Correlation Between Eaton Vance and Nuveen Mortgage

Can any of the company-specific risk be diversified away by investing in both Eaton Vance and Nuveen Mortgage 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 Eaton Vance and Nuveen Mortgage into the same portfolio, which is an essential part of the fundamental portfolio management process.

By analyzing existing cross correlation between Eaton Vance New and Nuveen Mortgage Opportunity, you can compare the effects of market volatilities on Eaton Vance and Nuveen Mortgage 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 Eaton Vance with a short position of Nuveen Mortgage. Check out your portfolio center. Please also check ongoing floating volatility patterns of Eaton Vance and Nuveen Mortgage.

Diversification Opportunities for Eaton Vance and Nuveen Mortgage

0.65

Correlation Coefficient

Eaton Vance  Nuveen Mortgage

Poor diversification

The 3 months correlation between Eaton and Nuveen is 0.65. Overlapping area represents the amount of risk that can be diversified away by holding Eaton Vance New and Nuveen Mortgage Opportunity in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Nuveen Mortgage Oppo and Eaton Vance 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 Eaton Vance New are associated (or correlated) with Nuveen Mortgage. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Nuveen Mortgage Oppo has no effect on the direction of Eaton Vance i.e., Eaton Vance and Nuveen Mortgage go up and down completely randomly.

Pair Corralation between Eaton Vance and Nuveen Mortgage

Considering the 90-day investment horizon Eaton Vance New is expected to under-perform the Nuveen Mortgage. But the stock apears to be less risky and, when comparing its historical volatility, Eaton Vance New is 1.1 times less risky than Nuveen Mortgage. The stock trades about -0.11 of its potential returns per unit of risk. The Nuveen Mortgage Opportunity is currently generating about -0.08 of returns per unit of risk over similar time horizon. If you would invest  1,847  in Nuveen Mortgage Opportunity on October 7, 2024 and sell it today you would lose (24.00) from holding Nuveen Mortgage Opportunity or give up 1.3% of portfolio value over 90 days.

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

Eaton Vance New  vs.  Nuveen Mortgage Opportunity

Eaton Vance New

Risk-Adjusted Performance

1 of 100

Weak

Compared to the overall equity markets, risk-adjusted returns on investments in Eaton Vance New are ranked lower than 1 (%) of all global equities and portfolios over the last 90 days. In spite of fairly strong basic indicators, Eaton Vance is not utilizing all of its potentials. The latest stock price disturbance, may contribute to short-term losses for the investors.

Nuveen Mortgage Oppo

Risk-Adjusted Performance

0 of 100

Very Weak

Over the last 90 days Nuveen Mortgage Opportunity has generated negative risk-adjusted returns adding no value to investors with long positions. In spite of comparatively stable essential indicators, Nuveen Mortgage is not utilizing all of its potentials. The recent stock price uproar, may contribute to short-horizon losses for the private investors.

Pair Trading with Eaton Vance and Nuveen Mortgage

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

The idea behind Eaton Vance New and Nuveen Mortgage Opportunity 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 FinTech Suite module to use AI to screen and filter profitable investment opportunities.