Correlation Between Calvert Small and Cambiar Smid

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

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

Diversification Opportunities for Calvert Small and Cambiar Smid

0.89

Correlation Coefficient

Calvert Small  Cambiar Smid

Very poor diversification

The 3 months correlation between Calvert and Cambiar is 0.89. Overlapping area represents the amount of risk that can be diversified away by holding Calvert Small Cap and Cambiar Smid Fund in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Cambiar Smid and Calvert Small 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 Small Cap are associated (or correlated) with Cambiar Smid. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Cambiar Smid has no effect on the direction of Calvert Small i.e., Calvert Small and Cambiar Smid go up and down completely randomly.

Pair Corralation between Calvert Small and Cambiar Smid

Assuming the 90 days horizon Calvert Small Cap is expected to generate 1.4 times more return on investment than Cambiar Smid. However, Calvert Small is 1.4 times more volatile than Cambiar Smid Fund. It trades about 0.3 of its potential returns per unit of risk. Cambiar Smid Fund is currently generating about 0.14 per unit of risk. If you would invest  3,358  in Calvert Small Cap on September 4, 2024 and sell it today you would earn a total of  308.00  from holding Calvert Small Cap or generate 9.17% return on investment over 90 days.

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

Calvert Small Cap  vs.  Cambiar Smid Fund

Calvert Small Cap

Risk-Adjusted Performance

12 of 100

Good

Compared to the overall equity markets, risk-adjusted returns on investments in Calvert Small Cap are ranked lower than 12 (%) of all funds and portfolios of funds over the last 90 days. In spite of fairly weak basic indicators, Calvert Small may actually be approaching a critical reversion point that can send shares even higher in January 2025.

Cambiar Smid

Risk-Adjusted Performance

5 of 100

OK

Compared to the overall equity markets, risk-adjusted returns on investments in Cambiar Smid Fund are ranked lower than 5 (%) of all funds and portfolios of funds over the last 90 days. In spite of fairly strong basic indicators, Cambiar Smid 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 Small and Cambiar Smid

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

The idea behind Calvert Small Cap and Cambiar Smid 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 Pair Correlation module to compare performance and examine fundamental relationship between any two equity instruments.