Correlation Between Calvert High and Thornburg International

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

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

Diversification Opportunities for Calvert High and Thornburg International

0.74

Correlation Coefficient

Calvert High  Thornburg International

Poor diversification

The 3 months correlation between Calvert and Thornburg is 0.74. Overlapping area represents the amount of risk that can be diversified away by holding Calvert High Yield and Thornburg International Value in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Thornburg International and Calvert High 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 High Yield are associated (or correlated) with Thornburg International. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Thornburg International has no effect on the direction of Calvert High i.e., Calvert High and Thornburg International go up and down completely randomly.

Pair Corralation between Calvert High and Thornburg International

Assuming the 90 days horizon Calvert High is expected to generate 9.97 times less return on investment than Thornburg International. But when comparing it to its historical volatility, Calvert High Yield is 4.58 times less risky than Thornburg International. It trades about 0.11 of its potential returns per unit of risk. Thornburg International Value is currently generating about 0.24 of returns per unit of risk over similar time horizon. If you would invest  2,472  in Thornburg International Value on December 21, 2024 and sell it today you would earn a total of  306.00  from holding Thornburg International Value or generate 12.38% return on investment over 90 days.

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

Calvert High Yield  vs.  Thornburg International Value

Calvert High Yield

Risk-Adjusted Performance

OK

Compared to the overall equity markets, risk-adjusted returns on investments in Calvert High Yield are ranked lower than 8 (%) of all funds and portfolios of funds over the last 90 days. In spite of fairly strong basic indicators, Calvert High is not utilizing all of its potentials. The current stock price disturbance, may contribute to short-term losses for the investors.

Thornburg International

Risk-Adjusted Performance

Solid

Compared to the overall equity markets, risk-adjusted returns on investments in Thornburg International Value are ranked lower than 19 (%) of all funds and portfolios of funds over the last 90 days. In spite of fairly weak basic indicators, Thornburg International showed solid returns over the last few months and may actually be approaching a breakup point.

Pair Trading with Calvert High and Thornburg International

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

The idea behind Calvert High Yield and Thornburg International Value 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 Money Managers module to screen money managers from public funds and ETFs managed around the world.