Correlation Between Calvert Income and Calvert Ultra

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

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

Diversification Opportunities for Calvert Income and Calvert Ultra

-0.6

Correlation Coefficient

Calvert Income  Calvert Ultra

Excellent diversification

The 3 months correlation between Calvert and Calvert is -0.6. Overlapping area represents the amount of risk that can be diversified away by holding Calvert Income Fund and Calvert Ultra Short Duration in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Calvert Ultra Short and Calvert Income 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 Income Fund are associated (or correlated) with Calvert Ultra. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Calvert Ultra Short has no effect on the direction of Calvert Income i.e., Calvert Income and Calvert Ultra go up and down completely randomly.

Pair Corralation between Calvert Income and Calvert Ultra

Assuming the 90 days horizon Calvert Income Fund is expected to generate 11.66 times more return on investment than Calvert Ultra. However, Calvert Income is 11.66 times more volatile than Calvert Ultra Short Duration. It trades about 0.13 of its potential returns per unit of risk. Calvert Ultra Short Duration is currently generating about 0.21 per unit of risk. If you would invest  1,498  in Calvert Income Fund on September 13, 2024 and sell it today you would earn a total of  11.00  from holding Calvert Income Fund or generate 0.73% return on investment over 90 days.

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

Calvert Income Fund  vs.  Calvert Ultra Short Duration

Calvert Income

Risk-Adjusted Performance

0 of 100

Very Weak

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

Calvert Ultra Short

Risk-Adjusted Performance

12 of 100

Good

Compared to the overall equity markets, risk-adjusted returns on investments in Calvert Ultra Short Duration are ranked lower than 12 (%) of all funds and portfolios of funds over the last 90 days. In spite of fairly strong basic indicators, Calvert Ultra 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 Income and Calvert Ultra

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

The idea behind Calvert Income Fund and Calvert Ultra Short Duration 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.