Correlation Between Shenkman Short and Calvert Ultra-short

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

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

Diversification Opportunities for Shenkman Short and Calvert Ultra-short

0.94

Correlation Coefficient

Shenkman Short  Calvert Ultra-short

Almost no diversification

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

Pair Corralation between Shenkman Short and Calvert Ultra-short

Assuming the 90 days horizon Shenkman Short Duration is expected to generate 0.84 times more return on investment than Calvert Ultra-short. However, Shenkman Short Duration is 1.19 times less risky than Calvert Ultra-short. It trades about 0.49 of its potential returns per unit of risk. Calvert Ultra Short Income is currently generating about 0.15 per unit of risk. If you would invest  969.00  in Shenkman Short Duration on May 1, 2025 and sell it today you would earn a total of  22.00  from holding Shenkman Short Duration or generate 2.27% return on investment over 90 days.

Time Period	3 Months [change]
Direction	Moves Together
Strength	Very Strong
Accuracy	98.39%
Values	Daily Returns

Shenkman Short Duration  vs.  Calvert Ultra Short Income

Shenkman Short Duration

Risk-Adjusted Performance

Very Strong

Compared to the overall equity markets, risk-adjusted returns on investments in Shenkman Short Duration are ranked lower than 38 (%) of all funds and portfolios of funds over the last 90 days. In spite of fairly strong technical and fundamental indicators, Shenkman Short is not utilizing all of its potentials. The current stock price disturbance, may contribute to short-term losses for the investors.

Calvert Ultra Short

Risk-Adjusted Performance

Good

Compared to the overall equity markets, risk-adjusted returns on investments in Calvert Ultra Short Income are ranked lower than 11 (%) of all funds and portfolios of funds over the last 90 days. In spite of fairly strong basic indicators, Calvert Ultra-short is not utilizing all of its potentials. The current stock price disturbance, may contribute to short-term losses for the investors.

Pair Trading with Shenkman Short and Calvert Ultra-short

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

The idea behind Shenkman Short Duration and Calvert Ultra Short Income 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 Comparator module to compare the composition, asset allocations and performance of any two portfolios in your account.