Correlation Between Western Asset and Pimco New
Can any of the company-specific risk be diversified away by investing in both Western Asset and Pimco New 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 Pimco New 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 Pimco New York, you can compare the effects of market volatilities on Western Asset and Pimco New 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 Pimco New. Check out your portfolio center. Please also check ongoing floating volatility patterns of Western Asset and Pimco New.
Diversification Opportunities for Western Asset and Pimco New
0.74 | Correlation Coefficient |
Poor diversification
The 3 months correlation between Western and Pimco is 0.74. Overlapping area represents the amount of risk that can be diversified away by holding Western Asset Municipal and Pimco New York in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Pimco New York 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 Pimco New. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Pimco New York has no effect on the direction of Western Asset i.e., Western Asset and Pimco New go up and down completely randomly.
Pair Corralation between Western Asset and Pimco New
Considering the 90-day investment horizon Western Asset Municipal is expected to generate 0.82 times more return on investment than Pimco New. However, Western Asset Municipal is 1.22 times less risky than Pimco New. It trades about 0.02 of its potential returns per unit of risk. Pimco New York is currently generating about 0.0 per unit of risk. If you would invest 702.00 in Western Asset Municipal on August 28, 2024 and sell it today you would earn a total of 3.00 from holding Western Asset Municipal or generate 0.43% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Significant |
| Accuracy | 100.0% |
| Values | Daily Returns |
Western Asset Municipal vs. Pimco New York
Performance |
| Timeline |
| Western Asset Municipal |
| Pimco New York |
Western Asset and Pimco New Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Western Asset and Pimco New
The main advantage of trading using opposite Western Asset and Pimco New positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Western Asset position performs unexpectedly, Pimco New 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 Pimco New will offset losses from the drop in Pimco New's long position.| Western Asset vs. Western Asset Managed | Western Asset vs. Blackrock Muniholdings Quality | Western Asset vs. DTF Tax Free | Western Asset vs. John Hancock Income |
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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 Price Ceiling Movement module to calculate and plot Price Ceiling Movement for different equity instruments.
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