Prudential Qma Correlations
| PTMQX Fund | USD 22.61 0.25 1.12% |
The current 90-days correlation between Prudential Qma Large and Gabelli Global Financial is 0.04 (i.e., Significant diversification). The correlation of Prudential Qma 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 Qma Correlation With Market
Average diversification
The correlation between Prudential Qma Large Cap and DJI is 0.12 (i.e., Average diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Prudential Qma Large Cap and DJI in the same portfolio, assuming nothing else is changed.
Prudential |
Moving together with Prudential Mutual Fund
| 0.64 | PFSQX | Prudential Jennison | PairCorr |
| 0.73 | PGJQX | Prudential Jennison | PairCorr |
| 0.62 | PHYGX | Pgim High Yield | PairCorr |
| 0.74 | PIBQX | Prudential Balanced | PairCorr |
| 0.71 | JSCRX | Prudential Jennison Small | PairCorr |
| 0.79 | SDVRX | Prudential Qma Mid | PairCorr |
| 0.79 | PJDQX | Pgim Jennison Rising | PairCorr |
| 0.67 | PJFPX | Prudential Jennison | PairCorr |
| 0.7 | PJEQX | Prudential Real Estate | PairCorr |
| 0.7 | PJGQX | Prudential Jennison Mid | PairCorr |
| 0.91 | PJOQX | Prudential Jennison | PairCorr |
Related Correlations Analysis
| 0.96 | 0.79 | 0.0 | 0.0 | 0.88 | GCFSX | ||
| 0.96 | 0.87 | 0.0 | 0.0 | 0.9 | RPFGX | ||
| 0.79 | 0.87 | 0.0 | 0.0 | 0.75 | SBFAX | ||
| 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | FTIXX | ||
| 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | MCBXX | ||
| 0.88 | 0.9 | 0.75 | 0.0 | 0.0 | FNPIX | ||
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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
| High negative correlations
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Risk-Adjusted Indicators
There is a big difference between Prudential Mutual Fund performing well and Prudential Qma 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 Qma'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 | Semi Deviation | Expected Shortfall | Potential Upside | Value @Risk | Maximum Drawdown | ||
|---|---|---|---|---|---|---|---|---|---|---|
| GCFSX | 0.59 | 0.03 | 0.00 | 0.26 | 0.73 | 1.47 | 6.18 | |||
| RPFGX | 0.81 | 0.05 | 0.01 | 0.50 | 1.11 | 1.33 | 10.37 | |||
| SBFAX | 0.93 | (0.04) | 0.00 | (0.28) | 0.00 | 1.72 | 16.49 | |||
| FTIXX | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | |||
| MCBXX | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | |||
| FNPIX | 1.09 | 0.17 | 0.08 | (2.31) | 1.19 | 2.48 | 13.80 |