Correlation Between Munivest Fund and Western Asset
Can any of the company-specific risk be diversified away by investing in both Munivest Fund 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 Munivest Fund and Western Asset into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Munivest Fund and Western Asset Municipal, you can compare the effects of market volatilities on Munivest Fund 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 Munivest Fund with a short position of Western Asset. Check out your portfolio center. Please also check ongoing floating volatility patterns of Munivest Fund and Western Asset.
Diversification Opportunities for Munivest Fund and Western Asset
0.85 | Correlation Coefficient |
Very poor diversification
The 3 months correlation between Munivest and Western is 0.85. Overlapping area represents the amount of risk that can be diversified away by holding Munivest Fund and Western Asset Municipal in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Western Asset Municipal and Munivest Fund 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 Munivest Fund 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 Municipal has no effect on the direction of Munivest Fund i.e., Munivest Fund and Western Asset go up and down completely randomly.
Pair Corralation between Munivest Fund and Western Asset
Considering the 90-day investment horizon Munivest Fund is expected to generate 1.19 times less return on investment than Western Asset. But when comparing it to its historical volatility, Munivest Fund is 1.0 times less risky than Western Asset. It trades about 0.05 of its potential returns per unit of risk. Western Asset Municipal is currently generating about 0.06 of returns per unit of risk over similar time horizon. If you would invest 601.00 in Western Asset Municipal on August 28, 2024 and sell it today you would earn a total of 107.00 from holding Western Asset Municipal or generate 17.8% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Strong |
| Accuracy | 100.0% |
| Values | Daily Returns |
Munivest Fund vs. Western Asset Municipal
Performance |
| Timeline |
| Munivest Fund |
| Western Asset Municipal |
Munivest Fund and Western Asset Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Munivest Fund and Western Asset
The main advantage of trading using opposite Munivest Fund and Western Asset positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Munivest Fund 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.| Munivest Fund vs. DTF Tax Free | Munivest Fund vs. MFS High Yield | Munivest Fund vs. MFS High Income | Munivest Fund vs. John Hancock Income |
| Western Asset vs. Western Asset Managed | Western Asset vs. Blackrock Muniholdings Quality | Western Asset vs. DTF Tax Free | Western Asset vs. John Hancock Income |
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 Equity Valuation module to check real value of public entities based on technical and fundamental data.
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