Correlation Between Calamos Convertible and Calamos Dynamic
Can any of the company-specific risk be diversified away by investing in both Calamos Convertible and Calamos Dynamic 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 Convertible and Calamos Dynamic into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Calamos Convertible Opportunities and Calamos Dynamic Convertible, you can compare the effects of market volatilities on Calamos Convertible and Calamos Dynamic 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 Convertible with a short position of Calamos Dynamic. Check out your portfolio center. Please also check ongoing floating volatility patterns of Calamos Convertible and Calamos Dynamic.
Diversification Opportunities for Calamos Convertible and Calamos Dynamic
0.66 | Correlation Coefficient |
Poor diversification
The 3 months correlation between Calamos and Calamos is 0.66. Overlapping area represents the amount of risk that can be diversified away by holding Calamos Convertible Opportunit and Calamos Dynamic Convertible in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Calamos Dynamic Conv and Calamos 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 Calamos Convertible Opportunities are associated (or correlated) with Calamos Dynamic. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Calamos Dynamic Conv has no effect on the direction of Calamos Convertible i.e., Calamos Convertible and Calamos Dynamic go up and down completely randomly.
Pair Corralation between Calamos Convertible and Calamos Dynamic
Considering the 90-day investment horizon Calamos Convertible is expected to generate 1.35 times less return on investment than Calamos Dynamic. But when comparing it to its historical volatility, Calamos Convertible Opportunities is 1.13 times less risky than Calamos Dynamic. It trades about 0.1 of its potential returns per unit of risk. Calamos Dynamic Convertible is currently generating about 0.12 of returns per unit of risk over similar time horizon. If you would invest 1,969 in Calamos Dynamic Convertible on August 27, 2024 and sell it today you would earn a total of 482.00 from holding Calamos Dynamic Convertible or generate 24.48% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Significant |
| Accuracy | 100.0% |
| Values | Daily Returns |
Calamos Convertible Opportunit vs. Calamos Dynamic Convertible
Performance |
| Timeline |
| Calamos Convertible |
| Calamos Dynamic Conv |
Calamos Convertible and Calamos Dynamic Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Calamos Convertible and Calamos Dynamic
The main advantage of trading using opposite Calamos Convertible and Calamos Dynamic positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Calamos Convertible position performs unexpectedly, Calamos Dynamic 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 Dynamic will offset losses from the drop in Calamos Dynamic's long position.| Calamos Convertible vs. Calamos Global Dynamic | Calamos Convertible vs. Calamos Strategic Total | Calamos Convertible vs. Calamos LongShort Equity | Calamos Convertible vs. DTF Tax Free |
| Calamos Dynamic vs. Calamos Global Dynamic | Calamos Dynamic vs. Calamos Strategic Total | Calamos Dynamic vs. Calamos LongShort Equity | Calamos Dynamic vs. DTF Tax Free |
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 Commodity Channel module to use Commodity Channel Index to analyze current equity momentum.
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