PGIM Jennison Backtesting

PWJRX -- USA Fund  

USD 20.25  0.04  0.20%

With this equity back-testing module your can estimate the performance of a buy and hold strategy of PGIM Jennison International Opp and determine expected loss or profit from investing in PGIM Jennison over given investment horizon. Additionally take a look at PGIM Jennison Hype Analysis, PGIM Jennison Correlation, Portfolio Optimization, PGIM Jennison Volatility as well as analyze PGIM Jennison Alpha and Beta and PGIM Jennison Performance.
Horizon     30 Days    Login   to change
SymbolX
Backtest

PGIM Jennison 'What if' Analysis

September 11, 2019
0.00
No Change 0.00  0.0 
In 3 months and 1 day
December 10, 2019
0.00
If you would invest  0.00  in PGIM Jennison on September 11, 2019 and sell it all today you would earn a total of 0.00 from holding PGIM Jennison International Opp or generate 0.0% return on investment in PGIM Jennison over 90 days. PGIM Jennison is related to or competes with EuroPacific Growth, Europacific Growth, American Funds, EuroPacific Growth, Europacific Growth, American Funds, and American Funds. The fund will invest primarily in equity and equity-related securities of non-U.S

PGIM Jennison Upside/Downside Indicators

Downside Deviation1.16
Information Ratio0.0345
Maximum Drawdown4.86
Value At Risk(1.05)
Potential Upside1.38

PGIM Jennison Market Premium Indicators

Risk Adjusted Performance0.062
Jensen Alpha0.0404
Total Risk Alpha0.0036
Sortino Ratio0.0288
Treynor Ratio0.0968

PGIM Jennison Intern Backtested Returns

We consider PGIM Jennison not too volatile. PGIM Jennison Intern maintains Sharpe Ratio (i.e. Efficiency) of 0.138 which implies the entity had 0.138% of return per unit of volatility over the last 3 months. Our way of forecasting volatility of a fund is to use all available market data together with fund specific technical indicators that cannot be diversified away. We have found twenty-one technical indicators for PGIM Jennison Intern which you can use to evaluate future volatility of the fund. Please check PGIM Jennison Intern Semi Deviation of 0.9535 and Risk Adjusted Performance of 0.062 to confirm if risk estimate we provide are consistent with the epected return of 0.1128%. The fund holds Beta of 0.8606 which implies PGIM Jennison returns are very sensitive to returns on the market. as market goes up or down, PGIM Jennison is expected to follow. Although it is extremely important to respect PGIM Jennison Intern current trending patterns, it is better to be realistic regarding the information on equity existing price patterns. The way of forecasting future performance of any fund is to evaluate the business as a whole together with its past performance including all available fundamental and technical indicators. By evaluating PGIM Jennison Intern technical indicators you can today evaluate if the expected return of 0.1128% will be sustainable into the future.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation(0.06) 
correlation synergy

Very weak reverse predictability

PGIM Jennison International Opp has very weak reverse predictability. Overlapping area represents the amount of predictability between PGIM Jennison time series from September 11, 2019 to October 26, 2019 and October 26, 2019 to December 10, 2019. The more autocorrelation exist between current time interval and its lagged values, the more accurately you can make projection about the future pattern of PGIM Jennison Intern price movement. The serial correlation of -0.06 indicates that barely 6.0% of current PGIM Jennison price fluctuation can be explain by its past prices. Given that PGIM Jennison International Opp has negative autocorrelation for selected time horizon, investors may consider taking a contrarian position regarding future price movement of PGIM Jennison for similar time interval.
Correlation Coefficient-0.06
Spearman Rank Test0.16
Residual Average0.0
Price Variance0.1

PGIM Jennison Intern lagged returns against current returns

 Current and Lagged Values 
      Timeline 

PGIM Jennison regressed lagged prices vs. current prices

 Current vs Lagged Prices 
      Timeline 

PGIM Jennison Lagged Returns

 Regressed Prices 
      Timeline 

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Additionally take a look at PGIM Jennison Hype Analysis, PGIM Jennison Correlation, Portfolio Optimization, PGIM Jennison Volatility as well as analyze PGIM Jennison Alpha and Beta and PGIM Jennison Performance. Please also try Pair Correlation module to compare performance and examine historical correlation between any two equity instruments.
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