Correlation Between Calamos Growth and Calamos Market
Can any of the company-specific risk be diversified away by investing in both Calamos Growth 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 Calamos Growth and Calamos Market into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Calamos Growth Fund and Calamos Market Neutral, you can compare the effects of market volatilities on Calamos Growth 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 Calamos Growth with a short position of Calamos Market. Check out your portfolio center. Please also check ongoing floating volatility patterns of Calamos Growth and Calamos Market.
Diversification Opportunities for Calamos Growth and Calamos Market
0.94 | Correlation Coefficient |
Almost no diversification
The 3 months correlation between Calamos and Calamos is 0.94. Overlapping area represents the amount of risk that can be diversified away by holding Calamos Growth Fund 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 Calamos Growth 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 Calamos Growth Fund 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 Calamos Growth i.e., Calamos Growth and Calamos Market go up and down completely randomly.
Pair Corralation between Calamos Growth and Calamos Market
Assuming the 90 days horizon Calamos Growth Fund is expected to generate 9.15 times more return on investment than Calamos Market. However, Calamos Growth is 9.15 times more volatile than Calamos Market Neutral. It trades about 0.11 of its potential returns per unit of risk. Calamos Market Neutral is currently generating about 0.25 per unit of risk. If you would invest 6,346 in Calamos Growth Fund on September 1, 2024 and sell it today you would earn a total of 1,001 from holding Calamos Growth Fund or generate 15.77% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Very Strong |
| Accuracy | 99.21% |
| Values | Daily Returns |
Calamos Growth Fund vs. Calamos Market Neutral
Performance |
| Timeline |
| Calamos Growth |
| Calamos Market Neutral |
Calamos Growth and Calamos Market Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Calamos Growth and Calamos Market
The main advantage of trading using opposite Calamos Growth and Calamos Market positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Calamos Growth 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.The idea behind Calamos Growth Fund and Calamos Market Neutral 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 Portfolio Comparator module to compare the composition, asset allocations and performance of any two portfolios in your account.
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