Correlation Between Calvert Floating-rate and Calvert Small/mid-cap

Can any of the company-specific risk be diversified away by investing in both Calvert Floating-rate 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 Floating-rate 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 Floating Rate Advantage and Calvert Smallmid Cap A, you can compare the effects of market volatilities on Calvert Floating-rate 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 Floating-rate with a short position of Calvert Small/mid-cap. Check out your portfolio center. Please also check ongoing floating volatility patterns of Calvert Floating-rate and Calvert Small/mid-cap.

Diversification Opportunities for Calvert Floating-rate and Calvert Small/mid-cap

-0.55

Correlation Coefficient

Calvert Floating-rate  Calvert Small/mid-cap

Excellent diversification

The 3 months correlation between Calvert and Calvert is -0.55. Overlapping area represents the amount of risk that can be diversified away by holding Calvert Floating Rate Advantag 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 Floating-rate 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 Floating Rate Advantage 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 Floating-rate i.e., Calvert Floating-rate and Calvert Small/mid-cap go up and down completely randomly.

Pair Corralation between Calvert Floating-rate and Calvert Small/mid-cap

Assuming the 90 days horizon Calvert Floating Rate Advantage is expected to generate 0.19 times more return on investment than Calvert Small/mid-cap. However, Calvert Floating Rate Advantage is 5.18 times less risky than Calvert Small/mid-cap. It trades about 0.21 of its potential returns per unit of risk. Calvert Smallmid Cap A is currently generating about 0.02 per unit of risk. If you would invest  731.00  in Calvert Floating Rate Advantage on December 6, 2024 and sell it today you would earn a total of  159.00  from holding Calvert Floating Rate Advantage or generate 21.75% return on investment over 90 days.

Time Period	3 Months [change]
Direction	Moves Against
Strength	Very Weak
Accuracy	74.24%
Values	Daily Returns

Calvert Floating Rate Advantag  vs.  Calvert Smallmid Cap A

Calvert Floating Rate

Risk-Adjusted Performance

OK

Compared to the overall equity markets, risk-adjusted returns on investments in Calvert Floating Rate Advantage are ranked lower than 7 (%) of all funds and portfolios of funds over the last 90 days. In spite of fairly strong forward indicators, Calvert Floating-rate 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 weak performance in the last few months, the Fund's basic indicators remain fairly strong which may send shares a bit higher in April 2025. The current disturbance may also be a sign of long term up-swing for the fund investors.

Pair Trading with Calvert Floating-rate and Calvert Small/mid-cap

The main advantage of trading using opposite Calvert Floating-rate and Calvert Small/mid-cap positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Calvert Floating-rate 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 Floating Rate Advantage 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 Money Managers module to screen money managers from public funds and ETFs managed around the world.