PGIM Jennison Backtesting

PWJZX -- USA Fund  

USD 20.29  0.05  0.25%

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

August 23, 2019
0.00
No Change 0.00  0.0 
In 3 months and 1 day
November 21, 2019
0.00
If you would invest  0.00  in PGIM Jennison on August 23, 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 American Funds, American Funds, American Funds, EuroPacific Growth, EuroPacific Growth, MFS Series, and MFS International. The fund will invest primarily in equity and equity-related securities of non-U.S

PGIM Jennison Upside/Downside Indicators

Downside Deviation1.1
Information Ratio0.0163
Maximum Drawdown4.03
Value At Risk(1.56)
Potential Upside1.36

PGIM Jennison Market Premium Indicators

Risk Adjusted Performance0.0831
Jensen Alpha0.0902
Total Risk Alpha(0.009466)
Sortino Ratio0.0137
Treynor Ratio1.48

PGIM Jennison Intern Backtested Returns

We consider PGIM Jennison not too volatile. PGIM Jennison Intern maintains Sharpe Ratio (i.e. Efficiency) of 0.1369 which implies the entity had 0.1369% 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 0.8483 and Risk Adjusted Performance of 0.0831 to confirm if risk estimate we provide are consistent with the epected return of 0.1224%. The fund holds Beta of 0.0644 which implies as returns on market increase, PGIM Jennison returns are expected to increase less than the market. However during bear market, the loss on holding PGIM Jennison will be expected to be smaller as well. 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 0.1224% will be sustainable into the future.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation(0.42) 
correlation synergy

Modest reverse predictability

PGIM Jennison International Opp has modest reverse predictability. Overlapping area represents the amount of predictability between PGIM Jennison time series from August 23, 2019 to October 7, 2019 and October 7, 2019 to November 21, 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 -0.42 indicates that just about 42.0% 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-0.42
Spearman Rank Test-0.49
Residual Average0.0
Price Variance0.24

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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