Correlation Between Calvert Large and Nasdaq-100(r)
Can any of the company-specific risk be diversified away by investing in both Calvert Large 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 Large 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 Large Cap and Nasdaq 100 2x Strategy, you can compare the effects of market volatilities on Calvert Large 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 Large with a short position of Nasdaq-100(r). Check out your portfolio center. Please also check ongoing floating volatility patterns of Calvert Large and Nasdaq-100(r).
Diversification Opportunities for Calvert Large and Nasdaq-100(r)
0.15 | Correlation Coefficient |
Average diversification
The 3 months correlation between Calvert and Nasdaq-100(r) is 0.15. Overlapping area represents the amount of risk that can be diversified away by holding Calvert Large Cap 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 Large 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 Large Cap 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 Large i.e., Calvert Large and Nasdaq-100(r) go up and down completely randomly.
Pair Corralation between Calvert Large and Nasdaq-100(r)
Assuming the 90 days horizon Calvert Large is expected to generate 9.24 times less return on investment than Nasdaq-100(r). But when comparing it to its historical volatility, Calvert Large Cap is 24.41 times less risky than Nasdaq-100(r). It trades about 0.23 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 19,083 in Nasdaq 100 2x Strategy on October 29, 2024 and sell it today you would earn a total of 22,212 from holding Nasdaq 100 2x Strategy or generate 116.4% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Insignificant |
| Accuracy | 100.0% |
| Values | Daily Returns |
Calvert Large Cap vs. Nasdaq 100 2x Strategy
Performance |
| Timeline |
| Calvert Large Cap |
| Nasdaq 100 2x |
Calvert Large and Nasdaq-100(r) Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Calvert Large and Nasdaq-100(r)
The main advantage of trading using opposite Calvert Large and Nasdaq-100(r) positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Calvert Large 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 Large vs. Queens Road Small | Calvert Large vs. Heartland Value Plus | Calvert Large vs. Ultramid Cap Profund Ultramid Cap | Calvert Large vs. Great West Loomis Sayles |
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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 Headlines Timeline module to stay connected to all market stories and filter out noise. Drill down to analyze hype elasticity.
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