Correlation Between Absolute Convertible and Calamos Market
Can any of the company-specific risk be diversified away by investing in both Absolute Convertible and Calamos Market 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 Absolute Convertible and Calamos Market into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Absolute Convertible Arbitrage and Calamos Market Neutral, you can compare the effects of market volatilities on Absolute Convertible and Calamos Market 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 Absolute Convertible with a short position of Calamos Market. Check out your portfolio center. Please also check ongoing floating volatility patterns of Absolute Convertible and Calamos Market.
Diversification Opportunities for Absolute Convertible and Calamos Market
0.98 | Correlation Coefficient |
Almost no diversification
The 3 months correlation between Absolute and Calamos is 0.98. Overlapping area represents the amount of risk that can be diversified away by holding Absolute Convertible Arbitrage and Calamos Market Neutral in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Calamos Market Neutral and Absolute Convertible 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 Absolute Convertible Arbitrage are associated (or correlated) with Calamos Market. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Calamos Market Neutral has no effect on the direction of Absolute Convertible i.e., Absolute Convertible and Calamos Market go up and down completely randomly.
Pair Corralation between Absolute Convertible and Calamos Market
Assuming the 90 days horizon Absolute Convertible is expected to generate 1.57 times less return on investment than Calamos Market. But when comparing it to its historical volatility, Absolute Convertible Arbitrage is 1.31 times less risky than Calamos Market. It trades about 0.19 of its potential returns per unit of risk. Calamos Market Neutral is currently generating about 0.22 of returns per unit of risk over similar time horizon. If you would invest 1,287 in Calamos Market Neutral on September 2, 2024 and sell it today you would earn a total of 219.00 from holding Calamos Market Neutral or generate 17.02% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Very Strong |
| Accuracy | 100.0% |
| Values | Daily Returns |
Absolute Convertible Arbitrage vs. Calamos Market Neutral
Performance |
| Timeline |
| Absolute Convertible |
| Calamos Market Neutral |
Absolute Convertible and Calamos Market Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Absolute Convertible and Calamos Market
The main advantage of trading using opposite Absolute Convertible and Calamos Market positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Absolute Convertible position performs unexpectedly, Calamos Market 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 Calamos Market will offset losses from the drop in Calamos Market's long position.| Absolute Convertible vs. Angel Oak Multi Strategy | Absolute Convertible vs. Transamerica Emerging Markets | Absolute Convertible vs. Black Oak Emerging | Absolute Convertible vs. Barings Emerging Markets |
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 Portfolio File Import module to quickly import all of your third-party portfolios from your local drive in csv format.
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