Correlation Between Nuveen Mortgage and Western Asset
Can any of the company-specific risk be diversified away by investing in both Nuveen Mortgage and Western Asset 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 Mortgage and Western Asset into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Nuveen Mortgage Opportunity and Western Asset High, you can compare the effects of market volatilities on Nuveen Mortgage and Western Asset 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 Mortgage with a short position of Western Asset. Check out your portfolio center. Please also check ongoing floating volatility patterns of Nuveen Mortgage and Western Asset.
Diversification Opportunities for Nuveen Mortgage and Western Asset
0.78 | Correlation Coefficient |
Poor diversification
The 3 months correlation between Nuveen and Western is 0.78. Overlapping area represents the amount of risk that can be diversified away by holding Nuveen Mortgage Opportunity and Western Asset High in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Western Asset High and Nuveen Mortgage 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 Mortgage Opportunity are associated (or correlated) with Western Asset. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Western Asset High has no effect on the direction of Nuveen Mortgage i.e., Nuveen Mortgage and Western Asset go up and down completely randomly.
Pair Corralation between Nuveen Mortgage and Western Asset
Considering the 90-day investment horizon Nuveen Mortgage is expected to generate 1.05 times less return on investment than Western Asset. In addition to that, Nuveen Mortgage is 1.02 times more volatile than Western Asset High. It trades about 0.15 of its total potential returns per unit of risk. Western Asset High is currently generating about 0.16 per unit of volatility. If you would invest 1,092 in Western Asset High on August 24, 2024 and sell it today you would earn a total of 122.00 from holding Western Asset High or generate 11.17% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Significant |
| Accuracy | 100.0% |
| Values | Daily Returns |
Nuveen Mortgage Opportunity vs. Western Asset High
Performance |
| Timeline |
| Nuveen Mortgage Oppo |
| Western Asset High |
Nuveen Mortgage and Western Asset Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Nuveen Mortgage and Western Asset
The main advantage of trading using opposite Nuveen Mortgage and Western Asset positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Nuveen Mortgage position performs unexpectedly, Western Asset 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 Western Asset will offset losses from the drop in Western Asset's long position.| Nuveen Mortgage vs. Western Asset Global | Nuveen Mortgage vs. Western Asset High | Nuveen Mortgage vs. Voya Global Equity | Nuveen Mortgage vs. Western Asset Mortgage |
| Western Asset vs. Western Asset Global | Western Asset vs. Western Asset High | Western Asset vs. Voya Global Equity | Western Asset vs. Western Asset Mortgage |
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 Stocks Directory module to find actively traded stocks across global markets.
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