Correlation Between Nuveen Core and Nuveen Mortgage
Can any of the company-specific risk be diversified away by investing in both Nuveen Core 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 Nuveen Core and Nuveen Mortgage into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Nuveen Core Equity and Nuveen Mortgage Opportunity, you can compare the effects of market volatilities on Nuveen Core 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 Nuveen Core with a short position of Nuveen Mortgage. Check out your portfolio center. Please also check ongoing floating volatility patterns of Nuveen Core and Nuveen Mortgage.
Diversification Opportunities for Nuveen Core and Nuveen Mortgage
0.61 | Correlation Coefficient |
Poor diversification
The 3 months correlation between Nuveen and Nuveen is 0.61. Overlapping area represents the amount of risk that can be diversified away by holding Nuveen Core Equity 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 Nuveen Core 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 Core Equity 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 Nuveen Core i.e., Nuveen Core and Nuveen Mortgage go up and down completely randomly.
Pair Corralation between Nuveen Core and Nuveen Mortgage
Considering the 90-day investment horizon Nuveen Core Equity is expected to generate 1.6 times more return on investment than Nuveen Mortgage. However, Nuveen Core is 1.6 times more volatile than Nuveen Mortgage Opportunity. It trades about 0.07 of its potential returns per unit of risk. Nuveen Mortgage Opportunity is currently generating about 0.1 per unit of risk. If you would invest 1,109 in Nuveen Core Equity on August 24, 2024 and sell it today you would earn a total of 442.00 from holding Nuveen Core Equity or generate 39.86% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Significant |
| Accuracy | 100.0% |
| Values | Daily Returns |
Nuveen Core Equity vs. Nuveen Mortgage Opportunity
Performance |
| Timeline |
| Nuveen Core Equity |
| Nuveen Mortgage Oppo |
Nuveen Core and Nuveen Mortgage Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Nuveen Core and Nuveen Mortgage
The main advantage of trading using opposite Nuveen Core and Nuveen Mortgage positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Nuveen Core 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.| Nuveen Core vs. MFS Investment Grade | Nuveen Core vs. Eaton Vance National | Nuveen Core vs. Blackrock Muniyield Quality | Nuveen Core vs. Munivest Fund |
| 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 Price Transformation module to use Price Transformation models to analyze the depth of different equity instruments across global markets.
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