Correlation Between Calvert Large and Simt Small

Can any of the company-specific risk be diversified away by investing in both Calvert Large and Simt 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 Large and Simt Small 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 Simt Small Cap, you can compare the effects of market volatilities on Calvert Large and Simt 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 Large with a short position of Simt Small. Check out your portfolio center. Please also check ongoing floating volatility patterns of Calvert Large and Simt Small.

Diversification Opportunities for Calvert Large and Simt Small

0.86

Correlation Coefficient

Calvert Large  Simt Small

Very poor diversification

The 3 months correlation between Calvert and Simt is 0.86. Overlapping area represents the amount of risk that can be diversified away by holding Calvert Large Cap and Simt Small Cap in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Simt Small Cap and Calvert Large 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 Simt Small. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Simt Small Cap has no effect on the direction of Calvert Large i.e., Calvert Large and Simt Small go up and down completely randomly.

Pair Corralation between Calvert Large and Simt Small

Assuming the 90 days horizon Calvert Large is expected to generate 8.02 times less return on investment than Simt Small. But when comparing it to its historical volatility, Calvert Large Cap is 12.16 times less risky than Simt Small. It trades about 0.26 of its potential returns per unit of risk. Simt Small Cap is currently generating about 0.17 of returns per unit of risk over similar time horizon. If you would invest  2,099  in Simt Small Cap on May 26, 2025 and sell it today you would earn a total of  285.00  from holding Simt Small Cap or generate 13.58% return on investment over 90 days.

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

Calvert Large Cap  vs.  Simt Small 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 20 (%) of all funds and portfolios of funds over the last 90 days. In spite of fairly strong technical and fundamental indicators, Calvert Large is not utilizing all of its potentials. The current stock price disturbance, may contribute to short-term losses for the investors.

Simt Small Cap

Risk-Adjusted Performance

Good

Compared to the overall equity markets, risk-adjusted returns on investments in Simt Small Cap are ranked lower than 13 (%) of all funds and portfolios of funds over the last 90 days. In spite of fairly weak basic indicators, Simt Small showed solid returns over the last few months and may actually be approaching a breakup point.

Pair Trading with Calvert Large and Simt Small

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

The idea behind Calvert Large Cap and Simt 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 My Watchlist Analysis module to analyze my current watchlist and to refresh optimization strategy. Macroaxis watchlist is based on self-learning algorithm to remember stocks you like.