Correlation Between Calvert Large and Aqr Global

Can any of the company-specific risk be diversified away by investing in both Calvert Large and Aqr Global 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 Large and Aqr Global into the same portfolio, which is an essential part of the fundamental portfolio management process.

By analyzing existing cross correlation between Calvert Large Cap and Aqr Global Equity, you can compare the effects of market volatilities on Calvert Large and Aqr Global 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 Large with a short position of Aqr Global. Check out your portfolio center. Please also check ongoing floating volatility patterns of Calvert Large and Aqr Global.

Diversification Opportunities for Calvert Large and Aqr Global

0.27

Correlation Coefficient

Calvert Large  Aqr Global

Modest diversification

The 3 months correlation between Calvert and Aqr is 0.27. Overlapping area represents the amount of risk that can be diversified away by holding Calvert Large Cap and Aqr Global Equity in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Aqr Global Equity and Calvert Large 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 Large Cap are associated (or correlated) with Aqr Global. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Aqr Global Equity has no effect on the direction of Calvert Large i.e., Calvert Large and Aqr Global go up and down completely randomly.

Pair Corralation between Calvert Large and Aqr Global

Assuming the 90 days horizon Calvert Large is expected to generate 5.9 times less return on investment than Aqr Global. But when comparing it to its historical volatility, Calvert Large Cap is 11.72 times less risky than Aqr Global. It trades about 0.23 of its potential returns per unit of risk. Aqr Global Equity is currently generating about 0.12 of returns per unit of risk over similar time horizon. If you would invest  1,052  in Aqr Global Equity on December 20, 2024 and sell it today you would earn a total of  76.00  from holding Aqr Global Equity or generate 7.22% return on investment over 90 days.

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

Calvert Large Cap  vs.  Aqr Global Equity

Calvert Large Cap

Risk-Adjusted Performance

Solid

Compared to the overall equity markets, risk-adjusted returns on investments in Calvert Large Cap are ranked lower than 18 (%) of all funds and portfolios of funds over the last 90 days. In spite of fairly strong technical and fundamental indicators, Calvert Large is not utilizing all of its potentials. The current stock price disturbance, may contribute to short-term losses for the investors.

Aqr Global Equity

Risk-Adjusted Performance

OK

Compared to the overall equity markets, risk-adjusted returns on investments in Aqr Global Equity are ranked lower than 9 (%) of all funds and portfolios of funds over the last 90 days. In spite of fairly weak forward indicators, Aqr Global may actually be approaching a critical reversion point that can send shares even higher in April 2025.

Pair Trading with Calvert Large and Aqr Global

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

The idea behind Calvert Large Cap and Aqr Global Equity 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 Portfolio Center module to all portfolio management and optimization tools to improve performance of your portfolios.