Correlation Between Calvert Tax-free and Siit Large

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

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

Diversification Opportunities for Calvert Tax-free and Siit Large

-0.02

Correlation Coefficient

Calvert Tax-free  Siit Large

Good diversification

The 3 months correlation between Calvert and Siit is -0.02. Overlapping area represents the amount of risk that can be diversified away by holding Calvert Tax Free Responsible and Siit Large Cap in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Siit Large Cap and Calvert Tax-free 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 Tax Free Responsible are associated (or correlated) with Siit Large. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Siit Large Cap has no effect on the direction of Calvert Tax-free i.e., Calvert Tax-free and Siit Large go up and down completely randomly.

Pair Corralation between Calvert Tax-free and Siit Large

Assuming the 90 days horizon Calvert Tax Free Responsible is expected to under-perform the Siit Large. But the mutual fund apears to be less risky and, when comparing its historical volatility, Calvert Tax Free Responsible is 4.91 times less risky than Siit Large. The mutual fund trades about -0.07 of its potential returns per unit of risk. The Siit Large Cap is currently generating about 0.27 of returns per unit of risk over similar time horizon. If you would invest  18,877  in Siit Large Cap on May 2, 2025 and sell it today you would earn a total of  2,399  from holding Siit Large Cap or generate 12.71% return on investment over 90 days.

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

Calvert Tax Free Responsible  vs.  Siit Large Cap

Calvert Tax Free

Risk-Adjusted Performance

Very Weak

Over the last 90 days Calvert Tax Free Responsible has generated negative risk-adjusted returns adding no value to fund investors. In spite of fairly strong fundamental indicators, Calvert Tax-free is not utilizing all of its potentials. The current stock price disturbance, may contribute to short-term losses for the investors.

Siit Large Cap

Risk-Adjusted Performance

Solid

Compared to the overall equity markets, risk-adjusted returns on investments in Siit Large Cap are ranked lower than 21 (%) of all funds and portfolios of funds over the last 90 days. In spite of fairly weak basic indicators, Siit Large may actually be approaching a critical reversion point that can send shares even higher in August 2025.

Pair Trading with Calvert Tax-free and Siit Large

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

The idea behind Calvert Tax Free Responsible and Siit Large 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 Insider Screener module to find insiders across different sectors to evaluate their impact on performance.