Correlation Between Calvert Us and Calvert Small/mid-cap

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

By analyzing existing cross correlation between Calvert Large Cap and Calvert Smallmid Cap A, you can compare the effects of market volatilities on Calvert Us and Calvert Small/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 Us with a short position of Calvert Small/mid-cap. Check out your portfolio center. Please also check ongoing floating volatility patterns of Calvert Us and Calvert Small/mid-cap.

Diversification Opportunities for Calvert Us and Calvert Small/mid-cap

0.79

Correlation Coefficient

Calvert Us  Calvert Small/mid-cap

Poor diversification

The 3 months correlation between Calvert and Calvert is 0.79. Overlapping area represents the amount of risk that can be diversified away by holding Calvert Large Cap and Calvert Smallmid Cap A in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Calvert Small/mid-cap and Calvert Us 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 Large Cap are associated (or correlated) with Calvert Small/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 Calvert Small/mid-cap has no effect on the direction of Calvert Us i.e., Calvert Us and Calvert Small/mid-cap go up and down completely randomly.

Pair Corralation between Calvert Us and Calvert Small/mid-cap

Assuming the 90 days horizon Calvert Large Cap is expected to generate 0.94 times more return on investment than Calvert Small/mid-cap. However, Calvert Large Cap is 1.07 times less risky than Calvert Small/mid-cap. It trades about -0.14 of its potential returns per unit of risk. Calvert Smallmid Cap A is currently generating about -0.32 per unit of risk. If you would invest  3,363  in Calvert Large Cap on December 10, 2024 and sell it today you would lose (80.00) from holding Calvert Large Cap or give up 2.38% of portfolio value over 90 days.

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

Calvert Large Cap  vs.  Calvert Smallmid Cap A

Calvert Large Cap

Risk-Adjusted Performance

Very Weak

Over the last 90 days Calvert Large Cap has generated negative risk-adjusted returns adding no value to fund investors. In spite of fairly strong forward indicators, Calvert Us is not utilizing all of its potentials. The current stock price disturbance, may contribute to short-term losses for the investors.

Calvert Small/mid-cap

Risk-Adjusted Performance

Very Weak

Over the last 90 days Calvert Smallmid Cap A 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 Us and Calvert Small/mid-cap

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

The idea behind Calvert Large Cap and Calvert Smallmid Cap A 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.