Correlation Between Calvert Global and Calvert Small
Can any of the company-specific risk be diversified away by investing in both Calvert Global 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 Calvert Global and Calvert Small into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Calvert Global Equity and Calvert Small Cap, you can compare the effects of market volatilities on Calvert Global 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 Calvert Global with a short position of Calvert Small. Check out your portfolio center. Please also check ongoing floating volatility patterns of Calvert Global and Calvert Small.
Diversification Opportunities for Calvert Global and Calvert Small
0.93 | Correlation Coefficient |
Almost no diversification
The 3 months correlation between Calvert and Calvert is 0.93. Overlapping area represents the amount of risk that can be diversified away by holding Calvert Global Equity 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 Calvert Global 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 Global Equity 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 Calvert Global i.e., Calvert Global and Calvert Small go up and down completely randomly.
Pair Corralation between Calvert Global and Calvert Small
Assuming the 90 days horizon Calvert Global Equity is expected to under-perform the Calvert Small. But the mutual fund apears to be less risky and, when comparing its historical volatility, Calvert Global Equity is 1.06 times less risky than Calvert Small. The mutual fund trades about -0.33 of its potential returns per unit of risk. The Calvert Small Cap is currently generating about -0.31 of returns per unit of risk over similar time horizon. If you would invest 2,618 in Calvert Small Cap on January 8, 2025 and sell it today you would lose (311.00) from holding Calvert Small Cap or give up 11.88% of portfolio value over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Very Strong |
| Accuracy | 100.0% |
| Values | Daily Returns |
Calvert Global Equity vs. Calvert Small Cap
Performance |
| Timeline |
| Calvert Global Equity |
| Calvert Small Cap |
Calvert Global and Calvert Small Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Calvert Global and Calvert Small
The main advantage of trading using opposite Calvert Global and Calvert Small positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Calvert Global 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.| Calvert Global vs. Calvert Developed Market | ||
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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 Rebalancing module to analyze risk-adjusted returns against different time horizons to find asset-allocation targets.
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