Correlation Between Calvert Aggressive and Siit Large

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

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

Diversification Opportunities for Calvert Aggressive and Siit Large

0.72

Correlation Coefficient

Calvert Aggressive  Siit Large

Poor diversification

The 3 months correlation between Calvert and Siit is 0.72. Overlapping area represents the amount of risk that can be diversified away by holding Calvert Aggressive Allocation and Siit Large Cap in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Siit Large Cap and Calvert Aggressive 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 Aggressive Allocation are associated (or correlated) with Siit Large. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Siit Large Cap has no effect on the direction of Calvert Aggressive i.e., Calvert Aggressive and Siit Large go up and down completely randomly.

Pair Corralation between Calvert Aggressive and Siit Large

Assuming the 90 days horizon Calvert Aggressive Allocation is expected to generate 0.94 times more return on investment than Siit Large. However, Calvert Aggressive Allocation is 1.07 times less risky than Siit Large. It trades about 0.06 of its potential returns per unit of risk. Siit Large Cap is currently generating about 0.05 per unit of risk. If you would invest  2,734  in Calvert Aggressive Allocation on October 24, 2024 and sell it today you would earn a total of  23.00  from holding Calvert Aggressive Allocation or generate 0.84% return on investment over 90 days.

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

Calvert Aggressive Allocation  vs.  Siit Large Cap

Calvert Aggressive

Risk-Adjusted Performance

2 of 100

Weak

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

Siit Large Cap

Risk-Adjusted Performance

0 of 100

Very Weak

Over the last 90 days Siit Large Cap has generated negative risk-adjusted returns adding no value to fund investors. In spite of latest weak performance, the Fund's basic indicators remain strong and the current disturbance on Wall Street may also be a sign of long term gains for the fund investors.

Pair Trading with Calvert Aggressive and Siit Large

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

The idea behind Calvert Aggressive Allocation and Siit Large 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 Global Markets Map module to get a quick overview of global market snapshot using zoomable world map. Drill down to check world indexes.