Correlation Between Calvert Aggressive and T Rowe

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

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

Diversification Opportunities for Calvert Aggressive and T Rowe

0.39

Correlation Coefficient

Calvert Aggressive  T Rowe

Weak diversification

The 3 months correlation between Calvert and TRBCX is 0.39. Overlapping area represents the amount of risk that can be diversified away by holding Calvert Aggressive Allocation and T Rowe Price in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on T Rowe Price and Calvert Aggressive 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 Calvert Aggressive Allocation are associated (or correlated) with T Rowe. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of T Rowe Price has no effect on the direction of Calvert Aggressive i.e., Calvert Aggressive and T Rowe go up and down completely randomly.

Pair Corralation between Calvert Aggressive and T Rowe

Assuming the 90 days horizon Calvert Aggressive is expected to generate 3.09 times less return on investment than T Rowe. But when comparing it to its historical volatility, Calvert Aggressive Allocation is 1.57 times less risky than T Rowe. It trades about 0.07 of its potential returns per unit of risk. T Rowe Price is currently generating about 0.13 of returns per unit of risk over similar time horizon. If you would invest  9,990  in T Rowe Price on October 5, 2024 and sell it today you would earn a total of  8,628  from holding T Rowe Price or generate 86.37% return on investment over 90 days.

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

Calvert Aggressive Allocation  vs.  T Rowe Price

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.

T Rowe Price

Risk-Adjusted Performance

8 of 100

OK

Compared to the overall equity markets, risk-adjusted returns on investments in T Rowe Price are ranked lower than 8 (%) of all funds and portfolios of funds over the last 90 days. In spite of fairly weak fundamental indicators, T Rowe may actually be approaching a critical reversion point that can send shares even higher in February 2025.

Pair Trading with Calvert Aggressive and T Rowe

The main advantage of trading using opposite Calvert Aggressive and T Rowe positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Calvert Aggressive position performs unexpectedly, T Rowe 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 T Rowe will offset losses from the drop in T Rowe's long position.

The idea behind Calvert Aggressive Allocation and T Rowe Price 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 Backtesting module to avoid under-diversification and over-optimization by backtesting your portfolios.