Correlation Between Calvert Small and Calvert International
Can any of the company-specific risk be diversified away by investing in both Calvert Small and Calvert International 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 Calvert International 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 Calvert International Equity, you can compare the effects of market volatilities on Calvert Small and Calvert International 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 Calvert International. Check out your portfolio center. Please also check ongoing floating volatility patterns of Calvert Small and Calvert International.
Diversification Opportunities for Calvert Small and Calvert International
-0.66 | Correlation Coefficient |
Excellent diversification
The 3 months correlation between CALVERT and Calvert is -0.66. Overlapping area represents the amount of risk that can be diversified away by holding Calvert Small Cap and Calvert International Equity in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Calvert International 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 Calvert International. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Calvert International has no effect on the direction of Calvert Small i.e., Calvert Small and Calvert International go up and down completely randomly.
Pair Corralation between Calvert Small and Calvert International
Assuming the 90 days horizon Calvert Small Cap is expected to generate 1.74 times more return on investment than Calvert International. However, Calvert Small is 1.74 times more volatile than Calvert International Equity. It trades about 0.22 of its potential returns per unit of risk. Calvert International Equity is currently generating about -0.24 per unit of risk. If you would invest 3,739 in Calvert Small Cap on August 29, 2024 and sell it today you would earn a total of 270.00 from holding Calvert Small Cap or generate 7.22% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Against |
| Strength | Weak |
| Accuracy | 100.0% |
| Values | Daily Returns |
Calvert Small Cap vs. Calvert International Equity
Performance |
| Timeline |
| Calvert Small Cap |
| Calvert International |
Calvert Small and Calvert International Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Calvert Small and Calvert International
The main advantage of trading using opposite Calvert Small and Calvert International positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Calvert Small position performs unexpectedly, Calvert International 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 International will offset losses from the drop in Calvert International's long position.| Calvert Small vs. Calvert Equity Portfolio | Calvert Small vs. Calvert Emerging Markets | Calvert Small vs. Calvert Large Cap | Calvert Small vs. Calvert Short Duration |
| Calvert International vs. Calvert Equity Portfolio | Calvert International vs. Calvert Small Cap | Calvert International vs. Calvert Bond Portfolio | Calvert International vs. Calvert Large Cap |
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 Commodity Directory module to find actively traded commodities issued by global exchanges.
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