Correlation Between Vanguard Small and Calvert Small
Can any of the company-specific risk be diversified away by investing in both Vanguard Small 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 Vanguard Small and Calvert Small into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Vanguard Small Cap Index and Calvert Small Cap, you can compare the effects of market volatilities on Vanguard Small 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 Vanguard Small with a short position of Calvert Small. Check out your portfolio center. Please also check ongoing floating volatility patterns of Vanguard Small and Calvert Small.
Diversification Opportunities for Vanguard Small and Calvert Small
0.98 | Correlation Coefficient |
Almost no diversification
The 3 months correlation between Vanguard and Calvert is 0.98. Overlapping area represents the amount of risk that can be diversified away by holding Vanguard Small Cap Index 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 Vanguard 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 Vanguard Small Cap Index 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 Vanguard Small i.e., Vanguard Small and Calvert Small go up and down completely randomly.
Pair Corralation between Vanguard Small and Calvert Small
Assuming the 90 days horizon Vanguard Small Cap Index is expected to generate 1.02 times more return on investment than Calvert Small. However, Vanguard Small is 1.02 times more volatile than Calvert Small Cap. It trades about 0.13 of its potential returns per unit of risk. Calvert Small Cap is currently generating about 0.13 per unit of risk. If you would invest 10,501 in Vanguard Small Cap Index on September 3, 2024 and sell it today you would earn a total of 1,973 from holding Vanguard Small Cap Index or generate 18.79% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Very Strong |
| Accuracy | 100.0% |
| Values | Daily Returns |
Vanguard Small Cap Index vs. Calvert Small Cap
Performance |
| Timeline |
| Vanguard Small Cap |
| Calvert Small Cap |
Vanguard Small and Calvert Small Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Vanguard Small and Calvert Small
The main advantage of trading using opposite Vanguard Small and Calvert Small positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Vanguard Small 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.| Vanguard Small vs. Vanguard Mid Cap Index | Vanguard Small vs. Vanguard Total Bond | Vanguard Small vs. Vanguard Institutional Index | Vanguard Small vs. Vanguard Total International |
| 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 Alpha Finder module to use alpha and beta coefficients to find investment opportunities after accounting for the risk.
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