Correlation Between Calamos Hedged and Calamos Phineus
Can any of the company-specific risk be diversified away by investing in both Calamos Hedged and Calamos Phineus 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 Hedged and Calamos Phineus into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Calamos Hedged Equity and Calamos Phineus Longshort, you can compare the effects of market volatilities on Calamos Hedged and Calamos Phineus 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 Hedged with a short position of Calamos Phineus. Check out your portfolio center. Please also check ongoing floating volatility patterns of Calamos Hedged and Calamos Phineus.
Diversification Opportunities for Calamos Hedged and Calamos Phineus
0.79 | Correlation Coefficient |
Poor diversification
The 3 months correlation between Calamos and Calamos is 0.79. Overlapping area represents the amount of risk that can be diversified away by holding Calamos Hedged Equity and Calamos Phineus Longshort in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Calamos Phineus Longshort and Calamos Hedged 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 Hedged Equity are associated (or correlated) with Calamos Phineus. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Calamos Phineus Longshort has no effect on the direction of Calamos Hedged i.e., Calamos Hedged and Calamos Phineus go up and down completely randomly.
Pair Corralation between Calamos Hedged and Calamos Phineus
Assuming the 90 days horizon Calamos Hedged Equity is expected to generate 1.06 times more return on investment than Calamos Phineus. However, Calamos Hedged is 1.06 times more volatile than Calamos Phineus Longshort. It trades about 0.17 of its potential returns per unit of risk. Calamos Phineus Longshort is currently generating about 0.11 per unit of risk. If you would invest 1,462 in Calamos Hedged Equity on August 25, 2024 and sell it today you would earn a total of 281.00 from holding Calamos Hedged Equity or generate 19.22% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Significant |
| Accuracy | 100.0% |
| Values | Daily Returns |
Calamos Hedged Equity vs. Calamos Phineus Longshort
Performance |
| Timeline |
| Calamos Hedged Equity |
| Calamos Phineus Longshort |
Calamos Hedged and Calamos Phineus Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Calamos Hedged and Calamos Phineus
The main advantage of trading using opposite Calamos Hedged and Calamos Phineus positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Calamos Hedged position performs unexpectedly, Calamos Phineus 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 Phineus will offset losses from the drop in Calamos Phineus' long position.The idea behind Calamos Hedged Equity and Calamos Phineus Longshort 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 Backtesting module to avoid under-diversification and over-optimization by backtesting your portfolios.
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