Correlation Between Calvert Bond and Calvert International

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

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

Diversification Opportunities for Calvert Bond and Calvert International

0.78

Correlation Coefficient

Calvert Bond  Calvert International

Poor diversification

The 3 months correlation between Calvert and Calvert is 0.78. Overlapping area represents the amount of risk that can be diversified away by holding Calvert Bond Portfolio and Calvert International Equity in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Calvert International and Calvert Bond 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 Bond Portfolio are associated (or correlated) with Calvert International. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Calvert International has no effect on the direction of Calvert Bond i.e., Calvert Bond and Calvert International go up and down completely randomly.

Pair Corralation between Calvert Bond and Calvert International

Assuming the 90 days horizon Calvert Bond Portfolio is expected to generate 0.32 times more return on investment than Calvert International. However, Calvert Bond Portfolio is 3.09 times less risky than Calvert International. It trades about -0.11 of its potential returns per unit of risk. Calvert International Equity is currently generating about -0.05 per unit of risk. If you would invest  1,484  in Calvert Bond Portfolio on September 13, 2024 and sell it today you would lose (29.00) from holding Calvert Bond Portfolio or give up 1.95% of portfolio value over 90 days.

Time Period	3 Months [change]
Direction	Moves Together
Strength	Significant
Accuracy	98.44%
Values	Daily Returns

Calvert Bond Portfolio  vs.  Calvert International Equity

Calvert Bond Portfolio

Risk-Adjusted Performance

0 of 100

Very Weak

Over the last 90 days Calvert Bond Portfolio has generated negative risk-adjusted returns adding no value to fund investors. In spite of fairly strong fundamental drivers, Calvert Bond is not utilizing all of its potentials. The current stock price disturbance, may contribute to short-term losses for the investors.

Calvert International

Risk-Adjusted Performance

0 of 100

Very Weak

Over the last 90 days Calvert International Equity has generated negative risk-adjusted returns adding no value to fund investors. In spite of fairly strong fundamental indicators, Calvert International 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 Bond and Calvert International

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

The idea behind Calvert Bond Portfolio and Calvert International 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 Volatility module to check portfolio volatility and analyze historical return density to properly model market risk.