Correlation Between Calvert Small and State Street
Can any of the company-specific risk be diversified away by investing in both Calvert Small and State Street 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 Small and State Street into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Calvert Small Cap and State Street Institutional, you can compare the effects of market volatilities on Calvert Small and State Street 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 Small with a short position of State Street. Check out your portfolio center. Please also check ongoing floating volatility patterns of Calvert Small and State Street.
Diversification Opportunities for Calvert Small and State Street
0.99 | Correlation Coefficient |
No risk reduction
The 3 months correlation between Calvert and State is 0.99. Overlapping area represents the amount of risk that can be diversified away by holding Calvert Small Cap and State Street Institutional in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on State Street Institu and Calvert Small 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 Small Cap are associated (or correlated) with State Street. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of State Street Institu has no effect on the direction of Calvert Small i.e., Calvert Small and State Street go up and down completely randomly.
Pair Corralation between Calvert Small and State Street
Assuming the 90 days horizon Calvert Small is expected to generate 1.03 times less return on investment than State Street. But when comparing it to its historical volatility, Calvert Small Cap is 1.17 times less risky than State Street. It trades about 0.06 of its potential returns per unit of risk. State Street Institutional is currently generating about 0.05 of returns per unit of risk over similar time horizon. If you would invest 1,578 in State Street Institutional on August 30, 2024 and sell it today you would earn a total of 469.00 from holding State Street Institutional or generate 29.72% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Very Strong |
| Accuracy | 100.0% |
| Values | Daily Returns |
Calvert Small Cap vs. State Street Institutional
Performance |
| Timeline |
| Calvert Small Cap |
| State Street Institu |
Calvert Small and State Street Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Calvert Small and State Street
The main advantage of trading using opposite Calvert Small and State Street positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Calvert Small position performs unexpectedly, State Street 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 State Street will offset losses from the drop in State Street's long position.| Calvert Small vs. Vanguard Small Cap Index | Calvert Small vs. T Rowe Price | Calvert Small vs. HUMANA INC | Calvert Small vs. Aquagold International |
| State Street vs. Vanguard Small Cap Index | State Street vs. T Rowe Price | State Street vs. HUMANA INC | State Street vs. Aquagold International |
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 Volatility module to check portfolio volatility and analyze historical return density to properly model market risk.
Other Complementary Tools
| Insider Screener Find insiders across different sectors to evaluate their impact on performance | |
| Balance Of Power Check stock momentum by analyzing Balance Of Power indicator and other technical ratios | |
| Investing Opportunities Build portfolios using our predefined set of ideas and optimize them against your investing preferences | |
| Price Exposure Probability Analyze equity upside and downside potential for a given time horizon across multiple markets | |
| Portfolio Holdings Check your current holdings and cash postion to detemine if your portfolio needs rebalancing |