Correlation Between Small Company and Calvert Equity

Can any of the company-specific risk be diversified away by investing in both Small Company and Calvert Equity 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 Equity 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 Equity Portfolio, you can compare the effects of market volatilities on Small Company and Calvert Equity 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 Equity. Check out your portfolio center. Please also check ongoing floating volatility patterns of Small Company and Calvert Equity.

Diversification Opportunities for Small Company and Calvert Equity

0.94

Correlation Coefficient

Small Company  Calvert Equity

Almost no diversification

The 3 months correlation between Small and Calvert is 0.94. Overlapping area represents the amount of risk that can be diversified away by holding Small Pany Fund and Calvert Equity Portfolio in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Calvert Equity Portfolio 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 Equity. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Calvert Equity Portfolio has no effect on the direction of Small Company i.e., Small Company and Calvert Equity go up and down completely randomly.

Pair Corralation between Small Company and Calvert Equity

Assuming the 90 days horizon Small Pany Fund is expected to generate 1.33 times more return on investment than Calvert Equity. However, Small Company is 1.33 times more volatile than Calvert Equity Portfolio. It trades about 0.27 of its potential returns per unit of risk. Calvert Equity Portfolio is currently generating about 0.25 per unit of risk. If you would invest  1,375  in Small Pany Fund on April 20, 2025 and sell it today you would earn a total of  274.00  from holding Small Pany Fund or generate 19.93% return on investment over 90 days.

Time Period	3 Months [change]
Direction	Moves Together
Strength	Very Strong
Accuracy	98.41%
Values	Daily Returns

Small Pany Fund  vs.  Calvert Equity Portfolio

Small Pany Fund

Risk-Adjusted Performance

Solid

Compared to the overall equity markets, risk-adjusted returns on investments in Small Pany Fund are ranked lower than 21 (%) of all funds and portfolios of funds over the last 90 days. In spite of fairly weak basic indicators, Small Company showed solid returns over the last few months and may actually be approaching a breakup point.

Calvert Equity Portfolio

Risk-Adjusted Performance

Solid

Compared to the overall equity markets, risk-adjusted returns on investments in Calvert Equity Portfolio are ranked lower than 19 (%) of all funds and portfolios of funds over the last 90 days. In spite of fairly weak forward indicators, Calvert Equity showed solid returns over the last few months and may actually be approaching a breakup point.

Pair Trading with Small Company and Calvert Equity

The main advantage of trading using opposite Small Company and Calvert Equity positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Small Company position performs unexpectedly, Calvert Equity 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 Equity will offset losses from the drop in Calvert Equity's long position.

The idea behind Small Pany Fund and Calvert Equity Portfolio pairs trading is to make the combined position market-neutral, meaning the overall market's direction will not affect its win or loss (or potential downside or upside). This can be achieved by designing a pairs trade with two highly correlated stocks or equities that operate in a similar space or sector, making it possible to obtain profits through simple and relatively low-risk investment.

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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 Money Managers module to screen money managers from public funds and ETFs managed around the world.