Correlation Between Fabxx and Calvert Green

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

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

Diversification Opportunities for Fabxx and Calvert Green

0.27

Correlation Coefficient

Fabxx  Calvert Green

Modest diversification

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

Pair Corralation between Fabxx and Calvert Green

Assuming the 90 days horizon Fabxx is expected to under-perform the Calvert Green. In addition to that, Fabxx is 53.14 times more volatile than Calvert Green Bond. It trades about -0.03 of its total potential returns per unit of risk. Calvert Green Bond is currently generating about 0.11 per unit of volatility. If you would invest  1,380  in Calvert Green Bond on December 29, 2024 and sell it today you would earn a total of  23.00  from holding Calvert Green Bond or generate 1.67% return on investment over 90 days.

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

Fabxx  vs.  Calvert Green Bond

Fabxx

Risk-Adjusted Performance

Very Weak

Over the last 90 days Fabxx has generated negative risk-adjusted returns adding no value to fund investors. In spite of weak performance in the last few months, the Fund's basic indicators remain fairly strong which may send shares a bit higher in April 2025. The current disturbance may also be a sign of long term up-swing for the fund investors.

Calvert Green Bond

Risk-Adjusted Performance

OK

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

Pair Trading with Fabxx and Calvert Green

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

The idea behind Fabxx and Calvert Green 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.

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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 My Watchlist Analysis module to analyze my current watchlist and to refresh optimization strategy. Macroaxis watchlist is based on self-learning algorithm to remember stocks you like.