Correlation Between SPDR Bloomberg and PGIM Short

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

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

Diversification Opportunities for SPDR Bloomberg and PGIM Short

0.89

Correlation Coefficient

SPDR Bloomberg  PGIM Short

Very poor diversification

The 3 months correlation between SPDR and PGIM is 0.89. Overlapping area represents the amount of risk that can be diversified away by holding SPDR Bloomberg Short and PGIM Short Duration in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on PGIM Short Duration and SPDR Bloomberg 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 SPDR Bloomberg Short are associated (or correlated) with PGIM Short. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of PGIM Short Duration has no effect on the direction of SPDR Bloomberg i.e., SPDR Bloomberg and PGIM Short go up and down completely randomly.

Pair Corralation between SPDR Bloomberg and PGIM Short

Given the investment horizon of 90 days SPDR Bloomberg is expected to generate 1.45 times less return on investment than PGIM Short. In addition to that, SPDR Bloomberg is 1.43 times more volatile than PGIM Short Duration. It trades about 0.09 of its total potential returns per unit of risk. PGIM Short Duration is currently generating about 0.19 per unit of volatility. If you would invest  4,949  in PGIM Short Duration on December 27, 2024 and sell it today you would earn a total of  96.00  from holding PGIM Short Duration or generate 1.94% return on investment over 90 days.

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

SPDR Bloomberg Short  vs.  PGIM Short Duration

SPDR Bloomberg Short

Risk-Adjusted Performance

Modest

Compared to the overall equity markets, risk-adjusted returns on investments in SPDR Bloomberg Short are ranked lower than 7 (%) of all global equities and portfolios over the last 90 days. Despite quite persistent basic indicators, SPDR Bloomberg is not utilizing all of its potentials. The newest stock price mess, may contribute to short-term losses for the institutional investors.

PGIM Short Duration

Risk-Adjusted Performance

Good

Compared to the overall equity markets, risk-adjusted returns on investments in PGIM Short Duration are ranked lower than 15 (%) of all global equities and portfolios over the last 90 days. Despite fairly strong basic indicators, PGIM Short is not utilizing all of its potentials. The current stock price confusion, may contribute to short-horizon losses for the traders.

Pair Trading with SPDR Bloomberg and PGIM Short

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

The idea behind SPDR Bloomberg Short and PGIM Short Duration 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 Bonds Directory module to find actively traded corporate debentures issued by US companies.