Correlation Between PGIM Short and Western Asset

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

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

Diversification Opportunities for PGIM Short and Western Asset

-0.64

Correlation Coefficient

PGIM Short  Western Asset

Excellent diversification

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

Pair Corralation between PGIM Short and Western Asset

Given the investment horizon of 90 days PGIM Short Duration is expected to generate 0.94 times more return on investment than Western Asset. However, PGIM Short Duration is 1.07 times less risky than Western Asset. It trades about 0.16 of its potential returns per unit of risk. Western Asset Global is currently generating about -0.16 per unit of risk. If you would invest  1,586  in PGIM Short Duration on September 4, 2024 and sell it today you would earn a total of  76.00  from holding PGIM Short Duration or generate 4.79% return on investment over 90 days.

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

PGIM Short Duration  vs.  Western Asset Global

PGIM Short Duration

Risk-Adjusted Performance

12 of 100

Good

Compared to the overall equity markets, risk-adjusted returns on investments in PGIM Short Duration are ranked lower than 12 (%) of all global equities and portfolios over the last 90 days. In spite of fairly strong technical indicators, PGIM Short is not utilizing all of its potentials. The newest stock price disturbance, may contribute to short-term losses for the investors.

Western Asset Global

Risk-Adjusted Performance

0 of 100

Very Weak

Over the last 90 days Western Asset Global has generated negative risk-adjusted returns adding no value to investors with long positions. In spite of very healthy fundamental indicators, Western Asset is not utilizing all of its potentials. The recent stock price disarray, may contribute to short-term losses for the investors.

Pair Trading with PGIM Short and Western Asset

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

The idea behind PGIM Short Duration and Western Asset Global 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 Funds Screener module to find actively-traded funds from around the world traded on over 30 global exchanges.