Correlation Between Calvert Moderate and Old Westbury
Can any of the company-specific risk be diversified away by investing in both Calvert Moderate and Old Westbury 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 Old Westbury 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 Old Westbury Large, you can compare the effects of market volatilities on Calvert Moderate and Old Westbury 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 Old Westbury. Check out your portfolio center. Please also check ongoing floating volatility patterns of Calvert Moderate and Old Westbury.
Diversification Opportunities for Calvert Moderate and Old Westbury
0.79 | Correlation Coefficient |
Poor diversification
The 3 months correlation between Calvert and Old is 0.79. Overlapping area represents the amount of risk that can be diversified away by holding Calvert Moderate Allocation and Old Westbury Large in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Old Westbury Large 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 Old Westbury. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Old Westbury Large has no effect on the direction of Calvert Moderate i.e., Calvert Moderate and Old Westbury go up and down completely randomly.
Pair Corralation between Calvert Moderate and Old Westbury
Assuming the 90 days horizon Calvert Moderate Allocation is expected to generate 0.37 times more return on investment than Old Westbury. However, Calvert Moderate Allocation is 2.7 times less risky than Old Westbury. It trades about -0.17 of its potential returns per unit of risk. Old Westbury Large is currently generating about -0.19 per unit of risk. If you would invest 2,122 in Calvert Moderate Allocation on September 25, 2024 and sell it today you would lose (39.00) from holding Calvert Moderate Allocation or give up 1.84% of portfolio value over 90 days.
Time Period | 3 Months [change] |
Direction | Moves Together |
Strength | Significant |
Accuracy | 100.0% |
Values | Daily Returns |
Calvert Moderate Allocation vs. Old Westbury Large
Performance |
Timeline |
Calvert Moderate All |
Old Westbury Large |
Calvert Moderate and Old Westbury Volatility Contrast
Predicted Return Density |
Returns |
Pair Trading with Calvert Moderate and Old Westbury
The main advantage of trading using opposite Calvert Moderate and Old Westbury positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Calvert Moderate position performs unexpectedly, Old Westbury 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 Old Westbury will offset losses from the drop in Old Westbury's long position.Calvert Moderate vs. T Rowe Price | Calvert Moderate vs. Jhancock Diversified Macro | Calvert Moderate vs. Western Asset Diversified | Calvert Moderate vs. American Century Diversified |
Old Westbury vs. Sa Worldwide Moderate | Old Westbury vs. College Retirement Equities | Old Westbury vs. Calvert Moderate Allocation | Old Westbury vs. Jpmorgan Smartretirement 2035 |
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 Portfolio Volatility module to check portfolio volatility and analyze historical return density to properly model market risk.
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