Correlation Between Real Assets and Calvert International

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

By analyzing existing cross correlation between Real Assets Portfolio and Calvert International Equity, you can compare the effects of market volatilities on Real Assets and Calvert International 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 Real Assets with a short position of Calvert International. Check out your portfolio center. Please also check ongoing floating volatility patterns of Real Assets and Calvert International.

Diversification Opportunities for Real Assets and Calvert International

0.11

Correlation Coefficient

Real Assets  Calvert International

Average diversification

The 3 months correlation between Real and Calvert is 0.11. Overlapping area represents the amount of risk that can be diversified away by holding Real Assets Portfolio and Calvert International Equity in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Calvert International and Real Assets 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 Real Assets Portfolio are associated (or correlated) with Calvert International. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Calvert International has no effect on the direction of Real Assets i.e., Real Assets and Calvert International go up and down completely randomly.

Pair Corralation between Real Assets and Calvert International

Assuming the 90 days horizon Real Assets is expected to generate 3.7 times less return on investment than Calvert International. But when comparing it to its historical volatility, Real Assets Portfolio is 1.99 times less risky than Calvert International. It trades about 0.27 of its potential returns per unit of risk. Calvert International Equity is currently generating about 0.49 of returns per unit of risk over similar time horizon. If you would invest  2,238  in Calvert International Equity on February 5, 2025 and sell it today you would earn a total of  350.00  from holding Calvert International Equity or generate 15.64% return on investment over 90 days.

Time Period	3 Months [change]
Direction	Moves Together
Strength	Insignificant
Accuracy	95.24%
Values	Daily Returns

Real Assets Portfolio  vs.  Calvert International Equity

Real Assets Portfolio

Risk-Adjusted Performance

Modest

Compared to the overall equity markets, risk-adjusted returns on investments in Real Assets Portfolio are ranked lower than 6 (%) of all funds and portfolios of funds over the last 90 days. In spite of fairly strong basic indicators, Real Assets is not utilizing all of its potentials. The current stock price disturbance, may contribute to short-term losses for the investors.

Calvert International

Risk-Adjusted Performance

Weak

Compared to the overall equity markets, risk-adjusted returns on investments in Calvert International Equity are ranked lower than 2 (%) of all funds and portfolios of funds over the last 90 days. In spite of fairly strong basic indicators, Calvert International is not utilizing all of its potentials. The current stock price disturbance, may contribute to short-term losses for the investors.

Pair Trading with Real Assets and Calvert International

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

The idea behind Real Assets Portfolio and Calvert International Equity 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 Portfolio Suggestion module to get suggestions outside of your existing asset allocation including your own model portfolios.