Correlation Between Calvert Moderate and Ultra Short

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

Diversification Opportunities for Calvert Moderate and Ultra Short

0.23

Correlation Coefficient

Calvert Moderate  Ultra Short

Modest diversification

The 3 months correlation between Calvert and Ultra is 0.23. Overlapping area represents the amount of risk that can be diversified away by holding Calvert Moderate Allocation and Ultra Short Fixed Income in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Ultra Short Fixed 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 Ultra Short. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Ultra Short Fixed has no effect on the direction of Calvert Moderate i.e., Calvert Moderate and Ultra Short go up and down completely randomly.

Pair Corralation between Calvert Moderate and Ultra Short

Assuming the 90 days horizon Calvert Moderate Allocation is expected to under-perform the Ultra Short. In addition to that, Calvert Moderate is 6.77 times more volatile than Ultra Short Fixed Income. It trades about -0.02 of its total potential returns per unit of risk. Ultra Short Fixed Income is currently generating about 0.2 per unit of volatility. If you would invest  1,021  in Ultra Short Fixed Income on December 22, 2024 and sell it today you would earn a total of  11.00  from holding Ultra Short Fixed Income or generate 1.08% return on investment over 90 days.

Time Period	3 Months [change]
Direction	Moves Together
Strength	Very Weak
Accuracy	98.36%
Values	Daily Returns

Calvert Moderate Allocation  vs.  Ultra Short Fixed Income

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.

Ultra Short Fixed

Risk-Adjusted Performance

Good

Compared to the overall equity markets, risk-adjusted returns on investments in Ultra Short Fixed Income are ranked lower than 15 (%) of all funds and portfolios of funds over the last 90 days. In spite of fairly strong technical and fundamental indicators, Ultra Short 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 Ultra Short

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

The idea behind Calvert Moderate Allocation and Ultra Short Fixed Income 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 Alpha Finder module to use alpha and beta coefficients to find investment opportunities after accounting for the risk.