Correlation Between Aqr Large and Calvert Aggressive

Can any of the company-specific risk be diversified away by investing in both Aqr Large and Calvert Aggressive 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 Aqr Large and Calvert Aggressive into the same portfolio, which is an essential part of the fundamental portfolio management process.

By analyzing existing cross correlation between Aqr Large Cap and Calvert Aggressive Allocation, you can compare the effects of market volatilities on Aqr Large and Calvert Aggressive 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 Aqr Large with a short position of Calvert Aggressive. Check out your portfolio center. Please also check ongoing floating volatility patterns of Aqr Large and Calvert Aggressive.

Diversification Opportunities for Aqr Large and Calvert Aggressive

0.55

Correlation Coefficient

Aqr Large  Calvert Aggressive

Very weak diversification

The 3 months correlation between Aqr and Calvert is 0.55. Overlapping area represents the amount of risk that can be diversified away by holding Aqr Large Cap and Calvert Aggressive Allocation in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Calvert Aggressive and Aqr Large 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 Aqr Large Cap are associated (or correlated) with Calvert Aggressive. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Calvert Aggressive has no effect on the direction of Aqr Large i.e., Aqr Large and Calvert Aggressive go up and down completely randomly.

Pair Corralation between Aqr Large and Calvert Aggressive

Assuming the 90 days horizon Aqr Large Cap is expected to under-perform the Calvert Aggressive. In addition to that, Aqr Large is 4.39 times more volatile than Calvert Aggressive Allocation. It trades about -0.21 of its total potential returns per unit of risk. Calvert Aggressive Allocation is currently generating about -0.08 per unit of volatility. If you would invest  2,806  in Calvert Aggressive Allocation on September 25, 2024 and sell it today you would lose (32.00) from holding Calvert Aggressive Allocation or give up 1.14% of portfolio value over 90 days.

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

Aqr Large Cap  vs.  Calvert Aggressive Allocation

Aqr Large Cap

Risk-Adjusted Performance

0 of 100

Very Weak

Over the last 90 days Aqr Large Cap has generated negative risk-adjusted returns adding no value to fund investors. In spite of latest weak performance, the Fund's basic indicators remain strong and the current disturbance on Wall Street may also be a sign of long term gains for the fund investors.

Calvert Aggressive

Risk-Adjusted Performance

0 of 100

Very Weak

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

Pair Trading with Aqr Large and Calvert Aggressive

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

The idea behind Aqr Large Cap and Calvert Aggressive Allocation 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 Instant Ratings module to determine any equity ratings based on digital recommendations. Macroaxis instant equity ratings are based on combination of fundamental analysis and risk-adjusted market performance.