Correlation Between Calvert High and Siit Small

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

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

Diversification Opportunities for Calvert High and Siit Small

0.91

Correlation Coefficient

Calvert High  Siit Small

Almost no diversification

The 3 months correlation between Calvert and Siit is 0.91. Overlapping area represents the amount of risk that can be diversified away by holding Calvert High Yield and Siit Small Cap in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Siit Small Cap and Calvert High 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 High Yield are associated (or correlated) with Siit Small. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Siit Small Cap has no effect on the direction of Calvert High i.e., Calvert High and Siit Small go up and down completely randomly.

Pair Corralation between Calvert High and Siit Small

Assuming the 90 days horizon Calvert High is expected to generate 4.01 times less return on investment than Siit Small. But when comparing it to its historical volatility, Calvert High Yield is 7.2 times less risky than Siit Small. It trades about 0.25 of its potential returns per unit of risk. Siit Small Cap is currently generating about 0.14 of returns per unit of risk over similar time horizon. If you would invest  1,058  in Siit Small Cap on May 18, 2025 and sell it today you would earn a total of  100.00  from holding Siit Small Cap or generate 9.45% return on investment over 90 days.

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

Calvert High Yield  vs.  Siit Small Cap

Calvert High Yield

Risk-Adjusted Performance

Solid

Compared to the overall equity markets, risk-adjusted returns on investments in Calvert High Yield are ranked lower than 19 (%) of all funds and portfolios of funds over the last 90 days. In spite of fairly strong fundamental indicators, Calvert High is not utilizing all of its potentials. The current stock price disturbance, may contribute to short-term losses for the investors.

Siit Small Cap

Risk-Adjusted Performance

Fair

Compared to the overall equity markets, risk-adjusted returns on investments in Siit Small Cap are ranked lower than 10 (%) of all funds and portfolios of funds over the last 90 days. In spite of fairly weak basic indicators, Siit Small may actually be approaching a critical reversion point that can send shares even higher in September 2025.

Pair Trading with Calvert High and Siit Small

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

The idea behind Calvert High Yield and Siit Small 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.