Correlation Between Calvert Moderate and Davis New

Can any of the company-specific risk be diversified away by investing in both Calvert Moderate and Davis New 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 Davis New 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 Davis New York, you can compare the effects of market volatilities on Calvert Moderate and Davis New 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 Davis New. Check out your portfolio center. Please also check ongoing floating volatility patterns of Calvert Moderate and Davis New.

Diversification Opportunities for Calvert Moderate and Davis New

0.75

Correlation Coefficient

Calvert Moderate  Davis New

Poor diversification

The 3 months correlation between Calvert and Davis is 0.75. Overlapping area represents the amount of risk that can be diversified away by holding Calvert Moderate Allocation and Davis New York in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Davis New York 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 Davis New. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Davis New York has no effect on the direction of Calvert Moderate i.e., Calvert Moderate and Davis New go up and down completely randomly.

Pair Corralation between Calvert Moderate and Davis New

Assuming the 90 days horizon Calvert Moderate Allocation is expected to under-perform the Davis New. But the mutual fund apears to be less risky and, when comparing its historical volatility, Calvert Moderate Allocation is 1.53 times less risky than Davis New. The mutual fund trades about -0.01 of its potential returns per unit of risk. The Davis New York is currently generating about 0.06 of returns per unit of risk over similar time horizon. If you would invest  1,988  in Davis New York on December 20, 2024 and sell it today you would earn a total of  65.00  from holding Davis New York or generate 3.27% return on investment over 90 days.

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

Calvert Moderate Allocation  vs.  Davis New York

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.

Davis New York

Risk-Adjusted Performance

Insignificant

Compared to the overall equity markets, risk-adjusted returns on investments in Davis New York are ranked lower than 4 (%) of all funds and portfolios of funds over the last 90 days. In spite of fairly strong fundamental indicators, Davis New 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 Davis New

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

The idea behind Calvert Moderate Allocation and Davis New York 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 Ceiling Movement module to calculate and plot Price Ceiling Movement for different equity instruments.