Correlation Between Calvert Us and Capital Management

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

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

Diversification Opportunities for Calvert Us and Capital Management

0.78

Correlation Coefficient

Calvert Us  Capital Management

Poor diversification

The 3 months correlation between Calvert and Capital is 0.78. Overlapping area represents the amount of risk that can be diversified away by holding Calvert Large Cap and Capital Management Mid Cap in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Capital Management Mid and Calvert Us 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 Large Cap are associated (or correlated) with Capital Management. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Capital Management Mid has no effect on the direction of Calvert Us i.e., Calvert Us and Capital Management go up and down completely randomly.

Pair Corralation between Calvert Us and Capital Management

Assuming the 90 days horizon Calvert Large Cap is expected to generate 1.15 times more return on investment than Capital Management. However, Calvert Us is 1.15 times more volatile than Capital Management Mid Cap. It trades about 0.29 of its potential returns per unit of risk. Capital Management Mid Cap is currently generating about 0.11 per unit of risk. If you would invest  6,123  in Calvert Large Cap on April 25, 2025 and sell it today you would earn a total of  979.00  from holding Calvert Large Cap or generate 15.99% return on investment over 90 days.

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

Calvert Large Cap  vs.  Capital Management Mid Cap

Calvert Large Cap

Risk-Adjusted Performance

Solid

Compared to the overall equity markets, risk-adjusted returns on investments in Calvert Large Cap are ranked lower than 23 (%) of all funds and portfolios of funds over the last 90 days. In spite of fairly weak basic indicators, Calvert Us showed solid returns over the last few months and may actually be approaching a breakup point.

Capital Management Mid

Risk-Adjusted Performance

OK

Compared to the overall equity markets, risk-adjusted returns on investments in Capital Management Mid Cap are ranked lower than 8 (%) of all funds and portfolios of funds over the last 90 days. In spite of fairly strong forward indicators, Capital Management is not utilizing all of its potentials. The current stock price disturbance, may contribute to short-term losses for the investors.

Pair Trading with Calvert Us and Capital Management

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

The idea behind Calvert Large Cap and Capital Management Mid 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 Volatility Analysis module to get historical volatility and risk analysis based on latest market data.