Correlation Between Western Asset and Nuveen Arizona
Can any of the company-specific risk be diversified away by investing in both Western Asset and Nuveen Arizona 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 Western Asset and Nuveen Arizona into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Western Asset Municipal and Nuveen Arizona Municipal, you can compare the effects of market volatilities on Western Asset and Nuveen Arizona 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 Western Asset with a short position of Nuveen Arizona. Check out your portfolio center. Please also check ongoing floating volatility patterns of Western Asset and Nuveen Arizona.
Diversification Opportunities for Western Asset and Nuveen Arizona
0.79 | Correlation Coefficient |
Poor diversification
The 3 months correlation between Western and Nuveen is 0.79. Overlapping area represents the amount of risk that can be diversified away by holding Western Asset Municipal and Nuveen Arizona Municipal in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Nuveen Arizona Municipal and Western Asset 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 Western Asset Municipal are associated (or correlated) with Nuveen Arizona. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Nuveen Arizona Municipal has no effect on the direction of Western Asset i.e., Western Asset and Nuveen Arizona go up and down completely randomly.
Pair Corralation between Western Asset and Nuveen Arizona
Assuming the 90 days horizon Western Asset Municipal is expected to under-perform the Nuveen Arizona. In addition to that, Western Asset is 1.11 times more volatile than Nuveen Arizona Municipal. It trades about -0.13 of its total potential returns per unit of risk. Nuveen Arizona Municipal is currently generating about -0.06 per unit of volatility. If you would invest 1,021 in Nuveen Arizona Municipal on October 5, 2024 and sell it today you would lose (10.00) from holding Nuveen Arizona Municipal or give up 0.98% of portfolio value over 90 days.
Time Period | 3 Months [change] |
Direction | Moves Together |
Strength | Significant |
Accuracy | 100.0% |
Values | Daily Returns |
Western Asset Municipal vs. Nuveen Arizona Municipal
Performance |
Timeline |
Western Asset Municipal |
Nuveen Arizona Municipal |
Western Asset and Nuveen Arizona Volatility Contrast
Predicted Return Density |
Returns |
Pair Trading with Western Asset and Nuveen Arizona
The main advantage of trading using opposite Western Asset and Nuveen Arizona positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Western Asset position performs unexpectedly, Nuveen Arizona 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 Arizona will offset losses from the drop in Nuveen Arizona's long position.Western Asset vs. Columbia Convertible Securities | Western Asset vs. Absolute Convertible Arbitrage | Western Asset vs. Putnam Convertible Incm Gwth | Western Asset vs. Advent Claymore Convertible |
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Check out your portfolio center.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 Stock Screener module to find equities using a custom stock filter or screen asymmetry in trading patterns, price, volume, or investment outlook..
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