Correlation Between Calvert Global and Arbitrage Fund

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

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

Diversification Opportunities for Calvert Global and Arbitrage Fund

0.94

Correlation Coefficient

Calvert Global  Arbitrage Fund

Almost no diversification

The 3 months correlation between Calvert and Arbitrage is 0.94. Overlapping area represents the amount of risk that can be diversified away by holding Calvert Global Water and The Arbitrage Fund in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Arbitrage Fund and Calvert Global 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 Global Water are associated (or correlated) with Arbitrage Fund. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Arbitrage Fund has no effect on the direction of Calvert Global i.e., Calvert Global and Arbitrage Fund go up and down completely randomly.

Pair Corralation between Calvert Global and Arbitrage Fund

Assuming the 90 days horizon Calvert Global Water is expected to generate 6.01 times more return on investment than Arbitrage Fund. However, Calvert Global is 6.01 times more volatile than The Arbitrage Fund. It trades about 0.28 of its potential returns per unit of risk. The Arbitrage Fund is currently generating about 0.42 per unit of risk. If you would invest  2,637  in Calvert Global Water on April 20, 2025 and sell it today you would earn a total of  347.00  from holding Calvert Global Water or generate 13.16% return on investment over 90 days.

Time Period	3 Months [change]
Direction	Moves Together
Strength	Very Strong
Accuracy	98.41%
Values	Daily Returns

Calvert Global Water  vs.  The Arbitrage Fund

Calvert Global Water

Risk-Adjusted Performance

Solid

Compared to the overall equity markets, risk-adjusted returns on investments in Calvert Global Water are ranked lower than 21 (%) of all funds and portfolios of funds over the last 90 days. In spite of fairly weak forward indicators, Calvert Global showed solid returns over the last few months and may actually be approaching a breakup point.

Arbitrage Fund

Risk-Adjusted Performance

Very Strong

Compared to the overall equity markets, risk-adjusted returns on investments in The Arbitrage Fund are ranked lower than 33 (%) of all funds and portfolios of funds over the last 90 days. In spite of fairly strong fundamental indicators, Arbitrage Fund is not utilizing all of its potentials. The current stock price disturbance, may contribute to short-term losses for the investors.

Pair Trading with Calvert Global and Arbitrage Fund

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

The idea behind Calvert Global Water and The Arbitrage 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.

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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 Theme Ratings module to determine theme ratings based on digital equity recommendations. Macroaxis theme ratings are based on combination of fundamental analysis and risk-adjusted market performance.