Correlation Between Calvert International and Calvert Income
Can any of the company-specific risk be diversified away by investing in both Calvert International and Calvert 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 International and Calvert Income 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 Income Fund, you can compare the effects of market volatilities on Calvert International and Calvert 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 International with a short position of Calvert Income. Check out your portfolio center. Please also check ongoing floating volatility patterns of Calvert International and Calvert Income.
Diversification Opportunities for Calvert International and Calvert Income
0.74 | Correlation Coefficient |
Poor diversification
The 3 months correlation between Calvert and Calvert is 0.74. Overlapping area represents the amount of risk that can be diversified away by holding Calvert International Equity and Calvert Income Fund in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Calvert Income 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 Income. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Calvert Income has no effect on the direction of Calvert International i.e., Calvert International and Calvert Income go up and down completely randomly.
Pair Corralation between Calvert International and Calvert Income
Assuming the 90 days horizon Calvert International Equity is expected to under-perform the Calvert Income. In addition to that, Calvert International is 3.34 times more volatile than Calvert Income Fund. It trades about -0.06 of its total potential returns per unit of risk. Calvert Income Fund is currently generating about -0.01 per unit of volatility. If you would invest 1,516 in Calvert Income Fund on September 2, 2024 and sell it today you would lose (4.00) from holding Calvert Income Fund or give up 0.26% of portfolio value over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Significant |
| Accuracy | 100.0% |
| Values | Daily Returns |
Calvert International Equity vs. Calvert Income Fund
Performance |
| Timeline |
| Calvert International |
| Calvert Income |
Calvert International and Calvert Income Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Calvert International and Calvert Income
The main advantage of trading using opposite Calvert International and Calvert Income positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Calvert International position performs unexpectedly, Calvert 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 Calvert Income will offset losses from the drop in Calvert Income's long position.The idea behind Calvert International Equity and Calvert Income Fund pairs trading is to make the combined position market-neutral, meaning the overall market's direction will not affect its win or loss (or potential downside or upside). This can be achieved by designing a pairs trade with two highly correlated stocks or equities that operate in a similar space or sector, making it possible to obtain profits through simple and relatively low-risk investment.
| Calvert Income vs. Calvert Developed Market | Calvert Income vs. Calvert Developed Market | Calvert Income vs. Calvert Short Duration | Calvert Income vs. Calvert International Responsible |
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 Investing Opportunities module to build portfolios using our predefined set of ideas and optimize them against your investing preferences.
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