Correlation Between SPDR Portfolio and PGIM ETF

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

By analyzing existing cross correlation between SPDR Portfolio Aggregate and PGIM ETF Trust, you can compare the effects of market volatilities on SPDR Portfolio and PGIM ETF 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 SPDR Portfolio with a short position of PGIM ETF. Check out your portfolio center. Please also check ongoing floating volatility patterns of SPDR Portfolio and PGIM ETF.

Diversification Opportunities for SPDR Portfolio and PGIM ETF

1.0

Correlation Coefficient

SPDR Portfolio  PGIM ETF

No risk reduction

The 3 months correlation between SPDR and PGIM is 1.0. Overlapping area represents the amount of risk that can be diversified away by holding SPDR Portfolio Aggregate and PGIM ETF Trust in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on PGIM ETF Trust and SPDR Portfolio 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 SPDR Portfolio Aggregate are associated (or correlated) with PGIM ETF. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of PGIM ETF Trust has no effect on the direction of SPDR Portfolio i.e., SPDR Portfolio and PGIM ETF go up and down completely randomly.

Pair Corralation between SPDR Portfolio and PGIM ETF

Given the investment horizon of 90 days SPDR Portfolio Aggregate is expected to under-perform the PGIM ETF. In addition to that, SPDR Portfolio is 1.04 times more volatile than PGIM ETF Trust. It trades about -0.02 of its total potential returns per unit of risk. PGIM ETF Trust is currently generating about -0.02 per unit of volatility. If you would invest  4,251  in PGIM ETF Trust on August 30, 2024 and sell it today you would lose (17.00) from holding PGIM ETF Trust or give up 0.4% of portfolio value over 90 days.

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

SPDR Portfolio Aggregate  vs.  PGIM ETF Trust

SPDR Portfolio Aggregate

Risk-Adjusted Performance

0 of 100

Very Weak

Over the last 90 days SPDR Portfolio Aggregate has generated negative risk-adjusted returns adding no value to investors with long positions. Despite somewhat strong basic indicators, SPDR Portfolio is not utilizing all of its potentials. The current stock price disturbance, may contribute to short-term losses for the investors.

PGIM ETF Trust

Risk-Adjusted Performance

0 of 100

Very Weak

Over the last 90 days PGIM ETF Trust has generated negative risk-adjusted returns adding no value to investors with long positions. Despite somewhat strong basic indicators, PGIM ETF is not utilizing all of its potentials. The current stock price disturbance, may contribute to short-term losses for the investors.

Pair Trading with SPDR Portfolio and PGIM ETF

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

The idea behind SPDR Portfolio Aggregate and PGIM ETF Trust 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 Commodity Directory module to find actively traded commodities issued by global exchanges.