Correlation Between Legg Mason and Calvert High
Can any of the company-specific risk be diversified away by investing in both Legg Mason and Calvert High 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 Legg Mason and Calvert High into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Legg Mason Bw and Calvert High Yield, you can compare the effects of market volatilities on Legg Mason and Calvert High 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 Legg Mason with a short position of Calvert High. Check out your portfolio center. Please also check ongoing floating volatility patterns of Legg Mason and Calvert High.
Diversification Opportunities for Legg Mason and Calvert High
0.69 | Correlation Coefficient |
Poor diversification
The 3 months correlation between Legg and Calvert is 0.69. Overlapping area represents the amount of risk that can be diversified away by holding Legg Mason Bw and Calvert High Yield in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Calvert High Yield and Legg Mason 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 Legg Mason Bw are associated (or correlated) with Calvert High. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Calvert High Yield has no effect on the direction of Legg Mason i.e., Legg Mason and Calvert High go up and down completely randomly.
Pair Corralation between Legg Mason and Calvert High
Assuming the 90 days horizon Legg Mason Bw is expected to generate 5.39 times more return on investment than Calvert High. However, Legg Mason is 5.39 times more volatile than Calvert High Yield. It trades about 0.15 of its potential returns per unit of risk. Calvert High Yield is currently generating about 0.25 per unit of risk. If you would invest 2,005 in Legg Mason Bw on September 12, 2024 and sell it today you would earn a total of 303.00 from holding Legg Mason Bw or generate 15.11% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Significant |
| Accuracy | 100.0% |
| Values | Daily Returns |
Legg Mason Bw vs. Calvert High Yield
Performance |
| Timeline |
| Legg Mason Bw |
| Calvert High Yield |
Legg Mason and Calvert High Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Legg Mason and Calvert High
The main advantage of trading using opposite Legg Mason and Calvert High positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Legg Mason position performs unexpectedly, Calvert High 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 High will offset losses from the drop in Calvert High's long position.| Legg Mason vs. Simt Multi Asset Inflation | Legg Mason vs. Loomis Sayles Inflation | Legg Mason vs. Guggenheim Managed Futures | Legg Mason vs. Ab Bond Inflation |
| Calvert High vs. Locorr Dynamic Equity | Calvert High vs. Balanced Fund Retail | Calvert High vs. Us Strategic Equity | Calvert High vs. Gmo Global Equity |
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 File Import module to quickly import all of your third-party portfolios from your local drive in csv format.
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