Correlation Between Calvert Smallmid and Aqr Small

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

Diversification Opportunities for Calvert Smallmid and Aqr Small

0.86

Correlation Coefficient

Calvert Smallmid  Aqr Small

Very poor diversification

The 3 months correlation between Calvert and Aqr is 0.86. Overlapping area represents the amount of risk that can be diversified away by holding Calvert Smallmid Cap A and Aqr Small Cap in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Aqr Small Cap and Calvert Smallmid 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 Aqr Small. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Aqr Small Cap has no effect on the direction of Calvert Smallmid i.e., Calvert Smallmid and Aqr Small go up and down completely randomly.

Pair Corralation between Calvert Smallmid and Aqr Small

Assuming the 90 days horizon Calvert Smallmid Cap A is expected to generate 0.54 times more return on investment than Aqr Small. However, Calvert Smallmid Cap A is 1.84 times less risky than Aqr Small. It trades about -0.4 of its potential returns per unit of risk. Aqr Small Cap is currently generating about -0.32 per unit of risk. If you would invest  2,958  in Calvert Smallmid Cap A on September 24, 2024 and sell it today you would lose (375.00) from holding Calvert Smallmid Cap A or give up 12.68% 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.  Aqr Small Cap

Calvert Smallmid Cap

Risk-Adjusted Performance

0 of 100

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 fairly strong basic indicators, Calvert Smallmid is not utilizing all of its potentials. The current stock price disturbance, may contribute to short-term losses for the investors.

Aqr Small Cap

Risk-Adjusted Performance

0 of 100

Very Weak

Over the last 90 days Aqr Small Cap 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 Smallmid and Aqr Small

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

The idea behind Calvert Smallmid Cap A and Aqr Small Cap 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 Analysis module to research over 250,000 global equities including funds, stocks and ETFs to find investment opportunities.