Correlation Between Calvert Moderate and Arga Emerging

Can any of the company-specific risk be diversified away by investing in both Calvert Moderate and Arga 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 Moderate and Arga Emerging 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 Arga Emerging Markets, you can compare the effects of market volatilities on Calvert Moderate and Arga 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 Moderate with a short position of Arga Emerging. Check out your portfolio center. Please also check ongoing floating volatility patterns of Calvert Moderate and Arga Emerging.

Diversification Opportunities for Calvert Moderate and Arga Emerging

0.17

Correlation Coefficient

Calvert Moderate  Arga Emerging

Average diversification

The 3 months correlation between Calvert and Arga is 0.17. Overlapping area represents the amount of risk that can be diversified away by holding Calvert Moderate Allocation and Arga Emerging Markets in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Arga Emerging Markets 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 Arga Emerging. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Arga Emerging Markets has no effect on the direction of Calvert Moderate i.e., Calvert Moderate and Arga Emerging go up and down completely randomly.

Pair Corralation between Calvert Moderate and Arga Emerging

Assuming the 90 days horizon Calvert Moderate Allocation is expected to under-perform the Arga Emerging. But the mutual fund apears to be less risky and, when comparing its historical volatility, Calvert Moderate Allocation is 1.6 times less risky than Arga Emerging. The mutual fund trades about -0.01 of its potential returns per unit of risk. The Arga Emerging Markets is currently generating about 0.18 of returns per unit of risk over similar time horizon. If you would invest  1,022  in Arga Emerging Markets on December 20, 2024 and sell it today you would earn a total of  106.00  from holding Arga Emerging Markets or generate 10.37% return on investment over 90 days.

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

Calvert Moderate Allocation  vs.  Arga Emerging Markets

Calvert Moderate All

Risk-Adjusted Performance

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 fundamental indicators, Calvert Moderate is not utilizing all of its potentials. The current stock price disturbance, may contribute to short-term losses for the investors.

Arga Emerging Markets

Risk-Adjusted Performance

Good

Compared to the overall equity markets, risk-adjusted returns on investments in Arga Emerging Markets are ranked lower than 14 (%) of all funds and portfolios of funds over the last 90 days. In spite of fairly weak forward indicators, Arga Emerging may actually be approaching a critical reversion point that can send shares even higher in April 2025.

Pair Trading with Calvert Moderate and Arga Emerging

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

The idea behind Calvert Moderate Allocation and Arga 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 Performance Analysis module to check effects of mean-variance optimization against your current asset allocation.