Correlation Between Calvert Global and California Municipal

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

By analyzing existing cross correlation between Calvert Global Equity and California Municipal Portfolio, you can compare the effects of market volatilities on Calvert Global and California Municipal 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 California Municipal. Check out your portfolio center. Please also check ongoing floating volatility patterns of Calvert Global and California Municipal.

Diversification Opportunities for Calvert Global and California Municipal

0.87

Correlation Coefficient

Calvert Global  California Municipal

Very poor diversification

The 3 months correlation between Calvert and California is 0.87. Overlapping area represents the amount of risk that can be diversified away by holding Calvert Global Equity and California Municipal Portfolio in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on California Municipal 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 Equity are associated (or correlated) with California Municipal. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of California Municipal has no effect on the direction of Calvert Global i.e., Calvert Global and California Municipal go up and down completely randomly.

Pair Corralation between Calvert Global and California Municipal

Assuming the 90 days horizon Calvert Global Equity is expected to generate 7.61 times more return on investment than California Municipal. However, Calvert Global is 7.61 times more volatile than California Municipal Portfolio. It trades about 0.31 of its potential returns per unit of risk. California Municipal Portfolio is currently generating about 0.17 per unit of risk. If you would invest  1,603  in Calvert Global Equity on April 26, 2025 and sell it today you would earn a total of  242.00  from holding Calvert Global Equity or generate 15.1% return on investment over 90 days.

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

Calvert Global Equity  vs.  California Municipal Portfolio

Calvert Global Equity

Risk-Adjusted Performance

Solid

Compared to the overall equity markets, risk-adjusted returns on investments in Calvert Global Equity are ranked lower than 24 (%) 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.

California Municipal

Risk-Adjusted Performance

Good

Compared to the overall equity markets, risk-adjusted returns on investments in California Municipal Portfolio are ranked lower than 13 (%) of all funds and portfolios of funds over the last 90 days. In spite of fairly strong basic indicators, California Municipal 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 California Municipal

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

The idea behind Calvert Global Equity and California Municipal Portfolio 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 Idea Breakdown module to analyze constituents of all Macroaxis ideas. Macroaxis investment ideas are predefined, sector-focused investing themes.