Correlation Between Calvert Short and Calvert Floating

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

Diversification Opportunities for Calvert Short and Calvert Floating

0.23

Correlation Coefficient

Calvert Short  Calvert Floating

Modest diversification

The 3 months correlation between Calvert and Calvert is 0.23. Overlapping area represents the amount of risk that can be diversified away by holding Calvert Short Duration and Calvert Floating Rate Advantag in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Calvert Floating Rate 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 Calvert Floating. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Calvert Floating Rate has no effect on the direction of Calvert Short i.e., Calvert Short and Calvert Floating go up and down completely randomly.

Pair Corralation between Calvert Short and Calvert Floating

Assuming the 90 days horizon Calvert Short Duration is expected to generate 0.85 times more return on investment than Calvert Floating. However, Calvert Short Duration is 1.18 times less risky than Calvert Floating. It trades about 0.22 of its potential returns per unit of risk. Calvert Floating Rate Advantage is currently generating about 0.03 per unit of risk. If you would invest  1,540  in Calvert Short Duration on December 29, 2024 and sell it today you would earn a total of  25.00  from holding Calvert Short Duration or generate 1.62% return on investment over 90 days.

Time Period	3 Months [change]
Direction	Moves Together
Strength	Very Weak
Accuracy	98.39%
Values	Daily Returns

Calvert Short Duration  vs.  Calvert Floating Rate Advantag

Calvert Short Duration

Risk-Adjusted Performance

Solid

Compared to the overall equity markets, risk-adjusted returns on investments in Calvert Short Duration are ranked lower than 17 (%) of all funds and portfolios of funds over the last 90 days. 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.

Calvert Floating Rate

Risk-Adjusted Performance

Weak

Compared to the overall equity markets, risk-adjusted returns on investments in Calvert Floating Rate Advantage are ranked lower than 2 (%) of all funds and portfolios of funds over the last 90 days. In spite of fairly strong basic indicators, Calvert Floating 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 Calvert Floating

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

The idea behind Calvert Short Duration and Calvert Floating Rate Advantage 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 Bonds Directory module to find actively traded corporate debentures issued by US companies.