Correlation Between Eaton Vance and Nuveen California
Can any of the company-specific risk be diversified away by investing in both Eaton Vance and Nuveen California 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 California into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Eaton Vance California and Nuveen California Amt, you can compare the effects of market volatilities on Eaton Vance and Nuveen California 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 California. Check out your portfolio center. Please also check ongoing floating volatility patterns of Eaton Vance and Nuveen California.
Diversification Opportunities for Eaton Vance and Nuveen California
0.66 | Correlation Coefficient |
Poor diversification
The 3 months correlation between Eaton and Nuveen is 0.66. Overlapping area represents the amount of risk that can be diversified away by holding Eaton Vance California and Nuveen California Amt in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Nuveen California Amt 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 California are associated (or correlated) with Nuveen California. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Nuveen California Amt has no effect on the direction of Eaton Vance i.e., Eaton Vance and Nuveen California go up and down completely randomly.
Pair Corralation between Eaton Vance and Nuveen California
Considering the 90-day investment horizon Eaton Vance California is expected to generate 0.69 times more return on investment than Nuveen California. However, Eaton Vance California is 1.45 times less risky than Nuveen California. It trades about -0.07 of its potential returns per unit of risk. Nuveen California Amt is currently generating about -0.14 per unit of risk. If you would invest 951.00 in Eaton Vance California on August 28, 2024 and sell it today you would lose (13.00) from holding Eaton Vance California or give up 1.37% of portfolio value over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Significant |
| Accuracy | 100.0% |
| Values | Daily Returns |
Eaton Vance California vs. Nuveen California Amt
Performance |
| Timeline |
| Eaton Vance California |
| Nuveen California Amt |
Eaton Vance and Nuveen California Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Eaton Vance and Nuveen California
The main advantage of trading using opposite Eaton Vance and Nuveen California positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Eaton Vance position performs unexpectedly, Nuveen California 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 California will offset losses from the drop in Nuveen California's long position.| Eaton Vance vs. Pimco California Municipal | Eaton Vance vs. Pimco California Municipal | Eaton Vance vs. Nuveen California Amt | Eaton Vance vs. Invesco California Value |
| Nuveen California vs. Pimco California Municipal | Nuveen California vs. Eaton Vance California | Nuveen California vs. Invesco California Value | Nuveen California vs. Pimco California Municipal |
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 Portfolio Optimization module to compute new portfolio that will generate highest expected return given your specified tolerance for risk.
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