Correlation Between Calvert Moderate and Intermediate-term

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

Diversification Opportunities for Calvert Moderate and Intermediate-term

0.63

Correlation Coefficient

Calvert Moderate  Intermediate-term

Poor diversification

The 3 months correlation between Calvert and Intermediate-term is 0.63. Overlapping area represents the amount of risk that can be diversified away by holding Calvert Moderate Allocation and Intermediate Term Tax Free Bon in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Intermediate Term Tax 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 Intermediate-term. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Intermediate Term Tax has no effect on the direction of Calvert Moderate i.e., Calvert Moderate and Intermediate-term go up and down completely randomly.

Pair Corralation between Calvert Moderate and Intermediate-term

Assuming the 90 days horizon Calvert Moderate Allocation is expected to under-perform the Intermediate-term. In addition to that, Calvert Moderate is 3.54 times more volatile than Intermediate Term Tax Free Bond. It trades about -0.32 of its total potential returns per unit of risk. Intermediate Term Tax Free Bond is currently generating about -0.34 per unit of volatility. If you would invest  1,087  in Intermediate Term Tax Free Bond on October 9, 2024 and sell it today you would lose (15.00) from holding Intermediate Term Tax Free Bond or give up 1.38% 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.  Intermediate Term Tax Free Bon

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.

Intermediate Term Tax

Risk-Adjusted Performance

0 of 100

Very Weak

Over the last 90 days Intermediate Term Tax Free Bond has generated negative risk-adjusted returns adding no value to fund investors. In spite of fairly strong fundamental indicators, Intermediate-term 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 Intermediate-term

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

The idea behind Calvert Moderate Allocation and Intermediate Term Tax Free 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.

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 Financial Widgets module to easily integrated Macroaxis content with over 30 different plug-and-play financial widgets.