Correlation Between Small Company and Calvert Small
Can any of the company-specific risk be diversified away by investing in both Small Company 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 Small Company and Calvert Small into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Small Pany Fund and Calvert Small Cap, you can compare the effects of market volatilities on Small Company 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 Small Company with a short position of Calvert Small. Check out your portfolio center. Please also check ongoing floating volatility patterns of Small Company and Calvert Small.
Diversification Opportunities for Small Company and Calvert Small
0.96 | Correlation Coefficient |
Almost no diversification
The 3 months correlation between Small and Calvert is 0.96. Overlapping area represents the amount of risk that can be diversified away by holding Small Pany Fund 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 Small Company 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 Small Pany Fund 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 Small Company i.e., Small Company and Calvert Small go up and down completely randomly.
Pair Corralation between Small Company and Calvert Small
Assuming the 90 days horizon Small Company is expected to generate 1.45 times less return on investment than Calvert Small. In addition to that, Small Company is 1.29 times more volatile than Calvert Small Cap. It trades about 0.03 of its total potential returns per unit of risk. Calvert Small Cap is currently generating about 0.05 per unit of volatility. If you would invest 2,369 in Calvert Small Cap on September 3, 2024 and sell it today you would earn a total of 619.00 from holding Calvert Small Cap or generate 26.13% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Very Strong |
| Accuracy | 100.0% |
| Values | Daily Returns |
Small Pany Fund vs. Calvert Small Cap
Performance |
| Timeline |
| Small Pany Fund |
| Calvert Small Cap |
Small Company and Calvert Small Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Small Company and Calvert Small
The main advantage of trading using opposite Small Company and Calvert Small positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Small Company 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.| Small Company vs. Vanguard Small Cap Index | Small Company vs. Vanguard Small Cap Index | Small Company vs. Vanguard Small Cap Index | Small Company vs. Vanguard Small Cap Index |
| Calvert Small vs. Vanguard Small Cap Index | Calvert Small vs. Vanguard Small Cap Index | Calvert Small vs. Vanguard Small Cap Index | Calvert Small vs. Vanguard Small Cap Index |
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 Latest Portfolios module to quick portfolio dashboard that showcases your latest portfolios.
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