Correlation Between Nuveen Amt-free and Pimco Municipal
Can any of the company-specific risk be diversified away by investing in both Nuveen Amt-free and Pimco Municipal 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 Amt-free and Pimco Municipal into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Nuveen Amt Free Municipal and Pimco Municipal Income, you can compare the effects of market volatilities on Nuveen Amt-free and Pimco Municipal 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 Amt-free with a short position of Pimco Municipal. Check out your portfolio center. Please also check ongoing floating volatility patterns of Nuveen Amt-free and Pimco Municipal.
Diversification Opportunities for Nuveen Amt-free and Pimco Municipal
0.89 | Correlation Coefficient |
Very poor diversification
The 3 months correlation between Nuveen and Pimco is 0.89. Overlapping area represents the amount of risk that can be diversified away by holding Nuveen Amt Free Municipal and Pimco Municipal Income in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Pimco Municipal Income and Nuveen Amt-free 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 Amt Free Municipal are associated (or correlated) with Pimco Municipal. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Pimco Municipal Income has no effect on the direction of Nuveen Amt-free i.e., Nuveen Amt-free and Pimco Municipal go up and down completely randomly.
Pair Corralation between Nuveen Amt-free and Pimco Municipal
Considering the 90-day investment horizon Nuveen Amt-free is expected to generate 1.08 times less return on investment than Pimco Municipal. But when comparing it to its historical volatility, Nuveen Amt Free Municipal is 1.55 times less risky than Pimco Municipal. It trades about 0.18 of its potential returns per unit of risk. Pimco Municipal Income is currently generating about 0.12 of returns per unit of risk over similar time horizon. If you would invest 775.00 in Pimco Municipal Income on September 2, 2024 and sell it today you would earn a total of 18.00 from holding Pimco Municipal Income or generate 2.32% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Strong |
| Accuracy | 100.0% |
| Values | Daily Returns |
Nuveen Amt Free Municipal vs. Pimco Municipal Income
Performance |
| Timeline |
| Nuveen Amt Free |
| Pimco Municipal Income |
Nuveen Amt-free and Pimco Municipal Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Nuveen Amt-free and Pimco Municipal
The main advantage of trading using opposite Nuveen Amt-free and Pimco Municipal positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Nuveen Amt-free position performs unexpectedly, Pimco Municipal 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 Municipal will offset losses from the drop in Pimco Municipal's long position.| Nuveen Amt-free vs. Nuveen New York | Nuveen Amt-free vs. Eaton Vance New | Nuveen Amt-free vs. Pimco New York | Nuveen Amt-free vs. Nuveen Municipalome |
| Pimco Municipal vs. MFS Investment Grade | Pimco Municipal vs. Eaton Vance Municipal | Pimco Municipal vs. DTF Tax Free | Pimco Municipal vs. Aquagold International |
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 Portfolio Backtesting module to avoid under-diversification and over-optimization by backtesting your portfolios.
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