Correlation Between Calvert High and Fundamental Large

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

Diversification Opportunities for Calvert High and Fundamental Large

0.7

Correlation Coefficient

Calvert High  Fundamental Large

Poor diversification

The 3 months correlation between Calvert and Fundamental is 0.7. Overlapping area represents the amount of risk that can be diversified away by holding Calvert High Yield and Fundamental Large Cap in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Fundamental Large Cap 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 Fundamental Large. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Fundamental Large Cap has no effect on the direction of Calvert High i.e., Calvert High and Fundamental Large go up and down completely randomly.

Pair Corralation between Calvert High and Fundamental Large

Assuming the 90 days horizon Calvert High is expected to generate 1.52 times less return on investment than Fundamental Large. But when comparing it to its historical volatility, Calvert High Yield is 4.36 times less risky than Fundamental Large. It trades about 0.11 of its potential returns per unit of risk. Fundamental Large Cap is currently generating about 0.04 of returns per unit of risk over similar time horizon. If you would invest  4,475  in Fundamental Large Cap on October 7, 2024 and sell it today you would earn a total of  876.00  from holding Fundamental Large Cap or generate 19.58% 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.  Fundamental Large Cap

Calvert High Yield

Risk-Adjusted Performance

0 of 100

Very Weak

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

Fundamental Large Cap

Risk-Adjusted Performance

0 of 100

Very Weak

Over the last 90 days Fundamental Large Cap has generated negative risk-adjusted returns adding no value to fund investors. In spite of latest weak performance, the Fund's basic indicators remain strong and the current disturbance on Wall Street may also be a sign of long term gains for the fund investors.

Pair Trading with Calvert High and Fundamental Large

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

The idea behind Calvert High Yield and Fundamental Large Cap 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 Insider Screener module to find insiders across different sectors to evaluate their impact on performance.