Correlation Between PGIM Ultra and JPMorgan Value

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

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

Diversification Opportunities for PGIM Ultra and JPMorgan Value

0.64

Correlation Coefficient

PGIM Ultra  JPMorgan Value

Poor diversification

The 3 months correlation between PGIM and JPMorgan is 0.64. Overlapping area represents the amount of risk that can be diversified away by holding PGIM Ultra Short and JPMorgan Value Factor in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on JPMorgan Value Factor and PGIM Ultra 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 PGIM Ultra Short are associated (or correlated) with JPMorgan Value. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of JPMorgan Value Factor has no effect on the direction of PGIM Ultra i.e., PGIM Ultra and JPMorgan Value go up and down completely randomly.

Pair Corralation between PGIM Ultra and JPMorgan Value

Given the investment horizon of 90 days PGIM Ultra Short is expected to generate 0.03 times more return on investment than JPMorgan Value. However, PGIM Ultra Short is 33.49 times less risky than JPMorgan Value. It trades about 0.82 of its potential returns per unit of risk. JPMorgan Value Factor is currently generating about -0.23 per unit of risk. If you would invest  4,954  in PGIM Ultra Short on September 27, 2024 and sell it today you would earn a total of  21.00  from holding PGIM Ultra Short or generate 0.42% return on investment over 90 days.

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

PGIM Ultra Short  vs.  JPMorgan Value Factor

PGIM Ultra Short

Risk-Adjusted Performance

51 of 100

Excellent

Compared to the overall equity markets, risk-adjusted returns on investments in PGIM Ultra Short are ranked lower than 51 (%) of all global equities and portfolios over the last 90 days. In spite of comparatively stable essential indicators, PGIM Ultra is not utilizing all of its potentials. The newest stock price uproar, may contribute to short-horizon losses for the private investors.

JPMorgan Value Factor

Risk-Adjusted Performance

1 of 100

Weak

Compared to the overall equity markets, risk-adjusted returns on investments in JPMorgan Value Factor are ranked lower than 1 (%) of all global equities and portfolios over the last 90 days. Despite quite persistent basic indicators, JPMorgan Value is not utilizing all of its potentials. The current stock price mess, may contribute to short-term losses for the institutional investors.

Pair Trading with PGIM Ultra and JPMorgan Value

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

The idea behind PGIM Ultra Short and JPMorgan Value Factor 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.

Check out your portfolio center.

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 FinTech Suite module to use AI to screen and filter profitable investment opportunities.