Correlation Between Calvert Conservative and Utilities Fund

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

Diversification Opportunities for Calvert Conservative and Utilities Fund

0.25

Correlation Coefficient

Calvert Conservative  Utilities Fund

Modest diversification

The 3 months correlation between Calvert and Utilities is 0.25. Overlapping area represents the amount of risk that can be diversified away by holding Calvert Conservative Allocatio and Utilities Fund Class in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Utilities Fund Class 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 Utilities Fund. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Utilities Fund Class has no effect on the direction of Calvert Conservative i.e., Calvert Conservative and Utilities Fund go up and down completely randomly.

Pair Corralation between Calvert Conservative and Utilities Fund

Assuming the 90 days horizon Calvert Conservative Allocation is expected to generate 0.31 times more return on investment than Utilities Fund. However, Calvert Conservative Allocation is 3.26 times less risky than Utilities Fund. It trades about -0.01 of its potential returns per unit of risk. Utilities Fund Class is currently generating about -0.02 per unit of risk. If you would invest  1,838  in Calvert Conservative Allocation on September 14, 2024 and sell it today you would lose (3.00) from holding Calvert Conservative Allocation or give up 0.16% of portfolio value over 90 days.

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

Calvert Conservative Allocatio  vs.  Utilities Fund Class

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.

Utilities Fund Class

Risk-Adjusted Performance

0 of 100

Very Weak

Over the last 90 days Utilities Fund Class has generated negative risk-adjusted returns adding no value to fund investors. In spite of fairly strong basic indicators, Utilities Fund 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 Utilities Fund

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

The idea behind Calvert Conservative Allocation and Utilities Fund Class 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 Analyzer module to portfolio analysis module that provides access to portfolio diagnostics and optimization engine.