losses from the drop in Pgim Jennison's long position.Davenport Small vs. Metropolitan West High | Davenport Small vs. Intal High Relative | Davenport Small vs. Transamerica High Yield | Davenport Small vs. Siit High Yield |
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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 Earnings Calls module to check upcoming earnings announcements updated hourly across public exchanges.
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