Correlation Between Calvert Short and Calvert Income

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

Diversification Opportunities for Calvert Short and Calvert Income

0.92

Correlation Coefficient

Calvert Short  Calvert Income

Almost no diversification

The 3 months correlation between Calvert and Calvert is 0.92. Overlapping area represents the amount of risk that can be diversified away by holding Calvert Short Duration and Calvert Income Fund in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Calvert Income 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 Income. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Calvert Income has no effect on the direction of Calvert Short i.e., Calvert Short and Calvert Income go up and down completely randomly.

Pair Corralation between Calvert Short and Calvert Income

Assuming the 90 days horizon Calvert Short Duration is expected to generate 0.3 times more return on investment than Calvert Income. However, Calvert Short Duration is 3.3 times less risky than Calvert Income. It trades about -0.11 of its potential returns per unit of risk. Calvert Income Fund is currently generating about -0.22 per unit of risk. If you would invest  1,572  in Calvert Short Duration on September 25, 2024 and sell it today you would lose (3.00) from holding Calvert Short Duration or give up 0.19% of portfolio value over 90 days.

Time Period	3 Months [change]
Direction	Moves Together
Strength	Very Strong
Accuracy	95.24%
Values	Daily Returns

Calvert Short Duration  vs.  Calvert Income Fund

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 forward 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 Income

Risk-Adjusted Performance

0 of 100

Very Weak

Over the last 90 days Calvert Income Fund has generated negative risk-adjusted returns adding no value to fund investors. In spite of fairly strong fundamental indicators, Calvert Income 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 Income

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

The idea behind Calvert Short Duration and Calvert Income 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 Share Portfolio module to track or share privately all of your investments from the convenience of any device.