Correlation Between Calvert Moderate and Prudential Corporate

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

Diversification Opportunities for Calvert Moderate and Prudential Corporate

0.16

Correlation Coefficient

Calvert Moderate  Prudential Corporate

Average diversification

The 3 months correlation between Calvert and Prudential is 0.16. Overlapping area represents the amount of risk that can be diversified away by holding Calvert Moderate Allocation and Prudential Porate Bond in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Prudential Porate Bond 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 Prudential Corporate. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Prudential Porate Bond has no effect on the direction of Calvert Moderate i.e., Calvert Moderate and Prudential Corporate go up and down completely randomly.

Pair Corralation between Calvert Moderate and Prudential Corporate

Assuming the 90 days horizon Calvert Moderate Allocation is expected to under-perform the Prudential Corporate. In addition to that, Calvert Moderate is 1.95 times more volatile than Prudential Porate Bond. It trades about -0.03 of its total potential returns per unit of risk. Prudential Porate Bond is currently generating about 0.13 per unit of volatility. If you would invest  976.00  in Prudential Porate Bond on December 23, 2024 and sell it today you would earn a total of  24.00  from holding Prudential Porate Bond or generate 2.46% return on investment over 90 days.

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

Calvert Moderate Allocation  vs.  Prudential Porate Bond

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.

Prudential Porate Bond

Risk-Adjusted Performance

OK

Compared to the overall equity markets, risk-adjusted returns on investments in Prudential Porate Bond are ranked lower than 10 (%) of all funds and portfolios of funds over the last 90 days. In spite of fairly strong fundamental drivers, Prudential Corporate 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 Prudential Corporate

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

The idea behind Calvert Moderate Allocation and Prudential Porate Bond 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 My Watchlist Analysis module to analyze my current watchlist and to refresh optimization strategy. Macroaxis watchlist is based on self-learning algorithm to remember stocks you like.