Correlation Between Nasdaq-100(r) and Calvert Developed
Can any of the company-specific risk be diversified away by investing in both Nasdaq-100(r) and Calvert Developed 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 Nasdaq-100(r) and Calvert Developed into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Nasdaq 100 2x Strategy and Calvert Developed Market, you can compare the effects of market volatilities on Nasdaq-100(r) and Calvert Developed 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 Nasdaq-100(r) with a short position of Calvert Developed. Check out your portfolio center. Please also check ongoing floating volatility patterns of Nasdaq-100(r) and Calvert Developed.
Diversification Opportunities for Nasdaq-100(r) and Calvert Developed
0.32 | Correlation Coefficient |
Weak diversification
The 3 months correlation between Nasdaq-100(r) and Calvert is 0.32. Overlapping area represents the amount of risk that can be diversified away by holding Nasdaq 100 2x Strategy and Calvert Developed Market in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Calvert Developed Market and Nasdaq-100(r) 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 Nasdaq 100 2x Strategy are associated (or correlated) with Calvert Developed. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Calvert Developed Market has no effect on the direction of Nasdaq-100(r) i.e., Nasdaq-100(r) and Calvert Developed go up and down completely randomly.
Pair Corralation between Nasdaq-100(r) and Calvert Developed
Assuming the 90 days horizon Nasdaq 100 2x Strategy is expected to generate 2.79 times more return on investment than Calvert Developed. However, Nasdaq-100(r) is 2.79 times more volatile than Calvert Developed Market. It trades about 0.09 of its potential returns per unit of risk. Calvert Developed Market is currently generating about 0.07 per unit of risk. If you would invest 22,025 in Nasdaq 100 2x Strategy on December 2, 2024 and sell it today you would earn a total of 31,525 from holding Nasdaq 100 2x Strategy or generate 143.13% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Very Weak |
| Accuracy | 100.0% |
| Values | Daily Returns |
Nasdaq 100 2x Strategy vs. Calvert Developed Market
Performance |
| Timeline |
| Nasdaq 100 2x |
| Calvert Developed Market |
Nasdaq-100(r) and Calvert Developed Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Nasdaq-100(r) and Calvert Developed
The main advantage of trading using opposite Nasdaq-100(r) and Calvert Developed positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Nasdaq-100(r) position performs unexpectedly, Calvert Developed 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 Developed will offset losses from the drop in Calvert Developed's long position.| Nasdaq-100(r) vs. Sp 500 2x | ||
| Nasdaq-100(r) vs. Inverse Nasdaq 100 2x | ||
| Nasdaq-100(r) vs. Inverse Sp 500 | ||
| Nasdaq-100(r) vs. Ultra Nasdaq 100 Profunds |
| Calvert Developed vs. Calvert Large Cap | ||
| Calvert Developed vs. Calvert Large Cap | ||
| Calvert Developed vs. Calvert Mid Cap | ||
| Calvert Developed vs. Calvert Short Duration |
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 Manager module to state of the art Portfolio Manager to monitor and improve performance of your invested capital.
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