Correlation Between Calvert Developed and Goldman Sachs

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

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

Diversification Opportunities for Calvert Developed and Goldman Sachs

0.61

Correlation Coefficient

Calvert Developed  Goldman Sachs

Poor diversification

The 3 months correlation between Calvert and GOLDMAN is 0.61. Overlapping area represents the amount of risk that can be diversified away by holding Calvert Developed Market and Goldman Sachs Emerging in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Goldman Sachs Emerging and Calvert Developed 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 Developed Market are associated (or correlated) with Goldman Sachs. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Goldman Sachs Emerging has no effect on the direction of Calvert Developed i.e., Calvert Developed and Goldman Sachs go up and down completely randomly.

Pair Corralation between Calvert Developed and Goldman Sachs

Assuming the 90 days horizon Calvert Developed Market is expected to under-perform the Goldman Sachs. But the mutual fund apears to be less risky and, when comparing its historical volatility, Calvert Developed Market is 1.21 times less risky than Goldman Sachs. The mutual fund trades about -0.05 of its potential returns per unit of risk. The Goldman Sachs Emerging is currently generating about 0.01 of returns per unit of risk over similar time horizon. If you would invest  875.00  in Goldman Sachs Emerging on August 31, 2024 and sell it today you would earn a total of  1.00  from holding Goldman Sachs Emerging or generate 0.11% return on investment over 90 days.

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

Calvert Developed Market  vs.  Goldman Sachs Emerging

Calvert Developed Market

Risk-Adjusted Performance

0 of 100

Very Weak

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

Goldman Sachs Emerging

Risk-Adjusted Performance

0 of 100

Very Weak

Over the last 90 days Goldman Sachs Emerging has generated negative risk-adjusted returns adding no value to fund investors. In spite of fairly strong basic indicators, Goldman Sachs 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 Developed and Goldman Sachs

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

The idea behind Calvert Developed Market and Goldman Sachs Emerging 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 Investing Opportunities module to build portfolios using our predefined set of ideas and optimize them against your investing preferences.