Correlation Between Calvert Moderate and Amg Managers
Can any of the company-specific risk be diversified away by investing in both Calvert Moderate and Amg Managers 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 Moderate and Amg Managers into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Calvert Moderate Allocation and Amg Managers Fairpointe, you can compare the effects of market volatilities on Calvert Moderate and Amg Managers 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 Moderate with a short position of Amg Managers. Check out your portfolio center. Please also check ongoing floating volatility patterns of Calvert Moderate and Amg Managers.
Diversification Opportunities for Calvert Moderate and Amg Managers
0.65 | Correlation Coefficient |
Poor diversification
The 3 months correlation between Calvert and Amg is 0.65. Overlapping area represents the amount of risk that can be diversified away by holding Calvert Moderate Allocation and Amg Managers Fairpointe in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Amg Managers Fairpointe and Calvert Moderate 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 Moderate Allocation are associated (or correlated) with Amg Managers. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Amg Managers Fairpointe has no effect on the direction of Calvert Moderate i.e., Calvert Moderate and Amg Managers go up and down completely randomly.
Pair Corralation between Calvert Moderate and Amg Managers
Assuming the 90 days horizon Calvert Moderate Allocation is expected to generate 0.62 times more return on investment than Amg Managers. However, Calvert Moderate Allocation is 1.61 times less risky than Amg Managers. It trades about 0.03 of its potential returns per unit of risk. Amg Managers Fairpointe is currently generating about -0.07 per unit of risk. If you would invest 2,078 in Calvert Moderate Allocation on November 28, 2024 and sell it today you would earn a total of 5.00 from holding Calvert Moderate Allocation or generate 0.24% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Significant |
| Accuracy | 100.0% |
| Values | Daily Returns |
Calvert Moderate Allocation vs. Amg Managers Fairpointe
Performance |
| Timeline |
| Calvert Moderate All |
| Amg Managers Fairpointe |
Calvert Moderate and Amg Managers Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Calvert Moderate and Amg Managers
The main advantage of trading using opposite Calvert Moderate and Amg Managers positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Calvert Moderate position performs unexpectedly, Amg Managers 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 Amg Managers will offset losses from the drop in Amg Managers' long position.| Calvert Moderate vs. Western Asset Premier | Calvert Moderate vs. Us Government Securities | Calvert Moderate vs. Federated Government Income | Calvert Moderate vs. Aig Government Money |
| Amg Managers vs. Calvert High Yield | Amg Managers vs. Gmo High Yield | Amg Managers vs. Artisan High Income | Amg Managers vs. Pace High Yield |
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 Bonds Directory module to find actively traded corporate debentures issued by US companies.
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