Correlation Between Calvert Long-term and Calvert Developed

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

By analyzing existing cross correlation between Calvert Long Term Income and Calvert Developed Market, you can compare the effects of market volatilities on Calvert Long-term and Calvert Developed 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 Long-term with a short position of Calvert Developed. Check out your portfolio center. Please also check ongoing floating volatility patterns of Calvert Long-term and Calvert Developed.

Diversification Opportunities for Calvert Long-term and Calvert Developed

0.6

Correlation Coefficient

Calvert Long-term  Calvert Developed

Poor diversification

The 3 months correlation between Calvert and Calvert is 0.6. Overlapping area represents the amount of risk that can be diversified away by holding Calvert Long Term Income and Calvert Developed Market in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Calvert Developed Market and Calvert Long-term 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 Long Term Income are associated (or correlated) with Calvert Developed. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Calvert Developed Market has no effect on the direction of Calvert Long-term i.e., Calvert Long-term and Calvert Developed go up and down completely randomly.

Pair Corralation between Calvert Long-term and Calvert Developed

Assuming the 90 days horizon Calvert Long Term Income is expected to under-perform the Calvert Developed. But the mutual fund apears to be less risky and, when comparing its historical volatility, Calvert Long Term Income is 2.49 times less risky than Calvert Developed. The mutual fund trades about -0.44 of its potential returns per unit of risk. The Calvert Developed Market is currently generating about -0.15 of returns per unit of risk over similar time horizon. If you would invest  3,037  in Calvert Developed Market on October 13, 2024 and sell it today you would lose (62.00) from holding Calvert Developed Market or give up 2.04% of portfolio value over 90 days.

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

Calvert Long Term Income  vs.  Calvert Developed Market

Calvert Long Term

Risk-Adjusted Performance

0 of 100

Very Weak

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

Calvert Developed Market

Risk-Adjusted Performance

0 of 100

Very Weak

Over the last 90 days Calvert Developed Market has generated negative risk-adjusted returns adding no value to fund investors. In spite of fairly strong forward indicators, Calvert Developed 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 Long-term and Calvert Developed

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

The idea behind Calvert Long Term Income and Calvert Developed 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 Sync Your Broker module to sync your existing holdings, watchlists, positions or portfolios from thousands of online brokerage services, banks, investment account aggregators and robo-advisors..