Correlation Between Western Asset and Nuveen Mortgage
Can any of the company-specific risk be diversified away by investing in both Western Asset 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 Western Asset and Nuveen Mortgage into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Western Asset Investment and Nuveen Mortgage Opportunity, you can compare the effects of market volatilities on Western Asset 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 Western Asset with a short position of Nuveen Mortgage. Check out your portfolio center. Please also check ongoing floating volatility patterns of Western Asset and Nuveen Mortgage.
Diversification Opportunities for Western Asset and Nuveen Mortgage
-0.45 | Correlation Coefficient |
Very good diversification
The 3 months correlation between Western and Nuveen is -0.45. Overlapping area represents the amount of risk that can be diversified away by holding Western Asset Investment 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 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 Investment 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 Western Asset i.e., Western Asset and Nuveen Mortgage go up and down completely randomly.
Pair Corralation between Western Asset and Nuveen Mortgage
Considering the 90-day investment horizon Western Asset Investment is expected to under-perform the Nuveen Mortgage. In addition to that, Western Asset is 1.08 times more volatile than Nuveen Mortgage Opportunity. It trades about -0.1 of its total potential returns per unit of risk. Nuveen Mortgage Opportunity is currently generating about 0.13 per unit of volatility. If you would invest 1,802 in Nuveen Mortgage Opportunity on August 27, 2024 and sell it today you would earn a total of 23.00 from holding Nuveen Mortgage Opportunity or generate 1.28% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Against |
| Strength | Very Weak |
| Accuracy | 100.0% |
| Values | Daily Returns |
Western Asset Investment vs. Nuveen Mortgage Opportunity
Performance |
| Timeline |
| Western Asset Investment |
| Nuveen Mortgage Oppo |
Western Asset and Nuveen Mortgage Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Western Asset and Nuveen Mortgage
The main advantage of trading using opposite Western Asset and Nuveen Mortgage positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Western Asset 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.| Western Asset vs. Pioneer Floating Rate | Western Asset vs. The Gabelli Equity | Western Asset vs. Pioneer Municipal High | Western Asset vs. Nuveen Global High |
| Nuveen Mortgage vs. Western Asset High | Nuveen Mortgage vs. Pioneer Municipal High | Nuveen Mortgage vs. The Gabelli Equity | Nuveen Mortgage vs. Eaton Vance National |
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 ETF Categories module to list of ETF categories grouped based on various criteria, such as the investment strategy or type of investments.
Other Complementary Tools
| Portfolio Suggestion Get suggestions outside of your existing asset allocation including your own model portfolios | |
| Portfolio Dashboard Portfolio dashboard that provides centralized access to all your investments | |
| Sectors List of equity sectors categorizing publicly traded companies based on their primary business activities | |
| Watchlist Optimization Optimize watchlists to build efficient portfolios or rebalance existing positions based on the mean-variance optimization algorithm | |
| Performance Analysis Check effects of mean-variance optimization against your current asset allocation |