Correlation Between Tax-managed and Western Asset
Can any of the company-specific risk be diversified away by investing in both Tax-managed 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 Tax-managed and Western Asset into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Tax Managed Mid Small and Western Asset E, you can compare the effects of market volatilities on Tax-managed 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 Tax-managed with a short position of Western Asset. Check out your portfolio center. Please also check ongoing floating volatility patterns of Tax-managed and Western Asset.
Diversification Opportunities for Tax-managed and Western Asset
0.46 | Correlation Coefficient |
Very weak diversification
The 3 months correlation between Tax-managed and Western is 0.46. Overlapping area represents the amount of risk that can be diversified away by holding Tax Managed Mid Small and Western Asset E in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Western Asset E and Tax-managed 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 Tax Managed Mid Small 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 E has no effect on the direction of Tax-managed i.e., Tax-managed and Western Asset go up and down completely randomly.
Pair Corralation between Tax-managed and Western Asset
Assuming the 90 days horizon Tax Managed Mid Small is expected to generate 2.52 times more return on investment than Western Asset. However, Tax-managed is 2.52 times more volatile than Western Asset E. It trades about 0.04 of its potential returns per unit of risk. Western Asset E is currently generating about 0.04 per unit of risk. If you would invest 3,450 in Tax Managed Mid Small on November 28, 2024 and sell it today you would earn a total of 617.00 from holding Tax Managed Mid Small or generate 17.88% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Weak |
| Accuracy | 99.8% |
| Values | Daily Returns |
Tax Managed Mid Small vs. Western Asset E
Performance |
| Timeline |
| Tax Managed Mid |
| Western Asset E |
Tax-managed and Western Asset Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Tax-managed and Western Asset
The main advantage of trading using opposite Tax-managed and Western Asset positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Tax-managed 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.| Tax-managed vs. Ab High Income | Tax-managed vs. Ab High Income | Tax-managed vs. Msift High Yield | Tax-managed vs. Virtus High Yield |
| Western Asset vs. Diversified Real Asset | Western Asset vs. Fulcrum Diversified Absolute | Western Asset vs. Jhancock Diversified Macro | Western Asset vs. Madison Diversified 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 Idea Breakdown module to analyze constituents of all Macroaxis ideas. Macroaxis investment ideas are predefined, sector-focused investing themes.
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