PGIM Short Correlations

SDHY Stock

USD 16.64 0.04 0.24%

The current 90-days correlation between PGIM Short Duration and First Trust High is 0.06 (i.e., Significant diversification). The correlation of PGIM Short 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.

PGIM Short Correlation With Market

Good diversification

The correlation between PGIM Short Duration and DJI is -0.02 (i.e., Good diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding PGIM Short Duration and DJI in the same portfolio, assuming nothing else is changed.

Build AI portfolio with PGIM Stock

Check out World Market Map to better understand how to build diversified portfolios, which includes a position in PGIM Short Duration. Also, note that the market value of any company could be closely tied with the direction of predictive economic indicators such as signals in rate.

Moving together with PGIM Stock

0.98	GS	Goldman Sachs Group	Pair Corr
0.95	AXP	American Express	Pair Corr
0.96	COF	Capital One Financial Earnings Call This Week	Pair Corr
0.89	SCM	Stellus Capital Inve	Pair Corr
0.76	GAIN	Gladstone Investment	Pair Corr
0.9	GLAD	Gladstone Capital	Pair Corr
0.87	HTGC	Hercules Capital	Pair Corr
0.89	MAIN	Main Street Capital	Pair Corr
0.79	OPFI	OppFi Inc	Pair Corr
0.9	PFLT	PennantPark Floating Rate	Pair Corr
0.88	PYPL	PayPal Holdings Aggressive Push	Pair Corr
0.96	ALLY	Ally Financial	Pair Corr
0.91	ARCC	Ares Capital	Pair Corr
0.9	TPVG	Triplepoint Venture	Pair Corr
0.94	TSLX	Sixth Street Specialty	Pair Corr
0.93	CSWC	Capital Southwest	Pair Corr
0.97	C	Citigroup Aggressive Push	Pair Corr
0.91	L	Loews Corp	Pair Corr
0.9	DHIL	Diamond Hill Investment	Pair Corr
0.78	AB	AllianceBernstein Earnings Call This Week	Pair Corr
0.76	AC	Associated Capital	Pair Corr
0.94	AX	Axos Financial	Pair Corr
0.91	BK	Bank of New York	Pair Corr
0.94	BN	Brookfield Corp	Pair Corr
0.84	BX	Blackstone Group Normal Trading	Pair Corr
0.75	BY	Byline Bancorp Earnings Call This Week	Pair Corr
0.94	CG	Carlyle Group Earnings Call This Week	Pair Corr
0.96	CM	Canadian Imperial Bank	Pair Corr
0.93	DB	Deutsche Bank AG Earnings Call This Week	Pair Corr
0.75	HG	Hamilton Insurance Group,	Pair Corr
0.94	IX	Orix Corp Ads	Pair Corr

Moving against PGIM Stock

0.47	PSEC	Prospect Capital	Pair Corr
0.67	EG	Everest Group	Pair Corr
0.61	FG	FG Annuities Life	Pair Corr
0.35	LX	Lexinfintech Holdings	Pair Corr

Related Correlations Analysis

	DTF	FTHY	MHD	KTF	RFMZ	BCAT	WDI	ISD	GHY
DTF		0.87	0.67	-0.03	0.65	0.89	0.81	0.92	0.86	DTF
FTHY	0.87		0.44	-0.3	0.52	0.95	0.92	0.94	0.93	FTHY
MHD	0.67	0.44		0.62	0.77	0.53	0.48	0.66	0.52	MHD
KTF	-0.03	-0.3	0.62		0.46	-0.18	-0.2	-0.05	-0.18	KTF
RFMZ	0.65	0.52	0.77	0.46		0.66	0.67	0.66	0.62	RFMZ
BCAT	0.89	0.95	0.53	-0.18	0.66		0.96	0.94	0.96	BCAT
WDI	0.81	0.92	0.48	-0.2	0.67	0.96		0.88	0.95	WDI
ISD	0.92	0.94	0.66	-0.05	0.66	0.94	0.88		0.92	ISD
GHY	0.86	0.93	0.52	-0.18	0.62	0.96	0.95	0.92		GHY
	DTF	FTHY	MHD	KTF	RFMZ	BCAT	WDI	ISD	GHY

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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

WDI	+ 0.96	BCAT
GHY	+ 0.96	BCAT
BCAT	+ 0.95	FTHY
GHY	+ 0.95	WDI
ISD	+ 0.94	FTHY
ISD	+ 0.94	BCAT

High negative correlations

KTF	- 0.3	FTHY
WDI	- 0.2	KTF
GHY	- 0.18	KTF
BCAT	- 0.18	KTF
ISD	- 0.05	KTF
KTF	- 0.03	DTF

Risk-Adjusted Indicators

There is a big difference between PGIM Stock performing well and PGIM Short Company 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 PGIM Short'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
DTF	0.20	0.01	(0.38)	0.24	0.19	(0.25)	0.36	(0.45)	1.36
FTHY	0.38	0.13	0.10	0.57	0.00	(0.49)	1.07	(0.43)	2.62
MHD	0.50	(0.04)	(0.15)	0.03	0.68	(0.52)	1.17	(1.17)	3.32
KTF	0.34	(0.05)	0.00	(0.25)	0.00	0.00	0.69	(0.91)	2.56
RFMZ	0.39	0.05	(0.13)	0.96	0.43	(0.44)	0.99	(0.82)	3.00
BCAT	0.55	0.13	0.10	0.40	0.28	(0.64)	1.48	(1.07)	3.62
WDI	0.38	0.12	0.05	0.65	0.00	(0.46)	0.88	(0.81)	2.36
ISD	0.58	0.10	0.04	0.36	0.37	(0.74)	1.43	(1.09)	3.67
GHY	0.61	0.12	0.03	0.51	0.62	(0.68)	1.62	(1.48)	4.18

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