Correlation Between Calvert Income and Calvert Large

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

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

Diversification Opportunities for Calvert Income and Calvert Large

0.74

Correlation Coefficient

Calvert Income  Calvert Large

Poor diversification

The 3 months correlation between Calvert and Calvert is 0.74. Overlapping area represents the amount of risk that can be diversified away by holding Calvert Income Fund 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 Calvert Income 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 Income Fund 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 Calvert Income i.e., Calvert Income and Calvert Large go up and down completely randomly.

Pair Corralation between Calvert Income and Calvert Large

Assuming the 90 days horizon Calvert Income is expected to generate 6.52 times less return on investment than Calvert Large. But when comparing it to its historical volatility, Calvert Income Fund is 3.57 times less risky than Calvert Large. It trades about 0.22 of its potential returns per unit of risk. Calvert Large Cap is currently generating about 0.39 of returns per unit of risk over similar time horizon. If you would invest  5,641  in Calvert Large Cap on April 20, 2025 and sell it today you would earn a total of  1,463  from holding Calvert Large Cap or generate 25.94% return on investment over 90 days.

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

Calvert Income Fund  vs.  Calvert Large Cap

Calvert Income

Risk-Adjusted Performance

Solid

Compared to the overall equity markets, risk-adjusted returns on investments in Calvert Income Fund are ranked lower than 16 (%) of all funds and portfolios of funds over the last 90 days. In spite of fairly strong fundamental indicators, Calvert Income is not utilizing all of its potentials. The current stock price disturbance, may contribute to short-term losses for the investors.

Calvert Large Cap

Risk-Adjusted Performance

Strong

Compared to the overall equity markets, risk-adjusted returns on investments in Calvert Large Cap are ranked lower than 30 (%) of all funds and portfolios of funds over the last 90 days. In spite of fairly weak basic indicators, Calvert Large showed solid returns over the last few months and may actually be approaching a breakup point.

Pair Trading with Calvert Income and Calvert Large

The main advantage of trading using opposite Calvert Income and Calvert Large positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Calvert Income 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 Calvert Income Fund 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 Bond Analysis module to evaluate and analyze corporate bonds as a potential investment for your portfolios..