Correlation Between Nuveen Intermediate and Janus Investment
Can any of the company-specific risk be diversified away by investing in both Nuveen Intermediate and Janus Investment 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 Intermediate and Janus Investment into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Nuveen Intermediate Duration and Janus Investment, you can compare the effects of market volatilities on Nuveen Intermediate and Janus Investment 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 Intermediate with a short position of Janus Investment. Check out your portfolio center. Please also check ongoing floating volatility patterns of Nuveen Intermediate and Janus Investment.
Diversification Opportunities for Nuveen Intermediate and Janus Investment
-0.47 | Correlation Coefficient |
Very good diversification
The 3 months correlation between Nuveen and Janus is -0.47. Overlapping area represents the amount of risk that can be diversified away by holding Nuveen Intermediate Duration and Janus Investment in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Janus Investment and Nuveen Intermediate 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 Intermediate Duration are associated (or correlated) with Janus Investment. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Janus Investment has no effect on the direction of Nuveen Intermediate i.e., Nuveen Intermediate and Janus Investment go up and down completely randomly.
Pair Corralation between Nuveen Intermediate and Janus Investment
Assuming the 90 days horizon Nuveen Intermediate is expected to generate 1.49 times less return on investment than Janus Investment. But when comparing it to its historical volatility, Nuveen Intermediate Duration is 4.77 times less risky than Janus Investment. It trades about 0.07 of its potential returns per unit of risk. Janus Investment is currently generating about 0.02 of returns per unit of risk over similar time horizon. If you would invest 92.00 in Janus Investment on September 12, 2024 and sell it today you would earn a total of 8.00 from holding Janus Investment or generate 8.7% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Against |
| Strength | Very Weak |
| Accuracy | 99.6% |
| Values | Daily Returns |
Nuveen Intermediate Duration vs. Janus Investment
Performance |
| Timeline |
| Nuveen Intermediate |
| Janus Investment |
Nuveen Intermediate and Janus Investment Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Nuveen Intermediate and Janus Investment
The main advantage of trading using opposite Nuveen Intermediate and Janus Investment positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Nuveen Intermediate position performs unexpectedly, Janus Investment 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 Janus Investment will offset losses from the drop in Janus Investment's long position.The idea behind Nuveen Intermediate Duration and Janus Investment pairs trading is to make the combined position market-neutral, meaning the overall market's direction will not affect its win or loss (or potential downside or upside). This can be achieved by designing a pairs trade with two highly correlated stocks or equities that operate in a similar space or sector, making it possible to obtain profits through simple and relatively low-risk investment.
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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 Watchlist Optimization module to optimize watchlists to build efficient portfolios or rebalance existing positions based on the mean-variance optimization algorithm.
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