Correlation Between Calvert Moderate and Capital Management

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

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

Diversification Opportunities for Calvert Moderate and Capital Management

0.54

Correlation Coefficient

Calvert Moderate  Capital Management

Very weak diversification

The 3 months correlation between Calvert and Capital is 0.54. Overlapping area represents the amount of risk that can be diversified away by holding Calvert Moderate Allocation and Capital Management Mid Cap in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Capital Management Mid and Calvert Moderate 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 Moderate Allocation are associated (or correlated) with Capital Management. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Capital Management Mid has no effect on the direction of Calvert Moderate i.e., Calvert Moderate and Capital Management go up and down completely randomly.

Pair Corralation between Calvert Moderate and Capital Management

Assuming the 90 days horizon Calvert Moderate Allocation is expected to generate 0.49 times more return on investment than Capital Management. However, Calvert Moderate Allocation is 2.03 times less risky than Capital Management. It trades about 0.17 of its potential returns per unit of risk. Capital Management Mid Cap is currently generating about -0.03 per unit of risk. If you would invest  2,212  in Calvert Moderate Allocation on May 11, 2025 and sell it today you would earn a total of  105.00  from holding Calvert Moderate Allocation or generate 4.75% return on investment over 90 days.

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

Calvert Moderate Allocation  vs.  Capital Management Mid Cap

Calvert Moderate All

Risk-Adjusted Performance

Good

Compared to the overall equity markets, risk-adjusted returns on investments in Calvert Moderate Allocation are ranked lower than 13 (%) of all funds and portfolios of funds over the last 90 days. In spite of fairly strong basic indicators, Calvert Moderate is not utilizing all of its potentials. The current stock price disturbance, may contribute to short-term losses for the investors.

Capital Management Mid

Risk-Adjusted Performance

Weakest

Over the last 90 days Capital Management Mid Cap has generated negative risk-adjusted returns adding no value to fund investors. In spite of fairly strong forward indicators, Capital Management 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 Moderate and Capital Management

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

The idea behind Calvert Moderate Allocation and Capital Management Mid 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 Commodity Channel module to use Commodity Channel Index to analyze current equity momentum.