Correlation Between Calvert Moderate and High Income
Can any of the company-specific risk be diversified away by investing in both Calvert Moderate and High Income 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 High Income 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 High Income Fund, you can compare the effects of market volatilities on Calvert Moderate and High Income 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 High Income. Check out your portfolio center. Please also check ongoing floating volatility patterns of Calvert Moderate and High Income.
Diversification Opportunities for Calvert Moderate and High Income
0.7 | Correlation Coefficient |
Poor diversification
The 3 months correlation between Calvert and High is 0.7. Overlapping area represents the amount of risk that can be diversified away by holding Calvert Moderate Allocation and High Income Fund in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on High Income Fund 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 High Income. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of High Income Fund has no effect on the direction of Calvert Moderate i.e., Calvert Moderate and High Income go up and down completely randomly.
Pair Corralation between Calvert Moderate and High Income
Assuming the 90 days horizon Calvert Moderate Allocation is expected to generate 2.78 times more return on investment than High Income. However, Calvert Moderate is 2.78 times more volatile than High Income Fund. It trades about 0.1 of its potential returns per unit of risk. High Income Fund is currently generating about 0.2 per unit of risk. If you would invest 2,089 in Calvert Moderate Allocation on August 28, 2024 and sell it today you would earn a total of 19.00 from holding Calvert Moderate Allocation or generate 0.91% 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. High Income Fund
Performance |
| Timeline |
| Calvert Moderate All |
| High Income Fund |
Calvert Moderate and High Income Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Calvert Moderate and High Income
The main advantage of trading using opposite Calvert Moderate and High Income positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Calvert Moderate position performs unexpectedly, High Income 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 High Income will offset losses from the drop in High Income's long position.| Calvert Moderate vs. Fisher Small Cap | Calvert Moderate vs. Qs Small Capitalization | Calvert Moderate vs. Ancorathelen Small Mid Cap | Calvert Moderate vs. Tax Managed Mid Small |
| High Income vs. Aqr Long Short Equity | High Income vs. T Rowe Price | High Income vs. Ab All Market | High Income vs. Shelton Emerging Markets |
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 Transaction History module to view history of all your transactions and understand their impact on performance.
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