Correlation Between Calvert Developed and Pgim Jennison

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

Diversification Opportunities for Calvert Developed and Pgim Jennison

0.12

Correlation Coefficient

Calvert Developed  Pgim Jennison

Average diversification

The 3 months correlation between Calvert and Pgim is 0.12. Overlapping area represents the amount of risk that can be diversified away by holding Calvert Developed Market and Pgim Jennison Technology in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Pgim Jennison Technology 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 Pgim Jennison. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Pgim Jennison Technology has no effect on the direction of Calvert Developed i.e., Calvert Developed and Pgim Jennison go up and down completely randomly.

Pair Corralation between Calvert Developed and Pgim Jennison

Assuming the 90 days horizon Calvert Developed Market is expected to generate 0.43 times more return on investment than Pgim Jennison. However, Calvert Developed Market is 2.31 times less risky than Pgim Jennison. It trades about -0.15 of its potential returns per unit of risk. Pgim Jennison Technology is currently generating about -0.12 per unit of risk. If you would invest  3,037  in Calvert Developed Market on October 13, 2024 and sell it today you would lose (62.00) from holding Calvert Developed Market or give up 2.04% of portfolio value over 90 days.

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

Calvert Developed Market  vs.  Pgim Jennison Technology

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

Pgim Jennison Technology

Risk-Adjusted Performance

0 of 100

Very Weak

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

Pair Trading with Calvert Developed and Pgim Jennison

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

The idea behind Calvert Developed Market and Pgim Jennison Technology 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 Dashboard module to portfolio dashboard that provides centralized access to all your investments.