Correlation Between Calvert Developed and Nasdaq-100(r)
Can any of the company-specific risk be diversified away by investing in both Calvert Developed and Nasdaq-100(r) 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 Nasdaq-100(r) 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 Nasdaq 100 2x Strategy, you can compare the effects of market volatilities on Calvert Developed and Nasdaq-100(r) 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 Nasdaq-100(r). Check out your portfolio center. Please also check ongoing floating volatility patterns of Calvert Developed and Nasdaq-100(r).
Diversification Opportunities for Calvert Developed and Nasdaq-100(r)
0.32 | Correlation Coefficient |
Weak diversification
The 3 months correlation between Calvert and Nasdaq-100(r) is 0.32. Overlapping area represents the amount of risk that can be diversified away by holding Calvert Developed Market and Nasdaq 100 2x Strategy in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Nasdaq 100 2x 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 Nasdaq-100(r). Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Nasdaq 100 2x has no effect on the direction of Calvert Developed i.e., Calvert Developed and Nasdaq-100(r) go up and down completely randomly.
Pair Corralation between Calvert Developed and Nasdaq-100(r)
Assuming the 90 days horizon Calvert Developed is expected to generate 3.74 times less return on investment than Nasdaq-100(r). But when comparing it to its historical volatility, Calvert Developed Market is 2.79 times less risky than Nasdaq-100(r). It trades about 0.07 of its potential returns per unit of risk. Nasdaq 100 2x Strategy is currently generating about 0.09 of returns per unit of risk over similar time horizon. If you would invest 22,025 in Nasdaq 100 2x Strategy on December 2, 2024 and sell it today you would earn a total of 31,525 from holding Nasdaq 100 2x Strategy or generate 143.13% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Very Weak |
| Accuracy | 100.0% |
| Values | Daily Returns |
Calvert Developed Market vs. Nasdaq 100 2x Strategy
Performance |
| Timeline |
| Calvert Developed Market |
| Nasdaq 100 2x |
Calvert Developed and Nasdaq-100(r) Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Calvert Developed and Nasdaq-100(r)
The main advantage of trading using opposite Calvert Developed and Nasdaq-100(r) positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Calvert Developed position performs unexpectedly, Nasdaq-100(r) 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 Nasdaq-100(r) will offset losses from the drop in Nasdaq-100(r)'s long position.| Calvert Developed vs. Calvert Large Cap | ||
| Calvert Developed vs. Calvert Large Cap | ||
| Calvert Developed vs. Calvert Mid Cap | ||
| Calvert Developed vs. Calvert Short Duration |
| Nasdaq-100(r) vs. Sp 500 2x | ||
| Nasdaq-100(r) vs. Inverse Nasdaq 100 2x | ||
| Nasdaq-100(r) vs. Inverse Sp 500 | ||
| Nasdaq-100(r) vs. Ultra Nasdaq 100 Profunds |
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 USA ETFs module to find actively traded Exchange Traded Funds (ETF) in USA.
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