Correlation Between Calvert Small and State Street

Can any of the company-specific risk be diversified away by investing in both Calvert Small and State Street 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 State Street 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 State Street Institutional, you can compare the effects of market volatilities on Calvert Small and State Street 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 State Street. Check out your portfolio center. Please also check ongoing floating volatility patterns of Calvert Small and State Street.

Diversification Opportunities for Calvert Small and State Street

0.88

Correlation Coefficient

Calvert Small  State Street

Very poor diversification

The 3 months correlation between Calvert and State is 0.88. Overlapping area represents the amount of risk that can be diversified away by holding Calvert Small Cap and State Street Institutional in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on State Street Institu 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 State Street. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of State Street Institu has no effect on the direction of Calvert Small i.e., Calvert Small and State Street go up and down completely randomly.

Pair Corralation between Calvert Small and State Street

Assuming the 90 days horizon Calvert Small is expected to generate 3.44 times less return on investment than State Street. But when comparing it to its historical volatility, Calvert Small Cap is 1.05 times less risky than State Street. It trades about 0.03 of its potential returns per unit of risk. State Street Institutional is currently generating about 0.09 of returns per unit of risk over similar time horizon. If you would invest  1,554  in State Street Institutional on May 6, 2025 and sell it today you would earn a total of  94.00  from holding State Street Institutional or generate 6.05% return on investment over 90 days.

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

Calvert Small Cap  vs.  State Street Institutional

Calvert Small Cap

Risk-Adjusted Performance

Very Weak

Compared to the overall equity markets, risk-adjusted returns on investments in Calvert Small Cap are ranked lower than 2 (%) of all funds and portfolios of funds over the last 90 days. In spite of fairly strong fundamental indicators, Calvert Small is not utilizing all of its potentials. The current stock price disturbance, may contribute to short-term losses for the investors.

State Street Institu

Risk-Adjusted Performance

OK

Compared to the overall equity markets, risk-adjusted returns on investments in State Street Institutional are ranked lower than 7 (%) of all funds and portfolios of funds over the last 90 days. In spite of fairly weak basic indicators, State Street may actually be approaching a critical reversion point that can send shares even higher in September 2025.

Pair Trading with Calvert Small and State Street

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

The idea behind Calvert Small Cap and State Street Institutional 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.

Check out your portfolio center.

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 Companies Directory module to evaluate performance of over 100,000 Stocks, Funds, and ETFs against different fundamentals.