Correlation Between State Street and Calvert Small
Can any of the company-specific risk be diversified away by investing in both State Street 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 State Street and Calvert Small into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between State Street Institutional and Calvert Small Cap, you can compare the effects of market volatilities on State Street 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 State Street with a short position of Calvert Small. Check out your portfolio center. Please also check ongoing floating volatility patterns of State Street and Calvert Small.
Diversification Opportunities for State Street and Calvert Small
0.92 | Correlation Coefficient |
Almost no diversification
The 3 months correlation between State and Calvert is 0.92. Overlapping area represents the amount of risk that can be diversified away by holding State Street Institutional 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 State Street 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 State Street Institutional 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 State Street i.e., State Street and Calvert Small go up and down completely randomly.
Pair Corralation between State Street and Calvert Small
Assuming the 90 days horizon State Street Institutional is expected to generate 1.21 times more return on investment than Calvert Small. However, State Street is 1.21 times more volatile than Calvert Small Cap. It trades about 0.1 of its potential returns per unit of risk. Calvert Small Cap is currently generating about 0.1 per unit of risk. If you would invest 1,528 in State Street Institutional on August 26, 2024 and sell it today you would earn a total of 508.00 from holding State Street Institutional or generate 33.25% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Very Strong |
| Accuracy | 100.0% |
| Values | Daily Returns |
State Street Institutional vs. Calvert Small Cap
Performance |
| Timeline |
| State Street Institu |
| Calvert Small Cap |
State Street and Calvert Small Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with State Street and Calvert Small
The main advantage of trading using opposite State Street and Calvert Small positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if State Street 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.| State Street vs. State Street Core | State Street vs. State Street Income | State Street vs. State Street Institutional |
| Calvert Small vs. Calvert Large Cap | Calvert Small vs. Calvert Small Cap | Calvert Small vs. Calvert Equity Portfolio | Calvert Small 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 Portfolio Rebalancing module to analyze risk-adjusted returns against different time horizons to find asset-allocation targets.
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