Correlation Between Nuveen California and Eaton Vance
Can any of the company-specific risk be diversified away by investing in both Nuveen California and Eaton Vance 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 California and Eaton Vance into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Nuveen California Select and Eaton Vance Municipal, you can compare the effects of market volatilities on Nuveen California and Eaton Vance 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 California with a short position of Eaton Vance. Check out your portfolio center. Please also check ongoing floating volatility patterns of Nuveen California and Eaton Vance.
Diversification Opportunities for Nuveen California and Eaton Vance
0.7 | Correlation Coefficient |
Poor diversification
The 3 months correlation between Nuveen and Eaton is 0.7. Overlapping area represents the amount of risk that can be diversified away by holding Nuveen California Select and Eaton Vance Municipal in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Eaton Vance Municipal and Nuveen California 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 California Select are associated (or correlated) with Eaton Vance. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Eaton Vance Municipal has no effect on the direction of Nuveen California i.e., Nuveen California and Eaton Vance go up and down completely randomly.
Pair Corralation between Nuveen California and Eaton Vance
Considering the 90-day investment horizon Nuveen California Select is expected to generate 1.25 times more return on investment than Eaton Vance. However, Nuveen California is 1.25 times more volatile than Eaton Vance Municipal. It trades about -0.06 of its potential returns per unit of risk. Eaton Vance Municipal is currently generating about -0.15 per unit of risk. If you would invest 1,353 in Nuveen California Select on August 28, 2024 and sell it today you would lose (11.00) from holding Nuveen California Select or give up 0.81% of portfolio value over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Significant |
| Accuracy | 95.45% |
| Values | Daily Returns |
Nuveen California Select vs. Eaton Vance Municipal
Performance |
| Timeline |
| Nuveen California Select |
| Eaton Vance Municipal |
Nuveen California and Eaton Vance Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Nuveen California and Eaton Vance
The main advantage of trading using opposite Nuveen California and Eaton Vance positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Nuveen California position performs unexpectedly, Eaton Vance 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 Eaton Vance will offset losses from the drop in Eaton Vance's long position.| Nuveen California vs. Eaton Vance National | Nuveen California vs. Invesco High Income | Nuveen California vs. Blackrock Muniholdings Ny | Nuveen California vs. MFS Investment Grade |
| Eaton Vance vs. MFS Investment Grade | Eaton Vance vs. Invesco High Income | Eaton Vance vs. Federated Premier Municipal | Eaton Vance vs. Nuveen California Select |
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 Optimization module to compute new portfolio that will generate highest expected return given your specified tolerance for risk.
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