Correlation Between Nuveen Intermediate and Vanguard Intermediate-ter

Can any of the company-specific risk be diversified away by investing in both Nuveen Intermediate and Vanguard Intermediate-ter 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 Vanguard Intermediate-ter 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 Vanguard Intermediate Term Tax Exempt, you can compare the effects of market volatilities on Nuveen Intermediate and Vanguard Intermediate-ter 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 Vanguard Intermediate-ter. Check out your portfolio center. Please also check ongoing floating volatility patterns of Nuveen Intermediate and Vanguard Intermediate-ter.

Diversification Opportunities for Nuveen Intermediate and Vanguard Intermediate-ter

0.86

Correlation Coefficient

Nuveen Intermediate  Vanguard Intermediate-ter

Very poor diversification

The 3 months correlation between Nuveen and Vanguard is 0.86. Overlapping area represents the amount of risk that can be diversified away by holding Nuveen Intermediate Duration and Vanguard Intermediate Term Tax in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Vanguard Intermediate-ter 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 Vanguard Intermediate-ter. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Vanguard Intermediate-ter has no effect on the direction of Nuveen Intermediate i.e., Nuveen Intermediate and Vanguard Intermediate-ter go up and down completely randomly.

Pair Corralation between Nuveen Intermediate and Vanguard Intermediate-ter

Assuming the 90 days horizon Nuveen Intermediate is expected to generate 63.5 times less return on investment than Vanguard Intermediate-ter. In addition to that, Nuveen Intermediate is 1.16 times more volatile than Vanguard Intermediate Term Tax Exempt. It trades about 0.0 of its total potential returns per unit of risk. Vanguard Intermediate Term Tax Exempt is currently generating about 0.07 per unit of volatility. If you would invest  1,365  in Vanguard Intermediate Term Tax Exempt on September 4, 2024 and sell it today you would earn a total of  11.00  from holding Vanguard Intermediate Term Tax Exempt or generate 0.81% return on investment over 90 days.

Time Period	3 Months [change]
Direction	Moves Together
Strength	Strong
Accuracy	100.0%
Values	Daily Returns

Nuveen Intermediate Duration  vs.  Vanguard Intermediate Term Tax

Nuveen Intermediate

Risk-Adjusted Performance

0 of 100

Very Weak

Over the last 90 days Nuveen Intermediate Duration has generated negative risk-adjusted returns adding no value to fund investors. In spite of fairly strong fundamental indicators, Nuveen Intermediate is not utilizing all of its potentials. The current stock price disturbance, may contribute to short-term losses for the investors.

Vanguard Intermediate-ter

Risk-Adjusted Performance

5 of 100

Modest

Compared to the overall equity markets, risk-adjusted returns on investments in Vanguard Intermediate Term Tax Exempt are ranked lower than 5 (%) of all funds and portfolios of funds over the last 90 days. In spite of fairly strong basic indicators, Vanguard Intermediate-ter is not utilizing all of its potentials. The current stock price disturbance, may contribute to short-term losses for the investors.

Pair Trading with Nuveen Intermediate and Vanguard Intermediate-ter

The main advantage of trading using opposite Nuveen Intermediate and Vanguard Intermediate-ter positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Nuveen Intermediate position performs unexpectedly, Vanguard Intermediate-ter 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 Vanguard Intermediate-ter will offset losses from the drop in Vanguard Intermediate-ter's long position.

The idea behind Nuveen Intermediate Duration and Vanguard Intermediate Term Tax Exempt 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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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 Equity Search module to search for actively traded equities including funds and ETFs from over 30 global markets.