Correlation Between Calvert Moderate and Jacob Micro

Can any of the company-specific risk be diversified away by investing in both Calvert Moderate and Jacob Micro 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 Moderate and Jacob Micro into the same portfolio, which is an essential part of the fundamental portfolio management process.

By analyzing existing cross correlation between Calvert Moderate Allocation and Jacob Micro Cap, you can compare the effects of market volatilities on Calvert Moderate and Jacob Micro 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 Moderate with a short position of Jacob Micro. Check out your portfolio center. Please also check ongoing floating volatility patterns of Calvert Moderate and Jacob Micro.

Diversification Opportunities for Calvert Moderate and Jacob Micro

0.89

Correlation Coefficient

Calvert Moderate  Jacob Micro

Very poor diversification

The 3 months correlation between Calvert and Jacob is 0.89. Overlapping area represents the amount of risk that can be diversified away by holding Calvert Moderate Allocation and Jacob Micro Cap in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Jacob Micro Cap and Calvert Moderate 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 Moderate Allocation are associated (or correlated) with Jacob Micro. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Jacob Micro Cap has no effect on the direction of Calvert Moderate i.e., Calvert Moderate and Jacob Micro go up and down completely randomly.

Pair Corralation between Calvert Moderate and Jacob Micro

Assuming the 90 days horizon Calvert Moderate is expected to generate 2.83 times less return on investment than Jacob Micro. But when comparing it to its historical volatility, Calvert Moderate Allocation is 3.3 times less risky than Jacob Micro. It trades about 0.26 of its potential returns per unit of risk. Jacob Micro Cap is currently generating about 0.22 of returns per unit of risk over similar time horizon. If you would invest  2,320  in Jacob Micro Cap on May 1, 2025 and sell it today you would earn a total of  522.00  from holding Jacob Micro Cap or generate 22.5% return on investment over 90 days.

Time Period	3 Months [change]
Direction	Moves Together
Strength	Strong
Accuracy	100.0%
Values	Daily Returns

Calvert Moderate Allocation  vs.  Jacob Micro Cap

Calvert Moderate All

Risk-Adjusted Performance

Solid

Compared to the overall equity markets, risk-adjusted returns on investments in Calvert Moderate Allocation are ranked lower than 20 (%) of all funds and portfolios of funds over the last 90 days. In spite of fairly weak basic indicators, Calvert Moderate may actually be approaching a critical reversion point that can send shares even higher in August 2025.

Jacob Micro Cap

Risk-Adjusted Performance

Solid

Compared to the overall equity markets, risk-adjusted returns on investments in Jacob Micro Cap are ranked lower than 17 (%) of all funds and portfolios of funds over the last 90 days. In spite of fairly weak technical and fundamental indicators, Jacob Micro showed solid returns over the last few months and may actually be approaching a breakup point.

Pair Trading with Calvert Moderate and Jacob Micro

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

The idea behind Calvert Moderate Allocation and Jacob Micro Cap 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 Portfolio File Import module to quickly import all of your third-party portfolios from your local drive in csv format.