Correlation Between Calvert Moderate and Calvert Conservative

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

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

Diversification Opportunities for Calvert Moderate and Calvert Conservative

0.86

Correlation Coefficient

Calvert Moderate  Calvert Conservative

Very poor diversification

The 3 months correlation between Calvert and Calvert is 0.86. Overlapping area represents the amount of risk that can be diversified away by holding Calvert Moderate Allocation and Calvert Conservative Allocatio in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Calvert Conservative and Calvert Moderate 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 Moderate Allocation are associated (or correlated) with Calvert Conservative. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Calvert Conservative has no effect on the direction of Calvert Moderate i.e., Calvert Moderate and Calvert Conservative go up and down completely randomly.

Pair Corralation between Calvert Moderate and Calvert Conservative

Assuming the 90 days horizon Calvert Moderate Allocation is expected to under-perform the Calvert Conservative. In addition to that, Calvert Moderate is 1.38 times more volatile than Calvert Conservative Allocation. It trades about -0.18 of its total potential returns per unit of risk. Calvert Conservative Allocation is currently generating about -0.19 per unit of volatility. If you would invest  1,831  in Calvert Conservative Allocation on September 24, 2024 and sell it today you would lose (28.00) from holding Calvert Conservative Allocation or give up 1.53% of portfolio value over 90 days.

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

Calvert Moderate Allocation  vs.  Calvert Conservative Allocatio

Calvert Moderate All

Risk-Adjusted Performance

0 of 100

Very Weak

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

Calvert Conservative

Risk-Adjusted Performance

0 of 100

Very Weak

Over the last 90 days Calvert Conservative Allocation has generated negative risk-adjusted returns adding no value to fund investors. 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.

Pair Trading with Calvert Moderate and Calvert Conservative

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

The idea behind Calvert Moderate Allocation and Calvert Conservative Allocation 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 Price Exposure Probability module to analyze equity upside and downside potential for a given time horizon across multiple markets.