Correlation Between Calvert Ultra and ESSEX

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

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

Diversification Opportunities for Calvert Ultra and ESSEX

-0.48

Correlation Coefficient

Calvert Ultra  ESSEX

Very good diversification

The 3 months correlation between Calvert and ESSEX is -0.48. Overlapping area represents the amount of risk that can be diversified away by holding Calvert Ultra Short Income and ESSEX PORTFOLIO L in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on ESSEX PORTFOLIO L and Calvert Ultra 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 Ultra Short Income are associated (or correlated) with ESSEX. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of ESSEX PORTFOLIO L has no effect on the direction of Calvert Ultra i.e., Calvert Ultra and ESSEX go up and down completely randomly.

Pair Corralation between Calvert Ultra and ESSEX

Assuming the 90 days horizon Calvert Ultra Short Income is expected to generate 0.27 times more return on investment than ESSEX. However, Calvert Ultra Short Income is 3.64 times less risky than ESSEX. It trades about 0.11 of its potential returns per unit of risk. ESSEX PORTFOLIO L is currently generating about -0.01 per unit of risk. If you would invest  983.00  in Calvert Ultra Short Income on September 25, 2024 and sell it today you would earn a total of  6.00  from holding Calvert Ultra Short Income or generate 0.61% return on investment over 90 days.

Time Period	3 Months [change]
Direction	Moves Against
Strength	Very Weak
Accuracy	90.48%
Values	Daily Returns

Calvert Ultra Short Income  vs.  ESSEX PORTFOLIO L

Calvert Ultra Short

Risk-Adjusted Performance

8 of 100

OK

Compared to the overall equity markets, risk-adjusted returns on investments in Calvert Ultra Short Income are ranked lower than 8 (%) 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.

ESSEX PORTFOLIO L

Risk-Adjusted Performance

0 of 100

Very Weak

Over the last 90 days ESSEX PORTFOLIO L has generated negative risk-adjusted returns adding no value to investors with long positions. Despite somewhat strong basic indicators, ESSEX is not utilizing all of its potentials. The latest stock price disturbance, may contribute to short-term losses for the investors.

Pair Trading with Calvert Ultra and ESSEX

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

The idea behind Calvert Ultra Short Income and ESSEX PORTFOLIO L 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 Analyst Advice module to analyst recommendations and target price estimates broken down by several categories.