Correlation Between Pax Msci and Pgim Jennison

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

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

Diversification Opportunities for Pax Msci and Pgim Jennison

-0.37

Correlation Coefficient

Pax Msci  Pgim Jennison

Very good diversification

The 3 months correlation between Pax and Pgim is -0.37. Overlapping area represents the amount of risk that can be diversified away by holding Pax Msci Eafe 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 Pax Msci 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 Pax Msci Eafe 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 Pax Msci i.e., Pax Msci and Pgim Jennison go up and down completely randomly.

Pair Corralation between Pax Msci and Pgim Jennison

Assuming the 90 days horizon Pax Msci Eafe is expected to generate 0.6 times more return on investment than Pgim Jennison. However, Pax Msci Eafe is 1.68 times less risky than Pgim Jennison. It trades about 0.15 of its potential returns per unit of risk. Pgim Jennison Diversified is currently generating about -0.09 per unit of risk. If you would invest  1,025  in Pax Msci Eafe on December 27, 2024 and sell it today you would earn a total of  84.00  from holding Pax Msci Eafe or generate 8.2% return on investment over 90 days.

Time Period	3 Months [change]
Direction	Moves Against
Strength	Insignificant
Accuracy	100.0%
Values	Daily Returns

Pax Msci Eafe  vs.  Pgim Jennison Diversified

Pax Msci Eafe

Risk-Adjusted Performance

Good

Compared to the overall equity markets, risk-adjusted returns on investments in Pax Msci Eafe are ranked lower than 12 (%) of all funds and portfolios of funds over the last 90 days. In spite of fairly weak forward indicators, Pax Msci may actually be approaching a critical reversion point that can send shares even higher in April 2025.

Pgim Jennison Diversified

Risk-Adjusted Performance

Very Weak

Over the last 90 days Pgim Jennison Diversified has generated negative risk-adjusted returns adding no value to fund investors. In spite of latest weak performance, the Fund's basic indicators remain strong and the current disturbance on Wall Street may also be a sign of long term gains for the fund investors.

Pair Trading with Pax Msci and Pgim Jennison

The main advantage of trading using opposite Pax Msci and Pgim Jennison positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Pax Msci 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 Pax Msci Eafe 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 Fundamentals Comparison module to compare fundamentals across multiple equities to find investing opportunities.