Correlation Between Calvert Developed and Mid Cap

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

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

Diversification Opportunities for Calvert Developed and Mid Cap

-0.38

Correlation Coefficient

Calvert Developed  Mid Cap

Very good diversification

The 3 months correlation between Calvert and Mid is -0.38. Overlapping area represents the amount of risk that can be diversified away by holding Calvert Developed Market and Mid Cap Value Profund in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Mid Cap Value and Calvert Developed 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 Developed Market are associated (or correlated) with Mid Cap. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Mid Cap Value has no effect on the direction of Calvert Developed i.e., Calvert Developed and Mid Cap go up and down completely randomly.

Pair Corralation between Calvert Developed and Mid Cap

Assuming the 90 days horizon Calvert Developed is expected to generate 1.02 times less return on investment than Mid Cap. But when comparing it to its historical volatility, Calvert Developed Market is 1.34 times less risky than Mid Cap. It trades about 0.05 of its potential returns per unit of risk. Mid Cap Value Profund is currently generating about 0.04 of returns per unit of risk over similar time horizon. If you would invest  7,276  in Mid Cap Value Profund on September 22, 2024 and sell it today you would earn a total of  1,489  from holding Mid Cap Value Profund or generate 20.46% return on investment over 90 days.

Time Period	3 Months [change]
Direction	Moves Against
Strength	Insignificant
Accuracy	99.8%
Values	Daily Returns

Calvert Developed Market  vs.  Mid Cap Value Profund

Calvert Developed Market

Risk-Adjusted Performance

0 of 100

Very Weak

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

Mid Cap Value

Risk-Adjusted Performance

0 of 100

Very Weak

Over the last 90 days Mid Cap Value Profund has generated negative risk-adjusted returns adding no value to fund investors. In spite of fairly strong basic indicators, Mid Cap 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 Developed and Mid Cap

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

The idea behind Calvert Developed Market and Mid Cap Value Profund 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 Price Exposure Probability module to analyze equity upside and downside potential for a given time horizon across multiple markets.