Correlation Between Transamerica Intermediate and Calvert Floating-rate
Can any of the company-specific risk be diversified away by investing in both Transamerica Intermediate and Calvert Floating-rate 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 Transamerica Intermediate and Calvert Floating-rate into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Transamerica Intermediate Muni and Calvert Floating Rate Advantage, you can compare the effects of market volatilities on Transamerica Intermediate and Calvert Floating-rate 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 Transamerica Intermediate with a short position of Calvert Floating-rate. Check out your portfolio center. Please also check ongoing floating volatility patterns of Transamerica Intermediate and Calvert Floating-rate.
Diversification Opportunities for Transamerica Intermediate and Calvert Floating-rate
-0.27 | Correlation Coefficient |
Very good diversification
The 3 months correlation between Transamerica and Calvert is -0.27. Overlapping area represents the amount of risk that can be diversified away by holding Transamerica Intermediate Muni and Calvert Floating Rate Advantag in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Calvert Floating Rate and Transamerica Intermediate 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 Transamerica Intermediate Muni are associated (or correlated) with Calvert Floating-rate. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Calvert Floating Rate has no effect on the direction of Transamerica Intermediate i.e., Transamerica Intermediate and Calvert Floating-rate go up and down completely randomly.
Pair Corralation between Transamerica Intermediate and Calvert Floating-rate
Assuming the 90 days horizon Transamerica Intermediate is expected to generate 2.09 times less return on investment than Calvert Floating-rate. In addition to that, Transamerica Intermediate is 1.26 times more volatile than Calvert Floating Rate Advantage. It trades about 0.08 of its total potential returns per unit of risk. Calvert Floating Rate Advantage is currently generating about 0.22 per unit of volatility. If you would invest 772.00 in Calvert Floating Rate Advantage on August 31, 2024 and sell it today you would earn a total of 127.00 from holding Calvert Floating Rate Advantage or generate 16.45% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Against |
| Strength | Insignificant |
| Accuracy | 99.73% |
| Values | Daily Returns |
Transamerica Intermediate Muni vs. Calvert Floating Rate Advantag
Performance |
| Timeline |
| Transamerica Intermediate |
| Calvert Floating Rate |
Transamerica Intermediate and Calvert Floating-rate Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Transamerica Intermediate and Calvert Floating-rate
The main advantage of trading using opposite Transamerica Intermediate and Calvert Floating-rate positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Transamerica Intermediate position performs unexpectedly, Calvert Floating-rate 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 Floating-rate will offset losses from the drop in Calvert Floating-rate's long position.The idea behind Transamerica Intermediate Muni and Calvert Floating Rate Advantage 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 Floating-rate vs. Oppenheimer Senior Floating | Calvert Floating-rate vs. Floating Rate Fund | Calvert Floating-rate vs. Floating Rate Fund | Calvert Floating-rate vs. Floating Rate Fund |
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 Correlation Analysis module to reduce portfolio risk simply by holding instruments which are not perfectly correlated.
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