Correlation Between Multi Manager and Calvert Large

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Can any of the company-specific risk be diversified away by investing in both Multi Manager and Calvert Large 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 Multi Manager and Calvert Large into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Multi Manager High Yield and Calvert Large Cap, you can compare the effects of market volatilities on Multi Manager and Calvert Large 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 Multi Manager with a short position of Calvert Large. Check out your portfolio center. Please also check ongoing floating volatility patterns of Multi Manager and Calvert Large.

Diversification Opportunities for Multi Manager and Calvert Large

MultiCalvertDiversified AwayMultiCalvertDiversified Away100%
0.84
  Correlation Coefficient

Very poor diversification

The 3 months correlation between Multi and Calvert is 0.84. Overlapping area represents the amount of risk that can be diversified away by holding Multi Manager High Yield and Calvert Large Cap in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Calvert Large Cap and Multi Manager 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 Multi Manager High Yield are associated (or correlated) with Calvert Large. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Calvert Large Cap has no effect on the direction of Multi Manager i.e., Multi Manager and Calvert Large go up and down completely randomly.

Pair Corralation between Multi Manager and Calvert Large

Assuming the 90 days horizon Multi Manager High Yield is expected to generate 2.31 times more return on investment than Calvert Large. However, Multi Manager is 2.31 times more volatile than Calvert Large Cap. It trades about 0.15 of its potential returns per unit of risk. Calvert Large Cap is currently generating about 0.22 per unit of risk. If you would invest  721.00  in Multi Manager High Yield on October 29, 2024 and sell it today you would earn a total of  127.00  from holding Multi Manager High Yield or generate 17.61% return on investment over 90 days.
Time Period3 Months [change]
DirectionMoves Together 
StrengthStrong
Accuracy99.8%
ValuesDaily Returns

Multi Manager High Yield  vs.  Calvert Large Cap

 Performance 
JavaScript chart by amCharts 3.21.15NovDec2025 -0.50.00.51.0
JavaScript chart by amCharts 3.21.15NMHYX CMIFX
       Timeline  
Multi Manager High 

Risk-Adjusted Performance

15 of 100

 
Weak
 
Strong
Good
Compared to the overall equity markets, risk-adjusted returns on investments in Multi Manager High Yield are ranked lower than 15 (%) of all funds and portfolios of funds over the last 90 days. In spite of fairly strong basic indicators, Multi Manager is not utilizing all of its potentials. The current stock price disturbance, may contribute to short-term losses for the investors.
JavaScript chart by amCharts 3.21.15NovDecJanDecJan8.348.368.388.48.428.448.468.48
Calvert Large Cap 

Risk-Adjusted Performance

13 of 100

 
Weak
 
Strong
Good
Compared to the overall equity markets, risk-adjusted returns on investments in Calvert Large Cap are ranked lower than 13 (%) of all funds and portfolios of funds over the last 90 days. In spite of fairly strong technical and fundamental indicators, Calvert Large is not utilizing all of its potentials. The current stock price disturbance, may contribute to short-term losses for the investors.
JavaScript chart by amCharts 3.21.15NovDecJanDecJan9.669.689.79.729.74

Multi Manager and Calvert Large Volatility Contrast

   Predicted Return Density   
JavaScript chart by amCharts 3.21.15-0.36-0.16-0.0753-0.0376-0.0018820.03220.07250.160.360.56 102030405060
JavaScript chart by amCharts 3.21.15NMHYX CMIFX
       Returns  

Pair Trading with Multi Manager and Calvert Large

The main advantage of trading using opposite Multi Manager and Calvert Large positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Multi Manager position performs unexpectedly, Calvert Large 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 Large will offset losses from the drop in Calvert Large's long position.
The idea behind Multi Manager High Yield and Calvert Large Cap 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.
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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 Optimization module to compute new portfolio that will generate highest expected return given your specified tolerance for risk.

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