Correlation Between Calvert Developed and Calvert Emerging
Can any of the company-specific risk be diversified away by investing in both Calvert Developed and Calvert Emerging 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 Developed and Calvert Emerging into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Calvert Developed Market and Calvert Emerging Markets, you can compare the effects of market volatilities on Calvert Developed and Calvert Emerging 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 Developed with a short position of Calvert Emerging. Check out your portfolio center. Please also check ongoing floating volatility patterns of Calvert Developed and Calvert Emerging.
Diversification Opportunities for Calvert Developed and Calvert Emerging
0.6 | Correlation Coefficient |
Poor 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 Developed Market and Calvert Emerging Markets in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Calvert Emerging Markets and Calvert Developed 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 Developed Market are associated (or correlated) with Calvert Emerging. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Calvert Emerging Markets has no effect on the direction of Calvert Developed i.e., Calvert Developed and Calvert Emerging go up and down completely randomly.
Pair Corralation between Calvert Developed and Calvert Emerging
Assuming the 90 days horizon Calvert Developed Market is expected to generate 0.97 times more return on investment than Calvert Emerging. However, Calvert Developed Market is 1.03 times less risky than Calvert Emerging. It trades about 0.15 of its potential returns per unit of risk. Calvert Emerging Markets is currently generating about 0.05 per unit of risk. If you would invest 3,069 in Calvert Developed Market on September 18, 2024 and sell it today you would earn a total of 48.00 from holding Calvert Developed Market or generate 1.56% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Significant |
| Accuracy | 95.24% |
| Values | Daily Returns |
Calvert Developed Market vs. Calvert Emerging Markets
Performance |
| Timeline |
| Calvert Developed Market |
| Calvert Emerging Markets |
Calvert Developed and Calvert Emerging Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Calvert Developed and Calvert Emerging
The main advantage of trading using opposite Calvert Developed and Calvert Emerging positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Calvert Developed position performs unexpectedly, Calvert Emerging 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 Emerging will offset losses from the drop in Calvert Emerging's long position.| Calvert Developed vs. Calvert Large Cap | Calvert Developed vs. Calvert Mid Cap | Calvert Developed vs. Calvert Large Cap | Calvert Developed vs. Calvert Short Duration |
| Calvert Emerging vs. Calvert Small Cap | Calvert Emerging vs. Calvert Large Cap | Calvert Emerging vs. Johcm International Select | Calvert Emerging vs. Calvert International Opportunities |
Check out your portfolio center.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 Volatility Analysis module to get historical volatility and risk analysis based on latest market data.
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