Correlation Between Calvert Developed and Invesco European

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

By analyzing existing cross correlation between Calvert Developed Market and Invesco European Growth, you can compare the effects of market volatilities on Calvert Developed and Invesco European 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 Developed with a short position of Invesco European. Check out your portfolio center. Please also check ongoing floating volatility patterns of Calvert Developed and Invesco European.

Diversification Opportunities for Calvert Developed and Invesco European

0.93

Correlation Coefficient

Calvert Developed  Invesco European

Almost no diversification

The 3 months correlation between Calvert and Invesco is 0.93. Overlapping area represents the amount of risk that can be diversified away by holding Calvert Developed Market and Invesco European Growth in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Invesco European Growth and Calvert Developed 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 Developed Market are associated (or correlated) with Invesco European. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Invesco European Growth has no effect on the direction of Calvert Developed i.e., Calvert Developed and Invesco European go up and down completely randomly.

Pair Corralation between Calvert Developed and Invesco European

Assuming the 90 days horizon Calvert Developed Market is expected to generate 0.43 times more return on investment than Invesco European. However, Calvert Developed Market is 2.31 times less risky than Invesco European. It trades about -0.35 of its potential returns per unit of risk. Invesco European Growth is currently generating about -0.27 per unit of risk. If you would invest  3,149  in Calvert Developed Market on October 4, 2024 and sell it today you would lose (209.00) from holding Calvert Developed Market or give up 6.64% of portfolio value over 90 days.

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

Calvert Developed Market  vs.  Invesco European Growth

Calvert Developed Market

Risk-Adjusted Performance

0 of 100

Very Weak

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

Invesco European Growth

Risk-Adjusted Performance

0 of 100

Very Weak

Over the last 90 days Invesco European Growth has generated negative risk-adjusted returns adding no value to fund investors. In spite of weak performance in the last few months, the Fund's basic indicators remain fairly strong which may send shares a bit higher in February 2025. The current disturbance may also be a sign of long term up-swing for the fund investors.

Pair Trading with Calvert Developed and Invesco European

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

The idea behind Calvert Developed Market and Invesco European Growth 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 Competition Analyzer module to analyze and compare many basic indicators for a group of related or unrelated entities.