Correlation Between Calvert Global and First Trust
Can any of the company-specific risk be diversified away by investing in both Calvert Global and First Trust 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 Global and First Trust into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Calvert Global Water and First Trust Water, you can compare the effects of market volatilities on Calvert Global and First Trust 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 Global with a short position of First Trust. Check out your portfolio center. Please also check ongoing floating volatility patterns of Calvert Global and First Trust.
Diversification Opportunities for Calvert Global and First Trust
0.73 | Correlation Coefficient |
Poor diversification
The 3 months correlation between Calvert and First is 0.73. Overlapping area represents the amount of risk that can be diversified away by holding Calvert Global Water and First Trust Water in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on First Trust Water and Calvert Global 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 Global Water are associated (or correlated) with First Trust. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of First Trust Water has no effect on the direction of Calvert Global i.e., Calvert Global and First Trust go up and down completely randomly.
Pair Corralation between Calvert Global and First Trust
Assuming the 90 days horizon Calvert Global Water is expected to under-perform the First Trust. In addition to that, Calvert Global is 1.02 times more volatile than First Trust Water. It trades about -0.01 of its total potential returns per unit of risk. First Trust Water is currently generating about 0.05 per unit of volatility. If you would invest 9,344 in First Trust Water on September 27, 2024 and sell it today you would earn a total of 989.00 from holding First Trust Water or generate 10.58% return on investment over 90 days.
Time Period | 3 Months [change] |
Direction | Moves Together |
Strength | Significant |
Accuracy | 100.0% |
Values | Daily Returns |
Calvert Global Water vs. First Trust Water
Performance |
Timeline |
Calvert Global Water |
First Trust Water |
Calvert Global and First Trust Volatility Contrast
Predicted Return Density |
Returns |
Pair Trading with Calvert Global and First Trust
The main advantage of trading using opposite Calvert Global and First Trust positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Calvert Global position performs unexpectedly, First Trust 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 First Trust will offset losses from the drop in First Trust's long position.Calvert Global vs. Calvert Large Cap | Calvert Global vs. Calvert Global Energy | Calvert Global vs. Calvert Small Cap |
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 Bonds Directory module to find actively traded corporate debentures issued by US companies.
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