Correlation Between Calvert Large and Vanguard Small-cap

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

Diversification Opportunities for Calvert Large and Vanguard Small-cap

-0.66

Correlation Coefficient

Calvert Large  Vanguard Small-cap

Excellent diversification

The 3 months correlation between Calvert and Vanguard is -0.66. Overlapping area represents the amount of risk that can be diversified away by holding Calvert Large Cap and Vanguard Small Cap Index in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Vanguard Small Cap and Calvert Large 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 Vanguard Small-cap. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Vanguard Small Cap has no effect on the direction of Calvert Large i.e., Calvert Large and Vanguard Small-cap go up and down completely randomly.

Pair Corralation between Calvert Large and Vanguard Small-cap

Assuming the 90 days horizon Calvert Large Cap is expected to generate 0.08 times more return on investment than Vanguard Small-cap. However, Calvert Large Cap is 12.06 times less risky than Vanguard Small-cap. It trades about 0.25 of its potential returns per unit of risk. Vanguard Small Cap Index is currently generating about -0.1 per unit of risk. If you would invest  963.00  in Calvert Large Cap on December 21, 2024 and sell it today you would earn a total of  13.00  from holding Calvert Large Cap or generate 1.35% return on investment over 90 days.

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

Calvert Large Cap  vs.  Vanguard Small Cap Index

Calvert Large Cap

Risk-Adjusted Performance

Solid

Compared to the overall equity markets, risk-adjusted returns on investments in Calvert Large Cap are ranked lower than 19 (%) of all funds and portfolios of funds over the last 90 days. In spite of fairly strong technical and fundamental indicators, Calvert Large is not utilizing all of its potentials. The current stock price disturbance, may contribute to short-term losses for the investors.

Vanguard Small Cap

Risk-Adjusted Performance

Very Weak

Over the last 90 days Vanguard Small Cap Index 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 Large and Vanguard Small-cap

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

The idea behind Calvert Large Cap and Vanguard Small Cap Index 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 Piotroski F Score module to get Piotroski F Score based on the binary analysis strategy of nine different fundamentals.