Correlation Between Virtus Convertible and Calvert Small/mid-cap

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

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

Diversification Opportunities for Virtus Convertible and Calvert Small/mid-cap

0.34

Correlation Coefficient

Virtus Convertible  Calvert Small/mid-cap

Weak diversification

The 3 months correlation between Virtus and Calvert is 0.34. Overlapping area represents the amount of risk that can be diversified away by holding Virtus Convertible and Calvert Smallmid Cap A in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Calvert Small/mid-cap and Virtus Convertible 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 Virtus Convertible are associated (or correlated) with Calvert Small/mid-cap. 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/mid-cap has no effect on the direction of Virtus Convertible i.e., Virtus Convertible and Calvert Small/mid-cap go up and down completely randomly.

Pair Corralation between Virtus Convertible and Calvert Small/mid-cap

Assuming the 90 days horizon Virtus Convertible is expected to generate 1.08 times less return on investment than Calvert Small/mid-cap. But when comparing it to its historical volatility, Virtus Convertible is 1.66 times less risky than Calvert Small/mid-cap. It trades about 0.06 of its potential returns per unit of risk. Calvert Smallmid Cap A is currently generating about 0.04 of returns per unit of risk over similar time horizon. If you would invest  2,318  in Calvert Smallmid Cap A on October 23, 2024 and sell it today you would earn a total of  306.00  from holding Calvert Smallmid Cap A or generate 13.2% return on investment over 90 days.

Time Period	3 Months [change]
Direction	Moves Together
Strength	Very Weak
Accuracy	68.02%
Values	Daily Returns

Virtus Convertible  vs.  Calvert Smallmid Cap A

Virtus Convertible

Risk-Adjusted Performance

10 of 100

OK

Compared to the overall equity markets, risk-adjusted returns on investments in Virtus Convertible are ranked lower than 10 (%) of all funds and portfolios of funds over the last 90 days. In spite of fairly strong fundamental indicators, Virtus Convertible is not utilizing all of its potentials. The current stock price disturbance, may contribute to short-term losses for the investors.

Calvert Small/mid-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 Small/mid-cap is not utilizing all of its potentials. The current stock price disturbance, may contribute to short-term losses for the investors.

Pair Trading with Virtus Convertible and Calvert Small/mid-cap

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

The idea behind Virtus Convertible 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.