Correlation Between Calvert Small and Calvert Capital

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

Diversification Opportunities for Calvert Small and Calvert Capital

0.92

Correlation Coefficient

Calvert Small  Calvert Capital

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 Capital Accumulation in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Calvert Capital Accu 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 Capital. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Calvert Capital Accu has no effect on the direction of Calvert Small i.e., Calvert Small and Calvert Capital go up and down completely randomly.

Pair Corralation between Calvert Small and Calvert Capital

Assuming the 90 days horizon Calvert Small Cap is expected to generate 1.23 times more return on investment than Calvert Capital. However, Calvert Small is 1.23 times more volatile than Calvert Capital Accumulation. It trades about 0.02 of its potential returns per unit of risk. Calvert Capital Accumulation is currently generating about -0.05 per unit of risk. If you would invest  3,665  in Calvert Small Cap on April 17, 2025 and sell it today you would earn a total of  25.00  from holding Calvert Small Cap or generate 0.68% return on investment over 90 days.

Time Period	3 Months [change]
Direction	Moves Together
Strength	Very Strong
Accuracy	97.5%
Values	Daily Returns

Calvert Small Cap  vs.  Calvert Capital Accumulation

Calvert Small Cap

Risk-Adjusted Performance

Good

Compared to the overall equity markets, risk-adjusted returns on investments in Calvert Small Cap are ranked lower than 12 (%) of all funds and portfolios of funds over the last 90 days. In spite of fairly weak forward indicators, Calvert Small may actually be approaching a critical reversion point that can send shares even higher in August 2025.

Calvert Capital Accu

Risk-Adjusted Performance

OK

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

Pair Trading with Calvert Small and Calvert Capital

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

The idea behind Calvert Small Cap and Calvert Capital Accumulation 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 Efficient Frontier module to plot and analyze your portfolio and positions against risk-return landscape of the market..