Correlation Between Western Asset and Short Duration
Can any of the company-specific risk be diversified away by investing in both Western Asset and Short Duration 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 Western Asset and Short Duration into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Western Asset Municipal and Short Duration Plus, you can compare the effects of market volatilities on Western Asset and Short Duration 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 Western Asset with a short position of Short Duration. Check out your portfolio center. Please also check ongoing floating volatility patterns of Western Asset and Short Duration.
Diversification Opportunities for Western Asset and Short Duration
0.76 | Correlation Coefficient |
Poor diversification
The 3 months correlation between Western and Short is 0.76. Overlapping area represents the amount of risk that can be diversified away by holding Western Asset Municipal and Short Duration Plus in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Short Duration Plus and Western Asset 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 Western Asset Municipal are associated (or correlated) with Short Duration. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Short Duration Plus has no effect on the direction of Western Asset i.e., Western Asset and Short Duration go up and down completely randomly.
Pair Corralation between Western Asset and Short Duration
If you would invest 723.00 in Western Asset Municipal on September 1, 2024 and sell it today you would earn a total of 6.00 from holding Western Asset Municipal or generate 0.83% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Significant |
| Accuracy | 4.76% |
| Values | Daily Returns |
Western Asset Municipal vs. Short Duration Plus
Performance |
| Timeline |
| Western Asset Municipal |
| Short Duration Plus |
Risk-Adjusted Performance
0 of 100
Weak | Strong |
Very Weak
Western Asset and Short Duration Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Western Asset and Short Duration
The main advantage of trading using opposite Western Asset and Short Duration positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Western Asset position performs unexpectedly, Short Duration 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 Short Duration will offset losses from the drop in Short Duration's long position.| Western Asset vs. Lord Abbett Diversified | Western Asset vs. Blackrock Conservative Prprdptfinstttnl | Western Asset vs. Pioneer Diversified High | Western Asset vs. Aqr Diversified Arbitrage |
| Short Duration vs. Volumetric Fund Volumetric | Short Duration vs. Rbb Fund | Short Duration vs. T Rowe Price | Short Duration vs. Western Asset Municipal |
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 Optimizer module to use advanced portfolio builder with pre-computed micro ideas to build optimal portfolio .
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