Correlation Between Nasdaq-100 Index and Calvert Small

Can any of the company-specific risk be diversified away by investing in both Nasdaq-100 Index and Calvert 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 Nasdaq-100 Index and Calvert Small into the same portfolio, which is an essential part of the fundamental portfolio management process.

By analyzing existing cross correlation between Nasdaq 100 Index Fund and Calvert Small Cap, you can compare the effects of market volatilities on Nasdaq-100 Index and Calvert 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 Nasdaq-100 Index with a short position of Calvert Small. Check out your portfolio center. Please also check ongoing floating volatility patterns of Nasdaq-100 Index and Calvert Small.

Diversification Opportunities for Nasdaq-100 Index and Calvert Small

0.9

Correlation Coefficient

Nasdaq-100 Index  Calvert Small

Almost no diversification

The 3 months correlation between NASDAQ-100 and Calvert is 0.9. Overlapping area represents the amount of risk that can be diversified away by holding Nasdaq 100 Index Fund and Calvert Small Cap in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Calvert Small Cap and Nasdaq-100 Index 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 Nasdaq 100 Index Fund are associated (or correlated) with Calvert Small. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Calvert Small Cap has no effect on the direction of Nasdaq-100 Index i.e., Nasdaq-100 Index and Calvert Small go up and down completely randomly.

Pair Corralation between Nasdaq-100 Index and Calvert Small

Assuming the 90 days horizon Nasdaq 100 Index Fund is expected to under-perform the Calvert Small. In addition to that, Nasdaq-100 Index is 1.44 times more volatile than Calvert Small Cap. It trades about -0.1 of its total potential returns per unit of risk. Calvert Small Cap is currently generating about -0.1 per unit of volatility. If you would invest  3,389  in Calvert Small Cap on December 23, 2024 and sell it today you would lose (189.00) from holding Calvert Small Cap or give up 5.58% of portfolio value over 90 days.

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

Nasdaq 100 Index Fund  vs.  Calvert Small Cap

Nasdaq 100 Index

Risk-Adjusted Performance

Very Weak

Over the last 90 days Nasdaq 100 Index Fund has generated negative risk-adjusted returns adding no value to fund investors. In spite of latest weak performance, the Fund's 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 Small Cap

Risk-Adjusted Performance

Very Weak

Over the last 90 days Calvert Small Cap has generated negative risk-adjusted returns adding no value to fund investors. In spite of fairly strong basic indicators, Calvert Small is not utilizing all of its potentials. The current stock price disturbance, may contribute to short-term losses for the investors.

Pair Trading with Nasdaq-100 Index and Calvert Small

The main advantage of trading using opposite Nasdaq-100 Index and Calvert Small positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Nasdaq-100 Index position performs unexpectedly, Calvert 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 Calvert Small will offset losses from the drop in Calvert Small's long position.

The idea behind Nasdaq 100 Index Fund and Calvert 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.

Check out your portfolio center.

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 Positions Ratings module to determine portfolio positions ratings based on digital equity recommendations. Macroaxis instant position ratings are based on combination of fundamental analysis and risk-adjusted market performance.