Correlation Between Calvert Aggressive and Sextant Growth

Can any of the company-specific risk be diversified away by investing in both Calvert Aggressive and Sextant Growth 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 Sextant Growth 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 Sextant Growth Fund, you can compare the effects of market volatilities on Calvert Aggressive and Sextant Growth 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 Sextant Growth. Check out your portfolio center. Please also check ongoing floating volatility patterns of Calvert Aggressive and Sextant Growth.

Diversification Opportunities for Calvert Aggressive and Sextant Growth

0.6

Correlation Coefficient

Calvert Aggressive  Sextant Growth

Poor diversification

The 3 months correlation between Calvert and Sextant is 0.6. Overlapping area represents the amount of risk that can be diversified away by holding Calvert Aggressive Allocation and Sextant Growth Fund in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Sextant Growth 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 Sextant Growth. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Sextant Growth has no effect on the direction of Calvert Aggressive i.e., Calvert Aggressive and Sextant Growth go up and down completely randomly.

Pair Corralation between Calvert Aggressive and Sextant Growth

Assuming the 90 days horizon Calvert Aggressive Allocation is expected to generate 0.66 times more return on investment than Sextant Growth. However, Calvert Aggressive Allocation is 1.53 times less risky than Sextant Growth. It trades about -0.08 of its potential returns per unit of risk. Sextant Growth Fund is currently generating about -0.12 per unit of risk. If you would invest  2,818  in Calvert Aggressive Allocation on December 4, 2024 and sell it today you would lose (99.00) from holding Calvert Aggressive Allocation or give up 3.51% of portfolio value over 90 days.

Time Period	3 Months [change]
Direction	Moves Together
Strength	Significant
Accuracy	98.33%
Values	Daily Returns

Calvert Aggressive Allocation  vs.  Sextant Growth Fund

Calvert Aggressive

Risk-Adjusted Performance

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 forward indicators, Calvert Aggressive is not utilizing all of its potentials. The current stock price disturbance, may contribute to short-term losses for the investors.

Sextant Growth

Risk-Adjusted Performance

Very Weak

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

Pair Trading with Calvert Aggressive and Sextant Growth

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

The idea behind Calvert Aggressive Allocation and Sextant Growth Fund 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.

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 Money Flow Index module to determine momentum by analyzing Money Flow Index and other technical indicators.