Correlation Between Nuveen Santa and Sp 500

Can any of the company-specific risk be diversified away by investing in both Nuveen Santa and Sp 500 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 Santa and Sp 500 into the same portfolio, which is an essential part of the fundamental portfolio management process.

By analyzing existing cross correlation between Nuveen Santa Barbara and Sp 500 Index, you can compare the effects of market volatilities on Nuveen Santa and Sp 500 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 Santa with a short position of Sp 500. Check out your portfolio center. Please also check ongoing floating volatility patterns of Nuveen Santa and Sp 500.

Diversification Opportunities for Nuveen Santa and Sp 500

0.67

Correlation Coefficient

Nuveen Santa  Sp 500

Poor diversification

The 3 months correlation between Nuveen and USPRX is 0.67. Overlapping area represents the amount of risk that can be diversified away by holding Nuveen Santa Barbara and Sp 500 Index in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Sp 500 Index and Nuveen Santa 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 Santa Barbara are associated (or correlated) with Sp 500. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Sp 500 Index has no effect on the direction of Nuveen Santa i.e., Nuveen Santa and Sp 500 go up and down completely randomly.

Pair Corralation between Nuveen Santa and Sp 500

Assuming the 90 days horizon Nuveen Santa is expected to generate 1.66 times less return on investment than Sp 500. But when comparing it to its historical volatility, Nuveen Santa Barbara is 1.14 times less risky than Sp 500. It trades about 0.08 of its potential returns per unit of risk. Sp 500 Index is currently generating about 0.12 of returns per unit of risk over similar time horizon. If you would invest  6,026  in Sp 500 Index on September 20, 2024 and sell it today you would earn a total of  1,545  from holding Sp 500 Index or generate 25.64% return on investment over 90 days.

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

Nuveen Santa Barbara  vs.  Sp 500 Index

Nuveen Santa Barbara

Risk-Adjusted Performance

0 of 100

Modest

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

Sp 500 Index

Risk-Adjusted Performance

7 of 100

OK

Compared to the overall equity markets, risk-adjusted returns on investments in Sp 500 Index are ranked lower than 7 (%) of all funds and portfolios of funds over the last 90 days. In spite of fairly strong basic indicators, Sp 500 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 Santa and Sp 500

The main advantage of trading using opposite Nuveen Santa and Sp 500 positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Nuveen Santa position performs unexpectedly, Sp 500 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 Sp 500 will offset losses from the drop in Sp 500's long position.

The idea behind Nuveen Santa Barbara and Sp 500 Index 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 Portfolio Volatility module to check portfolio volatility and analyze historical return density to properly model market risk.