Correlation Between Calvert Small and Calvert Equity

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

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

Diversification Opportunities for Calvert Small and Calvert Equity

0.92

Correlation Coefficient

Calvert Small  Calvert Equity

Almost no diversification

The 3 months correlation between Calvert and Calvert is 0.92. Overlapping area represents the amount of risk that can be diversified away by holding Calvert Small Cap 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 Calvert Small 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 Small Cap 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 Calvert Small i.e., Calvert Small and Calvert Equity go up and down completely randomly.

Pair Corralation between Calvert Small and Calvert Equity

Assuming the 90 days horizon Calvert Small is expected to generate 1.48 times less return on investment than Calvert Equity. In addition to that, Calvert Small is 1.37 times more volatile than Calvert Equity Portfolio. It trades about 0.11 of its total potential returns per unit of risk. Calvert Equity Portfolio is currently generating about 0.21 per unit of volatility. If you would invest  3,141  in Calvert Equity Portfolio on April 26, 2025 and sell it today you would earn a total of  315.00  from holding Calvert Equity Portfolio or generate 10.03% return on investment over 90 days.

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

Calvert Small Cap  vs.  Calvert Equity Portfolio

Calvert Small Cap

Risk-Adjusted Performance

OK

Compared to the overall equity markets, risk-adjusted returns on investments in Calvert Small Cap are ranked lower than 8 (%) of all funds and portfolios of funds over the last 90 days. In spite of fairly weak fundamental indicators, Calvert Small may actually be approaching a critical reversion point that can send shares even higher in August 2025.

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 16 (%) of all funds and portfolios of funds over the last 90 days. In spite of fairly weak fundamental indicators, Calvert Equity may actually be approaching a critical reversion point that can send shares even higher in August 2025.

Pair Trading with Calvert Small and Calvert Equity

The main advantage of trading using opposite Calvert Small and Calvert Equity positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Calvert Small 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 Calvert Small Cap 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 Portfolio Optimization module to compute new portfolio that will generate highest expected return given your specified tolerance for risk.