Correlation Between Nuveen Municipal and Nuveen Amt

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

By analyzing existing cross correlation between Nuveen Municipal Value and Nuveen Amt Free Municipal, you can compare the effects of market volatilities on Nuveen Municipal and Nuveen Amt 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 Nuveen Municipal with a short position of Nuveen Amt. Check out your portfolio center. Please also check ongoing floating volatility patterns of Nuveen Municipal and Nuveen Amt.

Diversification Opportunities for Nuveen Municipal and Nuveen Amt

0.53

Correlation Coefficient

Nuveen Municipal  Nuveen Amt

Very weak diversification

The 3 months correlation between Nuveen and Nuveen is 0.53. Overlapping area represents the amount of risk that can be diversified away by holding Nuveen Municipal Value and Nuveen Amt Free Municipal in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Nuveen Amt Free and Nuveen Municipal 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 Nuveen Municipal Value are associated (or correlated) with Nuveen Amt. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Nuveen Amt Free has no effect on the direction of Nuveen Municipal i.e., Nuveen Municipal and Nuveen Amt go up and down completely randomly.

Pair Corralation between Nuveen Municipal and Nuveen Amt

Considering the 90-day investment horizon Nuveen Municipal Value is expected to under-perform the Nuveen Amt. But the fund apears to be less risky and, when comparing its historical volatility, Nuveen Municipal Value is 1.2 times less risky than Nuveen Amt. The fund trades about -0.01 of its potential returns per unit of risk. The Nuveen Amt Free Municipal is currently generating about 0.05 of returns per unit of risk over similar time horizon. If you would invest  1,168  in Nuveen Amt Free Municipal on September 13, 2024 and sell it today you would earn a total of  18.00  from holding Nuveen Amt Free Municipal or generate 1.54% return on investment over 90 days.

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

Nuveen Municipal Value  vs.  Nuveen Amt Free Municipal

Nuveen Municipal Value

Risk-Adjusted Performance

0 of 100

Very Weak

Over the last 90 days Nuveen Municipal Value has generated negative risk-adjusted returns adding no value to fund investors. In spite of fairly stable basic indicators, Nuveen Municipal is not utilizing all of its potentials. The recent stock price fuss, may contribute to near-short-term losses for the sophisticated investors.

Nuveen Amt Free

Risk-Adjusted Performance

3 of 100

Insignificant

Compared to the overall equity markets, risk-adjusted returns on investments in Nuveen Amt Free Municipal are ranked lower than 3 (%) of all funds and portfolios of funds over the last 90 days. Despite somewhat strong technical and fundamental indicators, Nuveen Amt is not utilizing all of its potentials. The recent stock price disturbance, may contribute to short-term losses for the investors.

Pair Trading with Nuveen Municipal and Nuveen Amt

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

The idea behind Nuveen Municipal Value and Nuveen Amt Free Municipal 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 Portfolio Suggestion module to get suggestions outside of your existing asset allocation including your own model portfolios.