Correlation Between Calvert Moderate and Aqr Equity

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

Diversification Opportunities for Calvert Moderate and Aqr Equity

0.32

Correlation Coefficient

Calvert Moderate  Aqr Equity

Weak diversification

The 3 months correlation between Calvert and Aqr is 0.32. Overlapping area represents the amount of risk that can be diversified away by holding Calvert Moderate Allocation and Aqr Equity Market in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Aqr Equity Market 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 Aqr Equity. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Aqr Equity Market has no effect on the direction of Calvert Moderate i.e., Calvert Moderate and Aqr Equity go up and down completely randomly.

Pair Corralation between Calvert Moderate and Aqr Equity

Assuming the 90 days horizon Calvert Moderate Allocation is expected to under-perform the Aqr Equity. In addition to that, Calvert Moderate is 1.6 times more volatile than Aqr Equity Market. It trades about -0.01 of its total potential returns per unit of risk. Aqr Equity Market is currently generating about 0.38 per unit of volatility. If you would invest  1,009  in Aqr Equity Market on December 20, 2024 and sell it today you would earn a total of  88.00  from holding Aqr Equity Market or generate 8.72% return on investment over 90 days.

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

Calvert Moderate Allocation  vs.  Aqr Equity Market

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.

Aqr Equity Market

Risk-Adjusted Performance

Strong

Compared to the overall equity markets, risk-adjusted returns on investments in Aqr Equity Market are ranked lower than 29 (%) of all funds and portfolios of funds over the last 90 days. In spite of fairly weak basic indicators, Aqr Equity may actually be approaching a critical reversion point that can send shares even higher in April 2025.

Pair Trading with Calvert Moderate and Aqr Equity

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

The idea behind Calvert Moderate Allocation and Aqr Equity 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.

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 Earnings Calls module to check upcoming earnings announcements updated hourly across public exchanges.