Correlation Between Calvert Small/mid-cap and Old Westbury

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

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

Diversification Opportunities for Calvert Small/mid-cap and Old Westbury

0.87

Correlation Coefficient

Calvert Small/mid-cap  Old Westbury

Very poor diversification

The 3 months correlation between Calvert and Old is 0.87. Overlapping area represents the amount of risk that can be diversified away by holding Calvert Smallmid Cap A and Old Westbury Small in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Old Westbury Small and Calvert Small/mid-cap 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 Smallmid Cap A are associated (or correlated) with Old Westbury. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Old Westbury Small has no effect on the direction of Calvert Small/mid-cap i.e., Calvert Small/mid-cap and Old Westbury go up and down completely randomly.

Pair Corralation between Calvert Small/mid-cap and Old Westbury

Assuming the 90 days horizon Calvert Smallmid Cap A is expected to under-perform the Old Westbury. In addition to that, Calvert Small/mid-cap is 1.0 times more volatile than Old Westbury Small. It trades about -0.19 of its total potential returns per unit of risk. Old Westbury Small is currently generating about -0.14 per unit of volatility. If you would invest  1,711  in Old Westbury Small on December 13, 2024 and sell it today you would lose (130.00) from holding Old Westbury Small or give up 7.6% of portfolio value over 90 days.

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

Calvert Smallmid Cap A  vs.  Old Westbury Small

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.

Old Westbury Small

Risk-Adjusted Performance

Very Weak

Over the last 90 days Old Westbury Small has generated negative risk-adjusted returns adding no value to fund investors. In spite of latest weak performance, the Fund's primary 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 Small/mid-cap and Old Westbury

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

The idea behind Calvert Smallmid Cap A and Old Westbury Small 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 Equity Forecasting module to use basic forecasting models to generate price predictions and determine price momentum.