Correlation Between Hennessy Nerstone and Pgim Jennison

Can any of the company-specific risk be diversified away by investing in both Hennessy Nerstone 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 Hennessy Nerstone and Pgim Jennison into the same portfolio, which is an essential part of the fundamental portfolio management process.

By analyzing existing cross correlation between Hennessy Nerstone Value and Pgim Jennison Diversified, you can compare the effects of market volatilities on Hennessy Nerstone 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 Hennessy Nerstone with a short position of Pgim Jennison. Check out your portfolio center. Please also check ongoing floating volatility patterns of Hennessy Nerstone and Pgim Jennison.

Diversification Opportunities for Hennessy Nerstone and Pgim Jennison

0.3

Correlation Coefficient

Hennessy Nerstone  Pgim Jennison

Weak diversification

The 3 months correlation between Hennessy and Pgim is 0.3. Overlapping area represents the amount of risk that can be diversified away by holding Hennessy Nerstone Value 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 Hennessy Nerstone 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 Hennessy Nerstone Value 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 Hennessy Nerstone i.e., Hennessy Nerstone and Pgim Jennison go up and down completely randomly.

Pair Corralation between Hennessy Nerstone and Pgim Jennison

Assuming the 90 days horizon Hennessy Nerstone Value is expected to under-perform the Pgim Jennison. But the mutual fund apears to be less risky and, when comparing its historical volatility, Hennessy Nerstone Value is 1.87 times less risky than Pgim Jennison. The mutual fund trades about -0.02 of its potential returns per unit of risk. The Pgim Jennison Diversified is currently generating about 0.17 of returns per unit of risk over similar time horizon. If you would invest  2,008  in Pgim Jennison Diversified on September 17, 2024 and sell it today you would earn a total of  215.00  from holding Pgim Jennison Diversified or generate 10.71% return on investment over 90 days.

Time Period	3 Months [change]
Direction	Moves Together
Strength	Very Weak
Accuracy	100.0%
Values	Daily Returns

Hennessy Nerstone Value  vs.  Pgim Jennison Diversified

Hennessy Nerstone Value

Risk-Adjusted Performance

0 of 100

Very Weak

Over the last 90 days Hennessy Nerstone Value has generated negative risk-adjusted returns adding no value to fund investors. In spite of fairly strong basic indicators, Hennessy Nerstone is not utilizing all of its potentials. The current stock price disturbance, may contribute to short-term losses for the investors.

Pgim Jennison Diversified

Risk-Adjusted Performance

13 of 100

Good

Compared to the overall equity markets, risk-adjusted returns on investments in Pgim Jennison Diversified are ranked lower than 13 (%) of all funds and portfolios of funds over the last 90 days. In spite of fairly weak basic indicators, Pgim Jennison may actually be approaching a critical reversion point that can send shares even higher in January 2025.

Pair Trading with Hennessy Nerstone and Pgim Jennison

The main advantage of trading using opposite Hennessy Nerstone and Pgim Jennison positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Hennessy Nerstone 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.

The idea behind Hennessy Nerstone Value and Pgim Jennison Diversified 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.

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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 Idea Optimizer module to use advanced portfolio builder with pre-computed micro ideas to build optimal portfolio .