Correlation Between Calvert Conservative and Aqr Equity

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

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

Diversification Opportunities for Calvert Conservative and Aqr Equity

0.64

Correlation Coefficient

Calvert Conservative  Aqr Equity

Poor diversification

The 3 months correlation between Calvert and AQR is 0.64. Overlapping area represents the amount of risk that can be diversified away by holding Calvert Conservative Allocatio and Aqr Equity Market in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Aqr Equity Market and Calvert Conservative 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 Conservative Allocation are associated (or correlated) with Aqr Equity. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Aqr Equity Market has no effect on the direction of Calvert Conservative i.e., Calvert Conservative and Aqr Equity go up and down completely randomly.

Pair Corralation between Calvert Conservative and Aqr Equity

Assuming the 90 days horizon Calvert Conservative is expected to generate 7.87 times less return on investment than Aqr Equity. But when comparing it to its historical volatility, Calvert Conservative Allocation is 1.04 times less risky than Aqr Equity. It trades about 0.05 of its potential returns per unit of risk. Aqr Equity Market is currently generating about 0.4 of returns per unit of risk over similar time horizon. If you would invest  1,002  in Aqr Equity Market on December 28, 2024 and sell it today you would earn a total of  95.00  from holding Aqr Equity Market or generate 9.48% return on investment over 90 days.

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

Calvert Conservative Allocatio  vs.  Aqr Equity Market

Calvert Conservative

Risk-Adjusted Performance

Insignificant

Compared to the overall equity markets, risk-adjusted returns on investments in Calvert Conservative Allocation are ranked lower than 4 (%) of all funds and portfolios of funds over the last 90 days. In spite of fairly strong forward indicators, Calvert Conservative is not utilizing all of its potentials. The current stock price disturbance, may contribute to short-term losses for the investors.

Aqr Equity Market

Risk-Adjusted Performance

Very Strong

Compared to the overall equity markets, risk-adjusted returns on investments in Aqr Equity Market are ranked lower than 31 (%) of all funds and portfolios of funds over the last 90 days. In spite of fairly weak forward indicators, Aqr Equity may actually be approaching a critical reversion point that can send shares even higher in April 2025.

Pair Trading with Calvert Conservative and Aqr Equity

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

The idea behind Calvert Conservative Allocation and Aqr Equity Market 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 Analyzer module to portfolio analysis module that provides access to portfolio diagnostics and optimization engine.