Correlation Between Siit Ultra and Calvert Global

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

By analyzing existing cross correlation between Siit Ultra Short and Calvert Global Equity, you can compare the effects of market volatilities on Siit Ultra and Calvert Global 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 Siit Ultra with a short position of Calvert Global. Check out your portfolio center. Please also check ongoing floating volatility patterns of Siit Ultra and Calvert Global.

Diversification Opportunities for Siit Ultra and Calvert Global

0.03

Correlation Coefficient

Siit Ultra  Calvert Global

Significant diversification

The 3 months correlation between Siit and Calvert is 0.03. Overlapping area represents the amount of risk that can be diversified away by holding Siit Ultra Short and Calvert Global Equity in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Calvert Global Equity and Siit Ultra 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 Siit Ultra Short are associated (or correlated) with Calvert Global. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Calvert Global Equity has no effect on the direction of Siit Ultra i.e., Siit Ultra and Calvert Global go up and down completely randomly.

Pair Corralation between Siit Ultra and Calvert Global

Assuming the 90 days horizon Siit Ultra Short is expected to generate 0.04 times more return on investment than Calvert Global. However, Siit Ultra Short is 22.47 times less risky than Calvert Global. It trades about -0.08 of its potential returns per unit of risk. Calvert Global Equity is currently generating about -0.28 per unit of risk. If you would invest  997.00  in Siit Ultra Short on October 9, 2024 and sell it today you would lose (1.00) from holding Siit Ultra Short or give up 0.1% of portfolio value over 90 days.

Time Period	3 Months [change]
Direction	Moves Together
Strength	Insignificant
Accuracy	95.0%
Values	Daily Returns

Siit Ultra Short  vs.  Calvert Global Equity

Siit Ultra Short

Risk-Adjusted Performance

6 of 100

Modest

Compared to the overall equity markets, risk-adjusted returns on investments in Siit Ultra Short are ranked lower than 6 (%) of all funds and portfolios of funds over the last 90 days. In spite of fairly strong basic indicators, Siit Ultra is not utilizing all of its potentials. The current stock price disturbance, may contribute to short-term losses for the investors.

Calvert Global Equity

Risk-Adjusted Performance

0 of 100

Very Weak

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

Pair Trading with Siit Ultra and Calvert Global

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

The idea behind Siit Ultra Short and Calvert Global Equity 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 Portfolio Optimization module to compute new portfolio that will generate highest expected return given your specified tolerance for risk.