Correlation Between Calvert Developed and Gmo Quality

Can any of the company-specific risk be diversified away by investing in both Calvert Developed and Gmo Quality 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 Developed and Gmo Quality into the same portfolio, which is an essential part of the fundamental portfolio management process.

By analyzing existing cross correlation between Calvert Developed Market and Gmo Quality Fund, you can compare the effects of market volatilities on Calvert Developed and Gmo Quality 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 Developed with a short position of Gmo Quality. Check out your portfolio center. Please also check ongoing floating volatility patterns of Calvert Developed and Gmo Quality.

Diversification Opportunities for Calvert Developed and Gmo Quality

0.95

Correlation Coefficient

Calvert Developed  Gmo Quality

Almost no diversification

The 3 months correlation between Calvert and Gmo is 0.95. Overlapping area represents the amount of risk that can be diversified away by holding Calvert Developed Market and Gmo Quality Fund in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Gmo Quality Fund and Calvert Developed 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 Developed Market are associated (or correlated) with Gmo Quality. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Gmo Quality Fund has no effect on the direction of Calvert Developed i.e., Calvert Developed and Gmo Quality go up and down completely randomly.

Pair Corralation between Calvert Developed and Gmo Quality

Assuming the 90 days horizon Calvert Developed Market is expected to generate 0.99 times more return on investment than Gmo Quality. However, Calvert Developed Market is 1.01 times less risky than Gmo Quality. It trades about 0.17 of its potential returns per unit of risk. Gmo Quality Fund is currently generating about 0.14 per unit of risk. If you would invest  3,280  in Calvert Developed Market on May 2, 2025 and sell it today you would earn a total of  240.00  from holding Calvert Developed Market or generate 7.32% return on investment over 90 days.

Time Period	3 Months [change]
Direction	Moves Together
Strength	Very Strong
Accuracy	100.0%
Values	Daily Returns

Calvert Developed Market  vs.  Gmo Quality Fund

Calvert Developed Market

Risk-Adjusted Performance

Good

Compared to the overall equity markets, risk-adjusted returns on investments in Calvert Developed Market are ranked lower than 13 (%) of all funds and portfolios of funds over the last 90 days. In spite of fairly weak forward indicators, Calvert Developed may actually be approaching a critical reversion point that can send shares even higher in August 2025.

Gmo Quality Fund

Risk-Adjusted Performance

Good

Compared to the overall equity markets, risk-adjusted returns on investments in Gmo Quality Fund are ranked lower than 11 (%) of all funds and portfolios of funds over the last 90 days. In spite of fairly weak basic indicators, Gmo Quality may actually be approaching a critical reversion point that can send shares even higher in August 2025.

Pair Trading with Calvert Developed and Gmo Quality

The main advantage of trading using opposite Calvert Developed and Gmo Quality positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Calvert Developed position performs unexpectedly, Gmo Quality 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 Gmo Quality will offset losses from the drop in Gmo Quality's long position.

The idea behind Calvert Developed Market and Gmo Quality Fund 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.

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 Equity Forecasting module to use basic forecasting models to generate price predictions and determine price momentum.