Correlation Between Calvert Conservative and M Large

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

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

Diversification Opportunities for Calvert Conservative and M Large

0.13

Correlation Coefficient

Calvert Conservative  M Large

Average diversification

The 3 months correlation between Calvert and MTCGX is 0.13. Overlapping area represents the amount of risk that can be diversified away by holding Calvert Conservative Allocatio and M Large Cap in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on M Large Cap and Calvert Conservative 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 Conservative Allocation are associated (or correlated) with M Large. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of M Large Cap has no effect on the direction of Calvert Conservative i.e., Calvert Conservative and M Large go up and down completely randomly.

Pair Corralation between Calvert Conservative and M Large

Assuming the 90 days horizon Calvert Conservative Allocation is expected to under-perform the M Large. But the mutual fund apears to be less risky and, when comparing its historical volatility, Calvert Conservative Allocation is 2.5 times less risky than M Large. The mutual fund trades about -0.05 of its potential returns per unit of risk. The M Large Cap is currently generating about -0.01 of returns per unit of risk over similar time horizon. If you would invest  3,657  in M Large Cap on September 20, 2024 and sell it today you would lose (11.00) from holding M Large Cap or give up 0.3% of portfolio value over 90 days.

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

Calvert Conservative Allocatio  vs.  M Large Cap

Calvert Conservative

Risk-Adjusted Performance

0 of 100

Very Weak

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

M Large Cap

Risk-Adjusted Performance

4 of 100

OK

Compared to the overall equity markets, risk-adjusted returns on investments in M Large Cap are ranked lower than 4 (%) of all funds and portfolios of funds over the last 90 days. In spite of fairly strong technical and fundamental indicators, M Large 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 Conservative and M Large

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

The idea behind Calvert Conservative Allocation and M 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 Aroon Oscillator module to analyze current equity momentum using Aroon Oscillator and other momentum ratios.