Correlation Between Calvert Emerging and Calvert Smallmid

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

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

Diversification Opportunities for Calvert Emerging and Calvert Smallmid

0.28

Correlation Coefficient

Calvert Emerging  Calvert Smallmid

Modest diversification

The 3 months correlation between Calvert and Calvert is 0.28. Overlapping area represents the amount of risk that can be diversified away by holding Calvert Emerging Markets and Calvert Smallmid Cap A in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Calvert Smallmid Cap and Calvert Emerging 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 Emerging Markets are associated (or correlated) with Calvert Smallmid. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Calvert Smallmid Cap has no effect on the direction of Calvert Emerging i.e., Calvert Emerging and Calvert Smallmid go up and down completely randomly.

Pair Corralation between Calvert Emerging and Calvert Smallmid

Assuming the 90 days horizon Calvert Emerging Markets is expected to under-perform the Calvert Smallmid. But the mutual fund apears to be less risky and, when comparing its historical volatility, Calvert Emerging Markets is 1.09 times less risky than Calvert Smallmid. The mutual fund trades about -0.01 of its potential returns per unit of risk. The Calvert Smallmid Cap A is currently generating about 0.0 of returns per unit of risk over similar time horizon. If you would invest  2,631  in Calvert Smallmid Cap A on October 20, 2024 and sell it today you would lose (7.00) from holding Calvert Smallmid Cap A or give up 0.27% of portfolio value over 90 days.

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

Calvert Emerging Markets  vs.  Calvert Smallmid Cap A

Calvert Emerging Markets

Risk-Adjusted Performance

0 of 100

Very Weak

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

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.

Pair Trading with Calvert Emerging and Calvert Smallmid

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

The idea behind Calvert Emerging Markets 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 Idea Analyzer module to analyze all characteristics, volatility and risk-adjusted return of Macroaxis ideas.