Correlation Between Calvert Moderate and Aqr Large
Can any of the company-specific risk be diversified away by investing in both Calvert Moderate and Aqr Large 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 Aqr Large 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 Aqr Large Cap, you can compare the effects of market volatilities on Calvert Moderate and Aqr Large 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 Aqr Large. Check out your portfolio center. Please also check ongoing floating volatility patterns of Calvert Moderate and Aqr Large.
Diversification Opportunities for Calvert Moderate and Aqr Large
0.8 | Correlation Coefficient |
Very poor diversification
The 3 months correlation between Calvert and Aqr is 0.8. Overlapping area represents the amount of risk that can be diversified away by holding Calvert Moderate Allocation and Aqr Large Cap in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Aqr Large Cap 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 Aqr Large. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Aqr Large Cap has no effect on the direction of Calvert Moderate i.e., Calvert Moderate and Aqr Large go up and down completely randomly.
Pair Corralation between Calvert Moderate and Aqr Large
Assuming the 90 days horizon Calvert Moderate Allocation is expected to generate 0.27 times more return on investment than Aqr Large. However, Calvert Moderate Allocation is 3.65 times less risky than Aqr Large. It trades about 0.07 of its potential returns per unit of risk. Aqr Large Cap is currently generating about -0.03 per unit of risk. If you would invest 2,044 in Calvert Moderate Allocation on November 1, 2024 and sell it today you would earn a total of 47.00 from holding Calvert Moderate Allocation or generate 2.3% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Strong |
| Accuracy | 98.33% |
| Values | Daily Returns |
Calvert Moderate Allocation vs. Aqr Large Cap
Performance |
| Timeline |
| Calvert Moderate All |
| Aqr Large Cap |
Calvert Moderate and Aqr Large Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Calvert Moderate and Aqr Large
The main advantage of trading using opposite Calvert Moderate and Aqr Large positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Calvert Moderate position performs unexpectedly, Aqr Large 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 Aqr Large will offset losses from the drop in Aqr Large's long position.| Calvert Moderate vs. Ivy Natural Resources | Calvert Moderate vs. Adams Natural Resources | Calvert Moderate vs. Hennessy Bp Energy | Calvert Moderate vs. Hennessy Gas Utility |
| Aqr Large vs. Ab Global Bond | Aqr Large vs. Ambrus Core Bond | Aqr Large vs. Multisector Bond Sma | Aqr Large vs. California Municipal Portfolio |
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 Idea Analyzer module to analyze all characteristics, volatility and risk-adjusted return of Macroaxis ideas.
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