Correlation Between Calamos Market and Materials Portfolio
Can any of the company-specific risk be diversified away by investing in both Calamos Market and Materials Portfolio 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 Market and Materials Portfolio into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Calamos Market Neutral and Materials Portfolio Fidelity, you can compare the effects of market volatilities on Calamos Market and Materials Portfolio 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 Market with a short position of Materials Portfolio. Check out your portfolio center. Please also check ongoing floating volatility patterns of Calamos Market and Materials Portfolio.
Diversification Opportunities for Calamos Market and Materials Portfolio
0.63 | Correlation Coefficient |
Poor diversification
The 3 months correlation between Calamos and Materials is 0.63. Overlapping area represents the amount of risk that can be diversified away by holding Calamos Market Neutral and Materials Portfolio Fidelity in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Materials Portfolio and Calamos Market 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 Market Neutral are associated (or correlated) with Materials Portfolio. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Materials Portfolio has no effect on the direction of Calamos Market i.e., Calamos Market and Materials Portfolio go up and down completely randomly.
Pair Corralation between Calamos Market and Materials Portfolio
Assuming the 90 days horizon Calamos Market is expected to generate 1.33 times less return on investment than Materials Portfolio. But when comparing it to its historical volatility, Calamos Market Neutral is 2.46 times less risky than Materials Portfolio. It trades about 0.06 of its potential returns per unit of risk. Materials Portfolio Fidelity is currently generating about 0.03 of returns per unit of risk over similar time horizon. If you would invest 8,662 in Materials Portfolio Fidelity on September 12, 2024 and sell it today you would earn a total of 1,322 from holding Materials Portfolio Fidelity or generate 15.26% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Significant |
| Accuracy | 100.0% |
| Values | Daily Returns |
Calamos Market Neutral vs. Materials Portfolio Fidelity
Performance |
| Timeline |
| Calamos Market Neutral |
| Materials Portfolio |
Calamos Market and Materials Portfolio Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Calamos Market and Materials Portfolio
The main advantage of trading using opposite Calamos Market and Materials Portfolio positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Calamos Market position performs unexpectedly, Materials Portfolio 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 Materials Portfolio will offset losses from the drop in Materials Portfolio's long position.| Calamos Market vs. Prudential Health Sciences | Calamos Market vs. Health Biotchnology Portfolio | Calamos Market vs. Blackrock Health Sciences | Calamos Market vs. Tekla Healthcare Opportunities |
| Materials Portfolio vs. T Rowe Price | Materials Portfolio vs. Gmo Trust | Materials Portfolio vs. Gmo Resources | Materials Portfolio vs. Materials Portfolio Fidelity |
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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