Correlation Between Frost Low and Calvert Global
Can any of the company-specific risk be diversified away by investing in both Frost Low and Calvert Global 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 Frost Low and Calvert Global into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Frost Low Duration and Calvert Global Energy, you can compare the effects of market volatilities on Frost Low and Calvert Global 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 Frost Low with a short position of Calvert Global. Check out your portfolio center. Please also check ongoing floating volatility patterns of Frost Low and Calvert Global.
Diversification Opportunities for Frost Low and Calvert Global
0.58 | Correlation Coefficient |
Very weak diversification
The 3 months correlation between Frost and Calvert is 0.58. Overlapping area represents the amount of risk that can be diversified away by holding Frost Low Duration and Calvert Global Energy in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Calvert Global Energy and Frost Low 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 Frost Low Duration are associated (or correlated) with Calvert Global. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Calvert Global Energy has no effect on the direction of Frost Low i.e., Frost Low and Calvert Global go up and down completely randomly.
Pair Corralation between Frost Low and Calvert Global
Assuming the 90 days horizon Frost Low is expected to generate 1.36 times less return on investment than Calvert Global. But when comparing it to its historical volatility, Frost Low Duration is 8.1 times less risky than Calvert Global. It trades about 0.19 of its potential returns per unit of risk. Calvert Global Energy is currently generating about 0.03 of returns per unit of risk over similar time horizon. If you would invest 1,028 in Calvert Global Energy on September 4, 2024 and sell it today you would earn a total of 86.00 from holding Calvert Global Energy or generate 8.37% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Weak |
| Accuracy | 100.0% |
| Values | Daily Returns |
Frost Low Duration vs. Calvert Global Energy
Performance |
| Timeline |
| Frost Low Duration |
| Calvert Global Energy |
Frost Low and Calvert Global Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Frost Low and Calvert Global
The main advantage of trading using opposite Frost Low and Calvert Global positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Frost Low position performs unexpectedly, Calvert Global 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 Global will offset losses from the drop in Calvert Global's long position.| Frost Low vs. Goldman Sachs Real | Frost Low vs. Great West Real Estate | Frost Low vs. Simt Real Estate | Frost Low vs. Vanguard Reit Index |
| Calvert Global vs. Ashmore Emerging Markets | Calvert Global vs. Wells Fargo Funds | Calvert Global vs. Lord Abbett Emerging | Calvert Global vs. Elfun Government Money |
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 Dashboard module to portfolio dashboard that provides centralized access to all your investments.
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