Prudential Utility Fund Volatility
| PRUAX Fund | USD 15.40 -0.83 -5.11% |
Prudential Utility Fund continues to exhibit low price volatility over the last 3 months. Prudential Utility Fund records a Sharpe ratio of 0.0481, indicating risk-adjusted returns over the last 3 months. There are 27 technical indicators affecting the current volatility pattern.
Sharpe Ratio = 0.0481
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Latest disclosures for Prudential Utility Fund show a Market Risk Adjusted Performance of 0.1%, a Risk of 1.16, and a Risk Adjusted Performance of 0.03%. Based on monthly moving average positioning, PRUDENTIAL UTILITY is operating near 3% of its observed historical performance range. Within a well-diversified portfolio, its contribution would depend on correlation and allocation weight.
Key indicators related to PRUDENTIAL UTILITY's volatility include:90 Days Market Risk | Chance Of Distress | 90 Days Economic Sensitivity |
PRUDENTIAL UTILITY Mutual Fund volatility depicts how high the prices fluctuate around the mean (or its average) price. In other words, it is a statistical measure of the distribution of PRUDENTIAL daily returns, and it is calculated using variance and standard deviation.
PRUDENTIAL |
Volatility Strategy
Prudential Utility Fund price volatility may influence cost basis positioning and portfolio weighting over time. Price retracements and recoveries can alter allocation balance. Current statistical measures show total volatility near 1.16% with a beta coefficient of 0.33, indicating sensitivity relative to the broader market benchmark. Risk-adjusted efficiency, represented by a Sharpe ratio of 0.0481, evaluates return per unit of total risk. An alpha value of 0.0631 reflects performance relative to systematic market exposure. Expected return estimates near 0.0556% are derived from historical distribution modeling and help frame forward-looking return assumptions within a portfolio context. Volatility effects depend on underlying market structure and exposure characteristics.
Main indicators related to PRUDENTIAL UTILITY's market risk premium analysis include:
Beta 0.33 | Alpha 0.0631 | Risk 1.16 | Sharpe Ratio 0.0481 | Expected Return 0.0556 |
Moving together with PRUDENTIAL Mutual Fund
| 0.88 | PGJCX | Prudential Jennison | PairCorr |
| 0.88 | PGJZX | Prudential Jennison | PairCorr |
| 0.7 | PGNAX | Jennison Natural | PairCorr |
| 0.8 | PGVZX | Prudential Government | PairCorr |
| 0.79 | PGVAX | Prudential Government | PairCorr |
| 0.65 | PHEAX | Prudential Global Total | PairCorr |
| 0.65 | PHEZX | Prudential Global Total | PairCorr |
| 0.72 | PHICX | Prudential Muni High | PairCorr |
Moving against PRUDENTIAL Mutual Fund
| 0.69 | PFSZX | Prudential Financial | PairCorr |
| 0.68 | PFSAX | Prudential Financial | PairCorr |
| 0.5 | FRFCX | Prudential Floating Rate | PairCorr |
| 0.32 | PWJCX | Prudential Jennison | PairCorr |
| 0.32 | FRFAX | Prudential Floating Rate | PairCorr |
| 0.31 | PWJZX | Prudential Jennison | PairCorr |
| 0.31 | PWJAX | Prudential Jennison | PairCorr |
| 0.31 | PHLCX | Prudential Health | PairCorr |
Sensitivity To Market
PRUDENTIAL UTILITY beta coefficient measures the volatility of PRUDENTIAL mutual fund relative to the systematic risk of the overall market benchmark. Mathematically, beta represents the slope of the regression line comparing PRUDENTIAL returns against market returns. A beta of 0.33 indicates the degree of sensitivity to market-wide movements. Current total volatility is approximately 1.16%.Prudential Utility Fund has shown noticeable price swings over the selected period. Downside deviation is about 1.39% and standard deviation is about 1.16%, which summarize how widely returns have moved. Liquidity of underlying holdings can influence how smoothly fund values update in fast markets.
3 Months Beta |Analyze Prudential Utility Demand TrendCheck current 90 days PRUDENTIAL UTILITY correlation with market (Dow Jones Industrial)Downside Risk
PRUDENTIAL standard deviation measures the daily dispersion of prices over your selected time horizon relative to its mean. A typical volatile entity has a high standard deviation, while the deviation of a stable instrument is usually low.
Standard Deviation | 1.16 |
It is essential to understand the difference between upside risk (as represented by PRUDENTIAL UTILITY's standard deviation) and the downside risk, which can be measured by semi-deviation or downside deviation of PRUDENTIAL UTILITY's daily returns or price. Latest disclosures for Prudential Utility Fund show a Downside Deviation of 1.39, a Downside Variance of 1.94, and a Maximum Drawdown of 4.37.
Mutual Fund Volatility Analysis
Volatility refers to the frequency at which PRUDENTIAL UTILITY fund price increases or decreases within a specified period. These fluctuations usually indicate the level of risk that's associated with PRUDENTIAL UTILITY's price changes.
Transformation |
This analysis covers sixty-one data points across the selected time horizon. Prudential Utility Average Price is the average of the sum of open, high, low and close daily prices of a bar. It can be used to smooth an indicator that normally takes just the closing price as input.
Projected Return Density Against Market
Assuming a 90-day horizon PRUDENTIAL UTILITY has a beta of 0.3312 indicating as returns on the market go up, PRUDENTIAL UTILITY's average returns are expected to increase less than the benchmark. However, during a bear market, the loss from holding Prudential Utility Fund is expected to be smaller as well.PRUDENTIAL UTILITY is exposed to both systematic and unsystematic risk. Systematic risk reflects broader mutual fund market movements, while company or sector-specific developments represent nonmarket drivers. Diversification may reduce specific risk, but market exposure remains. Beta and standard deviation help quantify volatility. Latest disclosures for Prudential Utility Fund show a Downside Deviation of 1.39, a Mean Deviation of 0.85, and a Semi Deviation of 1.30.
Predicted Return Density |
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What Drives PRUDENTIAL UTILITY's Price Volatility?
Several factors can influence PRUDENTIAL UTILITY's market volatility:Industry Dynamics
Sector-level events can directly affect PRUDENTIAL UTILITY's price stability. Regulatory changes, supply disruptions, or shifts in demand within PRUDENTIAL UTILITY's industry may create volatility even when the broader market is calm. Competitive dynamics and industry consolidation can also amplify price swings for companies like PRUDENTIAL UTILITY.Political and Economic Environment
Macroeconomic conditions and policy decisions shape the backdrop for PRUDENTIAL UTILITY's price movements. Interest rate changes, trade policy shifts, and fiscal legislation can all alter investor sentiment toward PRUDENTIAL UTILITY. During periods of economic expansion, PRUDENTIAL UTILITY's price tends to benefit from broader market optimism, while downturns can amplify selling pressure.PRUDENTIAL UTILITY's Company-Specific Factors
Volatility can also stem from events unique to PRUDENTIAL UTILITY. Earnings surprises, management changes, product launches, or legal developments may trigger sharp price reactions in PRUDENTIAL UTILITY's stock. Conversely, operational setbacks, guidance revisions, or data breaches can weigh on PRUDENTIAL UTILITY's share price.Mutual Fund Risk Measures
Assuming a 90-day horizon the coefficient of variation of PRUDENTIAL UTILITY is 2080.28. The daily returns are distributed with a variance of 1.34 and standard deviation of 1.16. The mean deviation of Prudential Utility Fund is currently at 0.83. For similar time horizon, the selected benchmark (Dow Jones Industrial) has volatility of 0.8
α | Alpha over Dow Jones | 0.06 | |
β | Beta against Dow Jones | 0.33 | |
σ | Overall volatility | 1.16 | |
Ir | Information ratio | 0.11 |
Mutual Fund Return Volatility
PRUDENTIAL UTILITY historical daily return volatility represents how much of PRUDENTIAL UTILITY fund's daily returns swing around its mean - it is a statistical measure of its dispersion of returns. The fund reported 1.156% volatility on return distribution over a 90-day investment horizon. By contrast, Dow Jones Industrial has volatility of 0.8181% on return distribution over a 90-day investment horizon. Performance |
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Related Correlations Analysis
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
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Risk-Adjusted Indicators
There is a big difference between PRUDENTIAL Mutual Fund performing well and PRUDENTIAL UTILITY Mutual Fund 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 PRUDENTIAL UTILITY'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 | ||
|---|---|---|---|---|---|---|---|---|---|---|
| PRUZX | 0.83 | 0.07 | 0.10 | 0.12 | 1.24 | 1.49 | 4.30 | |||
| RRTAX | 0.34 | 0.06 | 0.23 | 0.04 | 0.41 | 0.63 | 4.01 | |||
| AAGPX | 0.60 | 0.04 | 0.00 | -0.06 | 0.00 | 1.18 | 3.31 | |||
| MRGAX | 0.63 | 0.01 | 0.00 | -0.09 | 0.00 | 0.96 | 3.75 | |||
| MDLRX | 0.64 | 0.04 | 0.00 | -0.05 | 0.00 | 1.08 | 3.64 | |||
| SCSCX | 0.63 | -0.03 | 0.00 | -0.13 | 0.00 | 0.99 | 2.92 | |||
| SICWX | 0.63 | -0.02 | 0.00 | -0.13 | 0.00 | 0.99 | 2.93 | |||
| AFDIX | 1.11 | 0.39 | 0.47 | 0.76 | 0.51 | 1.01 | 31.25 | |||
| LZIOX | 1.01 | 0.05 | 0.00 | -0.03 | 0.00 | 1.26 | 21.65 | |||
| PJGQX | 0.89 | -0.05 | 0.00 | -0.15 | 0.00 | 1.42 | 5.43 |
Risk Metrics, Assumptions & Methodology
Volatility for PRUDENTIAL UTILITY reflects NAV dispersion and exposure stability across disclosure periods. Higher dispersion implies wider price swings across observed periods.
Unless otherwise specified, data for Prudential Utility Fund is compiled from fund disclosures and market reference feeds and standardized for comparability. Updates may occur throughout the day. Volatility and downside metrics are estimated from historical return dispersion.
This content is curated and reviewed by:
Ellen Johnson - Member of Macroaxis Editorial BoardPRUDENTIAL UTILITY Investment Opportunity
Prudential Utility Fund currently shows materially higher return volatility than Dow Jones Industrial, with a relative multiple of about 1.41. Used properly, this comparison frames whether the extra volatility is strategic or simply uncompensated risk.You can use Prudential Utility Fund to protect your portfolios against small market fluctuations. This directional read frames the latest price swing through a simple momentum and follow-through lens. It is intended to separate routine noise from more speculative bursts in price action. a very speculative upward sentiment. Check odds of PRUDENTIAL UTILITY to be traded at $14.63 in 90 days.Very good diversification
For the present investment horizon, the measured correlation between PRUAX and DJI stands at -0.26, or Very good diversification. This matters because lower overlap can improve diversification, while higher overlap leaves more of the same risk inside the portfolio.
PRUDENTIAL UTILITY Additional Risk Indicators
A broader risk-indicator set for Prudential Utility Fund can improve buy, hold, hedge, and sell decisions by adding context beyond the most common measures. Used correctly, these measures can support both standalone risk assessment and portfolio-level hedging decisions.
| Risk Adjusted Performance | 0.0311 | |||
| Market Risk Adjusted Performance | 0.1021 | |||
| Mean Deviation | 0.8501 | |||
| Semi Deviation | 1.3 | |||
| Downside Deviation | 1.39 | |||
| Coefficient Of Variation | 2859.15 | |||
| Standard Deviation | 1.16 |
PRUDENTIAL UTILITY Suggested Diversification Pairs
Pair trading with PRUDENTIAL UTILITY can help investors hedge some company-specific exposure by balancing a long view with an offsetting position. Used properly, pair trading is less about prediction in isolation and more about identifying relative mispricing between related positions.
The effect of pair diversification on risk is to reduce it, but we should note this doesn't apply to all risk types. When we trade pairs against PRUDENTIAL UTILITY as a counterpart, there is always some inherent risk that will never be diversified away no matter what. This volatility limits the effect of tactical diversification using pair trading. PRUDENTIAL UTILITY's systematic risk is the inherent uncertainty of the entire market, and therefore cannot be mitigated even by pair-trading it against the equity that is not highly correlated to it. On the other hand, PRUDENTIAL UTILITY's unsystematic risk describes the types of risk that we can protect against, at least to some degree, by selecting a matching pair that is not perfectly correlated to Prudential Utility Fund.