Correlation Between Calvert Short and Aqr Diversified

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

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

Diversification Opportunities for Calvert Short and Aqr Diversified

0.48

Correlation Coefficient

Calvert Short  Aqr Diversified

Very weak diversification

The 3 months correlation between Calvert and Aqr is 0.48. Overlapping area represents the amount of risk that can be diversified away by holding Calvert Short Duration and Aqr Diversified Arbitrage in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Aqr Diversified Arbitrage and Calvert Short 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 Short Duration are associated (or correlated) with Aqr Diversified. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Aqr Diversified Arbitrage has no effect on the direction of Calvert Short i.e., Calvert Short and Aqr Diversified go up and down completely randomly.

Pair Corralation between Calvert Short and Aqr Diversified

Assuming the 90 days horizon Calvert Short Duration is expected to generate 0.78 times more return on investment than Aqr Diversified. However, Calvert Short Duration is 1.29 times less risky than Aqr Diversified. It trades about -0.01 of its potential returns per unit of risk. Aqr Diversified Arbitrage is currently generating about -0.08 per unit of risk. If you would invest  1,559  in Calvert Short Duration on September 5, 2024 and sell it today you would lose (1.00) from holding Calvert Short Duration or give up 0.06% of portfolio value over 90 days.

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

Calvert Short Duration  vs.  Aqr Diversified Arbitrage

Calvert Short Duration

Risk-Adjusted Performance

0 of 100

Very Weak

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

Aqr Diversified Arbitrage

Risk-Adjusted Performance

0 of 100

Very Weak

Over the last 90 days Aqr Diversified Arbitrage has generated negative risk-adjusted returns adding no value to fund investors. In spite of fairly strong forward indicators, Aqr Diversified 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 Short and Aqr Diversified

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

The idea behind Calvert Short Duration and Aqr Diversified Arbitrage 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 Companies Directory module to evaluate performance of over 100,000 Stocks, Funds, and ETFs against different fundamentals.