Correlation Between Calvert Small and Calvert Us

Can any of the company-specific risk be diversified away by investing in both Calvert Small and Calvert Us 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 Calvert Us 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 Calvert Mid Cap, you can compare the effects of market volatilities on Calvert Small and Calvert Us 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 Calvert Us. Check out your portfolio center. Please also check ongoing floating volatility patterns of Calvert Small and Calvert Us.

Diversification Opportunities for Calvert Small and Calvert Us

0.97

Correlation Coefficient

Calvert Small  Calvert Us

Almost no diversification

The 3 months correlation between Calvert and Calvert is 0.97. Overlapping area represents the amount of risk that can be diversified away by holding Calvert Small Cap and Calvert Mid Cap in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Calvert Mid Cap 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 Calvert Us. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Calvert Mid Cap has no effect on the direction of Calvert Small i.e., Calvert Small and Calvert Us go up and down completely randomly.

Pair Corralation between Calvert Small and Calvert Us

Assuming the 90 days horizon Calvert Small Cap is expected to generate 1.41 times more return on investment than Calvert Us. However, Calvert Small is 1.41 times more volatile than Calvert Mid Cap. It trades about 0.16 of its potential returns per unit of risk. Calvert Mid Cap is currently generating about 0.21 per unit of risk. If you would invest  3,305  in Calvert Small Cap on September 3, 2024 and sell it today you would earn a total of  374.00  from holding Calvert Small Cap or generate 11.32% return on investment over 90 days.

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

Calvert Small Cap  vs.  Calvert Mid Cap

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.

Calvert Mid Cap

Risk-Adjusted Performance

16 of 100

Solid

Compared to the overall equity markets, risk-adjusted returns on investments in Calvert Mid Cap are ranked lower than 16 (%) of all funds and portfolios of funds over the last 90 days. In spite of fairly weak basic indicators, Calvert Us may actually be approaching a critical reversion point that can send shares even higher in January 2025.

Pair Trading with Calvert Small and Calvert Us

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

The idea behind Calvert Small Cap and Calvert 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 Share Portfolio module to track or share privately all of your investments from the convenience of any device.