Correlation Between Sit Small and Calvert Global

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

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

Diversification Opportunities for Sit Small and Calvert Global

0.82

Correlation Coefficient

Sit Small  Calvert Global

Very poor diversification

The 3 months correlation between Sit and Calvert is 0.82. Overlapping area represents the amount of risk that can be diversified away by holding Sit Small Cap and Calvert Global Energy in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Calvert Global Energy and Sit 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 Sit Small Cap are associated (or correlated) with Calvert Global. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Calvert Global Energy has no effect on the direction of Sit Small i.e., Sit Small and Calvert Global go up and down completely randomly.

Pair Corralation between Sit Small and Calvert Global

Assuming the 90 days horizon Sit Small is expected to generate 1.63 times less return on investment than Calvert Global. In addition to that, Sit Small is 1.17 times more volatile than Calvert Global Energy. It trades about 0.12 of its total potential returns per unit of risk. Calvert Global Energy is currently generating about 0.23 per unit of volatility. If you would invest  1,157  in Calvert Global Energy on May 19, 2025 and sell it today you would earn a total of  144.00  from holding Calvert Global Energy or generate 12.45% return on investment over 90 days.

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

Sit Small Cap  vs.  Calvert Global Energy

Sit Small Cap

Risk-Adjusted Performance

Fair

Compared to the overall equity markets, risk-adjusted returns on investments in Sit 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, Sit Small may actually be approaching a critical reversion point that can send shares even higher in September 2025.

Calvert Global Energy

Risk-Adjusted Performance

Solid

Compared to the overall equity markets, risk-adjusted returns on investments in Calvert Global Energy are ranked lower than 18 (%) of all funds and portfolios of funds over the last 90 days. In spite of fairly weak forward indicators, Calvert Global may actually be approaching a critical reversion point that can send shares even higher in September 2025.

Pair Trading with Sit Small and Calvert Global

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

The idea behind Sit Small Cap and Calvert Global Energy 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 File Import module to quickly import all of your third-party portfolios from your local drive in csv format.