Correlation Between Fuller Thaler and Pgim Jennison

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

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

Diversification Opportunities for Fuller Thaler and Pgim Jennison

0.93

Correlation Coefficient

Fuller Thaler  Pgim Jennison

Almost no diversification

The 3 months correlation between FULLER and Pgim is 0.93. Overlapping area represents the amount of risk that can be diversified away by holding Fuller Thaler Behavioral 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 Fuller Thaler 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 Fuller Thaler Behavioral 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 Fuller Thaler i.e., Fuller Thaler and Pgim Jennison go up and down completely randomly.

Pair Corralation between Fuller Thaler and Pgim Jennison

Assuming the 90 days horizon Fuller Thaler Behavioral is expected to generate 0.93 times more return on investment than Pgim Jennison. However, Fuller Thaler Behavioral is 1.08 times less risky than Pgim Jennison. It trades about 0.09 of its potential returns per unit of risk. Pgim Jennison Diversified is currently generating about 0.07 per unit of risk. If you would invest  4,505  in Fuller Thaler Behavioral on September 3, 2024 and sell it today you would earn a total of  730.00  from holding Fuller Thaler Behavioral or generate 16.2% return on investment over 90 days.

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

Fuller Thaler Behavioral  vs.  Pgim Jennison Diversified

Fuller Thaler Behavioral

Risk-Adjusted Performance

15 of 100

Good

Compared to the overall equity markets, risk-adjusted returns on investments in Fuller Thaler Behavioral are ranked lower than 15 (%) of all funds and portfolios of funds over the last 90 days. In spite of fairly weak basic indicators, Fuller Thaler may actually be approaching a critical reversion point that can send shares even higher in January 2025.

Pgim Jennison Diversified

Risk-Adjusted Performance

12 of 100

Good

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

Pair Trading with Fuller Thaler and Pgim Jennison

The main advantage of trading using opposite Fuller Thaler and Pgim Jennison positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Fuller Thaler 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 Fuller Thaler Behavioral 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 Earnings Calls module to check upcoming earnings announcements updated hourly across public exchanges.