Correlation Between Calvert Moderate and Tiaa-cref Equity

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

Diversification Opportunities for Calvert Moderate and Tiaa-cref Equity

0.48

Correlation Coefficient

Calvert Moderate  Tiaa-cref Equity

Very weak diversification

The 3 months correlation between Calvert and Tiaa-cref is 0.48. Overlapping area represents the amount of risk that can be diversified away by holding Calvert Moderate Allocation and Tiaa Cref Equity Index in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Tiaa Cref Equity 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 Tiaa-cref Equity. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Tiaa Cref Equity has no effect on the direction of Calvert Moderate i.e., Calvert Moderate and Tiaa-cref Equity go up and down completely randomly.

Pair Corralation between Calvert Moderate and Tiaa-cref Equity

Assuming the 90 days horizon Calvert Moderate Allocation is expected to under-perform the Tiaa-cref Equity. But the mutual fund apears to be less risky and, when comparing its historical volatility, Calvert Moderate Allocation is 1.35 times less risky than Tiaa-cref Equity. The mutual fund trades about -0.3 of its potential returns per unit of risk. The Tiaa Cref Equity Index is currently generating about -0.13 of returns per unit of risk over similar time horizon. If you would invest  4,243  in Tiaa Cref Equity Index on October 10, 2024 and sell it today you would lose (115.00) from holding Tiaa Cref Equity Index or give up 2.71% of portfolio value over 90 days.

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

Calvert Moderate Allocation  vs.  Tiaa Cref Equity Index

Calvert Moderate All

Risk-Adjusted Performance

0 of 100

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.

Tiaa Cref Equity

Risk-Adjusted Performance

4 of 100

Insignificant

Compared to the overall equity markets, risk-adjusted returns on investments in Tiaa Cref Equity Index are ranked lower than 4 (%) of all funds and portfolios of funds over the last 90 days. In spite of fairly strong technical indicators, Tiaa-cref Equity 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 Tiaa-cref Equity

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

The idea behind Calvert Moderate Allocation and Tiaa Cref Equity Index 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 Premium Stories module to follow Macroaxis premium stories from verified contributors across different equity types, categories and coverage scope.