Correlation Between Calvert Equity and Calvert Aggressive

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

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

Diversification Opportunities for Calvert Equity and Calvert Aggressive

0.72

Correlation Coefficient

Calvert Equity  Calvert Aggressive

Poor diversification

The 3 months correlation between Calvert and Calvert is 0.72. Overlapping area represents the amount of risk that can be diversified away by holding Calvert Equity Portfolio and Calvert Aggressive Allocation in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Calvert Aggressive and Calvert Equity 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 Equity Portfolio are associated (or correlated) with Calvert Aggressive. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Calvert Aggressive has no effect on the direction of Calvert Equity i.e., Calvert Equity and Calvert Aggressive go up and down completely randomly.

Pair Corralation between Calvert Equity and Calvert Aggressive

Assuming the 90 days horizon Calvert Equity is expected to generate 1.98 times less return on investment than Calvert Aggressive. In addition to that, Calvert Equity is 1.06 times more volatile than Calvert Aggressive Allocation. It trades about 0.06 of its total potential returns per unit of risk. Calvert Aggressive Allocation is currently generating about 0.12 per unit of volatility. If you would invest  2,710  in Calvert Aggressive Allocation on September 12, 2024 and sell it today you would earn a total of  108.00  from holding Calvert Aggressive Allocation or generate 3.99% return on investment over 90 days.

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

Calvert Equity Portfolio  vs.  Calvert Aggressive Allocation

Calvert Equity Portfolio

Risk-Adjusted Performance

4 of 100

Modest

Compared to the overall equity markets, risk-adjusted returns on investments in Calvert Equity Portfolio are ranked lower than 4 (%) of all funds and portfolios of funds over the last 90 days. In spite of fairly strong forward indicators, Calvert Equity is not utilizing all of its potentials. The current stock price disturbance, may contribute to short-term losses for the investors.

Calvert Aggressive

Risk-Adjusted Performance

9 of 100

OK

Compared to the overall equity markets, risk-adjusted returns on investments in Calvert Aggressive Allocation are ranked lower than 9 (%) of all funds and portfolios of funds over the last 90 days. In spite of fairly strong basic indicators, Calvert Aggressive 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 Equity and Calvert Aggressive

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

The idea behind Calvert Equity Portfolio and Calvert Aggressive Allocation 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 Portfolio Backtesting module to avoid under-diversification and over-optimization by backtesting your portfolios.