Correlation Between PGIM Active and Xtrackers High

Can any of the company-specific risk be diversified away by investing in both PGIM Active and Xtrackers High 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 Active and Xtrackers High into the same portfolio, which is an essential part of the fundamental portfolio management process.

By analyzing existing cross correlation between PGIM Active High and Xtrackers High Beta, you can compare the effects of market volatilities on PGIM Active and Xtrackers High 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 Active with a short position of Xtrackers High. Check out your portfolio center. Please also check ongoing floating volatility patterns of PGIM Active and Xtrackers High.

Diversification Opportunities for PGIM Active and Xtrackers High

0.99

Correlation Coefficient

PGIM Active  Xtrackers High

No risk reduction

The 3 months correlation between PGIM and Xtrackers is 0.99. Overlapping area represents the amount of risk that can be diversified away by holding PGIM Active High and Xtrackers High Beta in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Xtrackers High Beta and PGIM Active 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 Active High are associated (or correlated) with Xtrackers High. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Xtrackers High Beta has no effect on the direction of PGIM Active i.e., PGIM Active and Xtrackers High go up and down completely randomly.

Pair Corralation between PGIM Active and Xtrackers High

Given the investment horizon of 90 days PGIM Active High is expected to generate about the same return on investment as Xtrackers High Beta. But, PGIM Active High is 1.21 times less risky than Xtrackers High. It trades about 0.12 of its potential returns per unit of risk. Xtrackers High Beta is currently generating about 0.1 per unit of risk. If you would invest  4,185  in Xtrackers High Beta on December 4, 2024 and sell it today you would earn a total of  68.00  from holding Xtrackers High Beta or generate 1.62% return on investment over 90 days.

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

PGIM Active High  vs.  Xtrackers High Beta

PGIM Active High

Risk-Adjusted Performance

OK

Compared to the overall equity markets, risk-adjusted returns on investments in PGIM Active High are ranked lower than 9 (%) of all global equities and portfolios over the last 90 days. Despite quite persistent basic indicators, PGIM Active is not utilizing all of its potentials. The latest stock price mess, may contribute to short-term losses for the institutional investors.

Xtrackers High Beta

Risk-Adjusted Performance

OK

Compared to the overall equity markets, risk-adjusted returns on investments in Xtrackers High Beta are ranked lower than 7 (%) of all global equities and portfolios over the last 90 days. Even with relatively invariable basic indicators, Xtrackers High is not utilizing all of its potentials. The latest stock price agitation, may contribute to short-term losses for the retail investors.

Pair Trading with PGIM Active and Xtrackers High

The main advantage of trading using opposite PGIM Active and Xtrackers High positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if PGIM Active position performs unexpectedly, Xtrackers High 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 Xtrackers High will offset losses from the drop in Xtrackers High's long position.

The idea behind PGIM Active High and Xtrackers High Beta 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 Piotroski F Score module to get Piotroski F Score based on the binary analysis strategy of nine different fundamentals.