Correlation Between Hennessy Small and Calvert Bond

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

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

Diversification Opportunities for Hennessy Small and Calvert Bond

0.56

Correlation Coefficient

Hennessy Small  Calvert Bond

Very weak diversification

The 3 months correlation between Hennessy and Calvert is 0.56. Overlapping area represents the amount of risk that can be diversified away by holding Hennessy Small Cap and Calvert Bond Portfolio in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Calvert Bond Portfolio and Hennessy 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 Hennessy Small Cap are associated (or correlated) with Calvert Bond. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Calvert Bond Portfolio has no effect on the direction of Hennessy Small i.e., Hennessy Small and Calvert Bond go up and down completely randomly.

Pair Corralation between Hennessy Small and Calvert Bond

Assuming the 90 days horizon Hennessy Small Cap is expected to generate 5.49 times more return on investment than Calvert Bond. However, Hennessy Small is 5.49 times more volatile than Calvert Bond Portfolio. It trades about 0.12 of its potential returns per unit of risk. Calvert Bond Portfolio is currently generating about 0.19 per unit of risk. If you would invest  2,504  in Hennessy Small Cap on May 22, 2025 and sell it today you would earn a total of  262.00  from holding Hennessy Small Cap or generate 10.46% return on investment over 90 days.

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

Hennessy Small Cap  vs.  Calvert Bond Portfolio

Hennessy Small Cap

Risk-Adjusted Performance

Fair

Compared to the overall equity markets, risk-adjusted returns on investments in Hennessy Small Cap are ranked lower than 9 (%) of all funds and portfolios of funds over the last 90 days. In spite of fairly weak basic indicators, Hennessy Small may actually be approaching a critical reversion point that can send shares even higher in September 2025.

Calvert Bond Portfolio

Risk-Adjusted Performance

Solid

Compared to the overall equity markets, risk-adjusted returns on investments in Calvert Bond Portfolio are ranked lower than 14 (%) of all funds and portfolios of funds over the last 90 days. In spite of fairly strong fundamental drivers, Calvert Bond is not utilizing all of its potentials. The current stock price disturbance, may contribute to short-term losses for the investors.

Pair Trading with Hennessy Small and Calvert Bond

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

The idea behind Hennessy Small Cap and Calvert Bond 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 Idea Analyzer module to analyze all characteristics, volatility and risk-adjusted return of Macroaxis ideas.