Correlation Between Calvert International and Calvert Emerging
Can any of the company-specific risk be diversified away by investing in both Calvert International and Calvert Emerging 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 International and Calvert Emerging into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Calvert International Equity and Calvert Emerging Markets, you can compare the effects of market volatilities on Calvert International and Calvert Emerging 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 International with a short position of Calvert Emerging. Check out your portfolio center. Please also check ongoing floating volatility patterns of Calvert International and Calvert Emerging.
Diversification Opportunities for Calvert International and Calvert Emerging
0.89 | Correlation Coefficient |
Very poor diversification
The 3 months correlation between Calvert and Calvert is 0.89. Overlapping area represents the amount of risk that can be diversified away by holding Calvert International Equity and Calvert Emerging Markets in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Calvert Emerging Markets and Calvert International 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 International Equity are associated (or correlated) with Calvert Emerging. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Calvert Emerging Markets has no effect on the direction of Calvert International i.e., Calvert International and Calvert Emerging go up and down completely randomly.
Pair Corralation between Calvert International and Calvert Emerging
Assuming the 90 days horizon Calvert International Equity is expected to under-perform the Calvert Emerging. In addition to that, Calvert International is 1.26 times more volatile than Calvert Emerging Markets. It trades about -0.24 of its total potential returns per unit of risk. Calvert Emerging Markets is currently generating about -0.14 per unit of volatility. If you would invest 1,244 in Calvert Emerging Markets on August 28, 2024 and sell it today you would lose (26.00) from holding Calvert Emerging Markets or give up 2.09% of portfolio value over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Strong |
| Accuracy | 100.0% |
| Values | Daily Returns |
Calvert International Equity vs. Calvert Emerging Markets
Performance |
| Timeline |
| Calvert International |
| Calvert Emerging Markets |
Calvert International and Calvert Emerging Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Calvert International and Calvert Emerging
The main advantage of trading using opposite Calvert International and Calvert Emerging positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Calvert International position performs unexpectedly, Calvert Emerging 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 Calvert Emerging will offset losses from the drop in Calvert Emerging's long position.| Calvert International vs. Calvert Equity Portfolio | Calvert International vs. Calvert Small Cap | Calvert International vs. Calvert Bond Portfolio | Calvert International vs. Calvert Large Cap |
| Calvert Emerging vs. Multi Manager High Yield | Calvert Emerging vs. Prudential High Yield | Calvert Emerging vs. Ppm High Yield | Calvert Emerging 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 Portfolio Backtesting module to avoid under-diversification and over-optimization by backtesting your portfolios.
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