Correlation Between PGIM Active and Schwab Aggregate
Can any of the company-specific risk be diversified away by investing in both PGIM Active and Schwab Aggregate 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 Schwab Aggregate 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 Schwab Aggregate Bond, you can compare the effects of market volatilities on PGIM Active and Schwab Aggregate 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 Schwab Aggregate. Check out your portfolio center. Please also check ongoing floating volatility patterns of PGIM Active and Schwab Aggregate.
Diversification Opportunities for PGIM Active and Schwab Aggregate
0.73 | Correlation Coefficient |
Poor diversification
The 3 months correlation between PGIM and Schwab is 0.73. Overlapping area represents the amount of risk that can be diversified away by holding PGIM Active High and Schwab Aggregate Bond in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Schwab Aggregate Bond 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 Schwab Aggregate. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Schwab Aggregate Bond has no effect on the direction of PGIM Active i.e., PGIM Active and Schwab Aggregate go up and down completely randomly.
Pair Corralation between PGIM Active and Schwab Aggregate
Given the investment horizon of 90 days PGIM Active is expected to generate 1.68 times less return on investment than Schwab Aggregate. But when comparing it to its historical volatility, PGIM Active High is 1.81 times less risky than Schwab Aggregate. It trades about 0.28 of its potential returns per unit of risk. Schwab Aggregate Bond is currently generating about 0.26 of returns per unit of risk over similar time horizon. If you would invest 2,276 in Schwab Aggregate Bond on December 4, 2024 and sell it today you would earn a total of 39.50 from holding Schwab Aggregate Bond or generate 1.74% return on investment over 90 days.
Time Period | 3 Months [change] |
Direction | Moves Together |
Strength | Significant |
Accuracy | 100.0% |
Values | Daily Returns |
PGIM Active High vs. Schwab Aggregate Bond
Performance |
Timeline |
PGIM Active High |
Schwab Aggregate Bond |
PGIM Active and Schwab Aggregate Volatility Contrast
Predicted Return Density |
Returns |
Pair Trading with PGIM Active and Schwab Aggregate
The main advantage of trading using opposite PGIM Active and Schwab Aggregate positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if PGIM Active position performs unexpectedly, Schwab Aggregate 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 Schwab Aggregate will offset losses from the drop in Schwab Aggregate's long position.PGIM Active vs. Xtrackers High Beta | PGIM Active vs. Xtrackers Short Duration | PGIM Active vs. FlexShares High Yield | PGIM Active vs. Franklin Liberty High |
Schwab Aggregate vs. Schwab International Equity | Schwab Aggregate vs. Schwab Emerging Markets | Schwab Aggregate vs. Schwab Short Term Treasury | Schwab Aggregate vs. Schwab TIPS ETF |
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 Economic Indicators module to top statistical indicators that provide insights into how an economy is performing.
Other Complementary Tools
Risk-Return Analysis View associations between returns expected from investment and the risk you assume | |
Portfolio Diagnostics Use generated alerts and portfolio events aggregator to diagnose current holdings | |
Price Transformation Use Price Transformation models to analyze the depth of different equity instruments across global markets | |
Cryptocurrency Center Build and monitor diversified portfolio of extremely risky digital assets and cryptocurrency | |
Equity Forecasting Use basic forecasting models to generate price predictions and determine price momentum |