Correlation Between Calvert Global and Calvert Smallcap

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

By analyzing existing cross correlation between Calvert Global Energy and Calvert Smallcap Fund6, you can compare the effects of market volatilities on Calvert Global and Calvert Smallcap 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 Global with a short position of Calvert Smallcap. Check out your portfolio center. Please also check ongoing floating volatility patterns of Calvert Global and Calvert Smallcap.

Diversification Opportunities for Calvert Global and Calvert Smallcap

-0.47

Correlation Coefficient

Calvert Global  Calvert Smallcap

Very good diversification

The 3 months correlation between Calvert and Calvert is -0.47. Overlapping area represents the amount of risk that can be diversified away by holding Calvert Global Energy and Calvert Smallcap Fund6 in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Calvert Smallcap Fund6 and Calvert Global 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 Global Energy are associated (or correlated) with Calvert Smallcap. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Calvert Smallcap Fund6 has no effect on the direction of Calvert Global i.e., Calvert Global and Calvert Smallcap go up and down completely randomly.

Pair Corralation between Calvert Global and Calvert Smallcap

Assuming the 90 days horizon Calvert Global Energy is expected to under-perform the Calvert Smallcap. But the mutual fund apears to be less risky and, when comparing its historical volatility, Calvert Global Energy is 1.13 times less risky than Calvert Smallcap. The mutual fund trades about -0.01 of its potential returns per unit of risk. The Calvert Smallcap Fund6 is currently generating about 0.07 of returns per unit of risk over similar time horizon. If you would invest  3,408  in Calvert Smallcap Fund6 on September 26, 2024 and sell it today you would earn a total of  343.00  from holding Calvert Smallcap Fund6 or generate 10.06% return on investment over 90 days.

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

Calvert Global Energy  vs.  Calvert Smallcap Fund6

Calvert Global Energy

Risk-Adjusted Performance

0 of 100

Very Weak

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

Calvert Smallcap Fund6

Risk-Adjusted Performance

1 of 100

Weak

Compared to the overall equity markets, risk-adjusted returns on investments in Calvert Smallcap Fund6 are ranked lower than 1 (%) of all funds and portfolios of funds over the last 90 days. In spite of fairly strong basic indicators, Calvert Smallcap 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 Global and Calvert Smallcap

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

The idea behind Calvert Global Energy and Calvert Smallcap Fund6 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 Portfolio Diagnostics module to use generated alerts and portfolio events aggregator to diagnose current holdings.