Prudential Global Correlations

GTRAX Fund

USD 5.18 0.03 0.58%

The current 90-days correlation between Prudential Global Total and Prudential Jennison International is 0.1 (i.e., Average diversification). The correlation of Prudential Global is a statistical measure of how it moves in relation to other instruments. This measure is expressed in what is known as the correlation coefficient, which ranges between -1 and +1. A correlation greater than 0.8 is generally described as strong, whereas a correlation less than 0.5 is generally considered weak. If the correlation is 0, the equities are not correlated; they are entirely random.

Prudential Global Correlation With Market

Good diversification

The correlation between Prudential Global Total and DJI is -0.19 (i.e., Good diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Prudential Global Total and DJI in the same portfolio, assuming nothing else is changed.

Check out Risk vs Return Analysis to better understand how to build diversified portfolios, which includes a position in Prudential Global Total. Also, note that the market value of any mutual fund could be closely tied with the direction of predictive economic indicators such as signals in nation.

Moving together with Prudential Mutual Fund

0.62	PWJCX	Prudential Jennison	Pair Corr
0.95	EMDAX	Prudential Emerging	Pair Corr
0.96	PGVZX	Prudential Government	Pair Corr
0.96	PGVAX	Prudential Government	Pair Corr
0.9	PHECX	Prudential Global Total	Pair Corr
0.94	TGMBX	Prudential Porate Bond	Pair Corr
0.73	PHLAX	Prudential Health	Pair Corr
0.73	PHSZX	Prudential Health	Pair Corr
1.0	PZTRX	Prudential Global Total	Pair Corr
0.8	PIFZX	Prudential Short Term	Pair Corr
0.64	PJRCX	Prudential Qma Inter	Pair Corr

Moving against Prudential Mutual Fund

0.86	FRFZX	Prudential Floating Rate	Pair Corr
0.86	FRFAX	Prudential Floating Rate	Pair Corr
0.74	PGOAX	Prudential Jennison Small	Pair Corr
0.72	SUVCX	Prudential Qma Strategic	Pair Corr
0.35	PIBAX	Prudential Balanced	Pair Corr
0.33	PGJZX	Prudential Jennison	Pair Corr
0.86	PADZX	Prudential Absolute	Pair Corr
0.83	PRPZX	Prudential Jennison Mlp	Pair Corr
0.83	PRPAX	Prudential Jennison Mlp	Pair Corr
0.79	PJGZX	Prudential Jennison	Pair Corr
0.78	PJIAX	Prudential Jennison	Pair Corr
0.77	PJFZX	Prudential Jennison	Pair Corr
0.76	PJFAX	Prudential Jennison	Pair Corr
0.76	PSIFX	Prudential Qma Stock	Pair Corr
0.75	PSIAX	Prudential Qma Stock	Pair Corr
0.74	PTEZX	Prudential Qma Large	Pair Corr

Related Correlations Analysis

	PWJRX	PWJZX	PWJAX	JGARX	HYSZX	HYSAX	HYSCX	HYSQX	EMDQX
PWJRX		1.0	1.0	0.0	-0.13	-0.04	-0.01	-0.16	0.68	PWJRX
PWJZX	1.0		1.0	0.0	-0.12	-0.04	0.0	-0.15	0.67	PWJZX
PWJAX	1.0	1.0		0.0	-0.12	-0.04	0.0	-0.15	0.68	PWJAX
JGARX	0.0	0.0	0.0		0.0	0.0	0.0	0.0	0.0	JGARX
HYSZX	-0.13	-0.12	-0.12	0.0		0.98	0.96	0.99	0.02	HYSZX
HYSAX	-0.04	-0.04	-0.04	0.0	0.98		0.99	0.97	0.14	HYSAX
HYSCX	-0.01	0.0	0.0	0.0	0.96	0.99		0.96	0.23	HYSCX
HYSQX	-0.16	-0.15	-0.15	0.0	0.99	0.97	0.96		0.01	HYSQX
EMDQX	0.68	0.67	0.68	0.0	0.02	0.14	0.23	0.01		EMDQX
	PWJRX	PWJZX	PWJAX	JGARX	HYSZX	HYSAX	HYSCX	HYSQX	EMDQX

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Correlation Matchups

Over a given time period, the two securities move together when the Correlation Coefficient is positive. Conversely, the two assets move in opposite directions when the Correlation Coefficient is negative. Determining your positions' relationship to each other is valuable for analyzing and projecting your portfolio's future expected return and risk.

High positive correlations

PWJZX	+ 1.0	PWJRX
PWJAX	+ 1.0	PWJRX
PWJAX	+ 1.0	PWJZX
HYSQX	+ 0.99	HYSZX
HYSCX	+ 0.99	HYSAX
HYSAX	+ 0.98	HYSZX

High negative correlations

HYSQX	- 0.16	PWJRX
HYSQX	- 0.15	PWJAX
HYSQX	- 0.15	PWJZX
HYSZX	- 0.13	PWJRX
HYSZX	- 0.12	PWJAX
HYSZX	- 0.12	PWJZX

Risk-Adjusted Indicators

There is a big difference between Prudential Mutual Fund performing well and Prudential Global Mutual Fund doing well as a business compared to the competition. There are so many exceptions to the norm that investors cannot definitively determine what's good or bad unless they analyze Prudential Global's multiple risk-adjusted performance indicators across the competitive landscape. These indicators are quantitative in nature and help investors forecast volatility and risk-adjusted expected returns across various positions.

	Mean Deviation	Jensen Alpha	Sortino Ratio	Treynor Ratio	Expected Shortfall	Potential Upside	Value @Risk	Maximum Drawdown
PWJRX	0.76	(0.16)	0.00	(0.09)	0.00	1.59	(1.69)	5.51
PWJZX	0.76	(0.16)	0.00	(0.08)	0.00	1.59	(1.71)	5.53
PWJAX	0.76	(0.16)	0.00	(0.08)	0.00	1.59	(1.72)	5.53
JGARX	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00
HYSZX	0.10	0.01	(0.70)	0.40	(0.19)	0.24	(0.24)	0.72
HYSAX	0.10	0.01	(0.73)	0.26	(0.19)	0.24	(0.24)	0.84
HYSCX	0.10	0.00	(0.79)	0.18	(0.17)	0.24	(0.12)	0.72
HYSQX	0.11	0.01	(0.70)	0.25	(0.17)	0.24	(0.24)	0.60
EMDQX	0.35	(0.05)	0.00	(1.63)	0.00	0.66	(0.65)	1.75

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