Correlation Between Calvert High and Calvert Short
Can any of the company-specific risk be diversified away by investing in both Calvert High and Calvert Short 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 Calvert High and Calvert Short into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Calvert High Yield and Calvert Short Duration, you can compare the effects of market volatilities on Calvert High and Calvert Short 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 Calvert High with a short position of Calvert Short. Check out your portfolio center. Please also check ongoing floating volatility patterns of Calvert High and Calvert Short.
Diversification Opportunities for Calvert High and Calvert Short
0.84 | Correlation Coefficient |
Very poor diversification
The 3 months correlation between CALVERT and Calvert is 0.84. Overlapping area represents the amount of risk that can be diversified away by holding Calvert High Yield and Calvert Short Duration in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Calvert Short Duration and Calvert High 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 Calvert High Yield are associated (or correlated) with Calvert Short. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Calvert Short Duration has no effect on the direction of Calvert High i.e., Calvert High and Calvert Short go up and down completely randomly.
Pair Corralation between Calvert High and Calvert Short
Assuming the 90 days horizon Calvert High Yield is expected to generate 1.58 times more return on investment than Calvert Short. However, Calvert High is 1.58 times more volatile than Calvert Short Duration. It trades about 0.41 of its potential returns per unit of risk. Calvert Short Duration is currently generating about 0.22 per unit of risk. If you would invest 2,425 in Calvert High Yield on April 11, 2025 and sell it today you would earn a total of 121.00 from holding Calvert High Yield or generate 4.99% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Strong |
| Accuracy | 100.0% |
| Values | Daily Returns |
Calvert High Yield vs. Calvert Short Duration
Performance |
| Timeline |
| Calvert High Yield |
| Calvert Short Duration |
Calvert High and Calvert Short Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Calvert High and Calvert Short
The main advantage of trading using opposite Calvert High and Calvert Short positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Calvert High position performs unexpectedly, Calvert Short 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 Short will offset losses from the drop in Calvert Short's long position.| Calvert High vs. Dreyfus High Yield | Calvert High vs. Blackrock High Yield | Calvert High vs. Prudential Short Duration | Calvert High vs. John Hancock Focused |
| Calvert Short vs. Old Westbury Large | Calvert Short vs. Transamerica Large Cap | Calvert Short vs. M Large Cap | Calvert Short vs. Prudential Qma Large Cap |
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 Comparator module to compare the composition, asset allocations and performance of any two portfolios in your account.
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