Correlation Between Calvert Large and Calvert Emerging

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

By analyzing existing cross correlation between Calvert Large Cap and Calvert Emerging Markets, you can compare the effects of market volatilities on Calvert Large and Calvert Emerging 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 Large with a short position of Calvert Emerging. Check out your portfolio center. Please also check ongoing floating volatility patterns of Calvert Large and Calvert Emerging.

Diversification Opportunities for Calvert Large and Calvert Emerging

-0.36

Correlation Coefficient

Calvert Large  Calvert Emerging

Very good diversification

The 3 months correlation between Calvert and Calvert is -0.36. Overlapping area represents the amount of risk that can be diversified away by holding Calvert Large Cap and Calvert Emerging Markets in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Calvert Emerging Markets and Calvert Large 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 Large Cap are associated (or correlated) with Calvert Emerging. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Calvert Emerging Markets has no effect on the direction of Calvert Large i.e., Calvert Large and Calvert Emerging go up and down completely randomly.

Pair Corralation between Calvert Large and Calvert Emerging

Assuming the 90 days horizon Calvert Large is expected to generate 1.06 times less return on investment than Calvert Emerging. But when comparing it to its historical volatility, Calvert Large Cap is 1.17 times less risky than Calvert Emerging. It trades about 0.05 of its potential returns per unit of risk. Calvert Emerging Markets is currently generating about 0.05 of returns per unit of risk over similar time horizon. If you would invest  1,523  in Calvert Emerging Markets on September 19, 2024 and sell it today you would earn a total of  165.00  from holding Calvert Emerging Markets or generate 10.83% return on investment over 90 days.

Time Period	3 Months [change]
Direction	Moves Against
Strength	Insignificant
Accuracy	99.6%
Values	Daily Returns

Calvert Large Cap  vs.  Calvert Emerging Markets

Calvert Large Cap

Risk-Adjusted Performance

0 of 100

Very Weak

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

Calvert Emerging Markets

Risk-Adjusted Performance

0 of 100

Very Weak

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

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

The idea behind Calvert Large Cap and Calvert Emerging Markets 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.