Correlation Between Calamos Market and Guggenheim Macro
Can any of the company-specific risk be diversified away by investing in both Calamos Market and Guggenheim Macro 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 Guggenheim Macro 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 Guggenheim Macro Opportunities, you can compare the effects of market volatilities on Calamos Market and Guggenheim Macro 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 Guggenheim Macro. Check out your portfolio center. Please also check ongoing floating volatility patterns of Calamos Market and Guggenheim Macro.
Diversification Opportunities for Calamos Market and Guggenheim Macro
0.77 | Correlation Coefficient |
Poor diversification
The 3 months correlation between Calamos and Guggenheim is 0.77. Overlapping area represents the amount of risk that can be diversified away by holding Calamos Market Neutral and Guggenheim Macro Opportunities in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Guggenheim Macro Opp 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 Guggenheim Macro. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Guggenheim Macro Opp has no effect on the direction of Calamos Market i.e., Calamos Market and Guggenheim Macro go up and down completely randomly.
Pair Corralation between Calamos Market and Guggenheim Macro
Assuming the 90 days horizon Calamos Market Neutral is expected to generate 1.21 times more return on investment than Guggenheim Macro. However, Calamos Market is 1.21 times more volatile than Guggenheim Macro Opportunities. It trades about 0.29 of its potential returns per unit of risk. Guggenheim Macro Opportunities is currently generating about 0.23 per unit of risk. If you would invest 1,496 in Calamos Market Neutral on September 3, 2024 and sell it today you would earn a total of 9.00 from holding Calamos Market Neutral or generate 0.6% 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. Guggenheim Macro Opportunities
Performance |
| Timeline |
| Calamos Market Neutral |
| Guggenheim Macro Opp |
Calamos Market and Guggenheim Macro Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Calamos Market and Guggenheim Macro
The main advantage of trading using opposite Calamos Market and Guggenheim Macro positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Calamos Market position performs unexpectedly, Guggenheim Macro 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 Guggenheim Macro will offset losses from the drop in Guggenheim Macro's long position.| Calamos Market vs. Calamos Market Neutral | Calamos Market vs. Absolute Convertible Arbitrage | Calamos Market vs. Aqr Diversified Arbitrage | Calamos Market vs. Palmer Square Ssi |
| Guggenheim Macro vs. Guggenheim Total Return | Guggenheim Macro vs. Guggenheim Floating Rate | Guggenheim Macro vs. Guggenheim Limited Duration | Guggenheim Macro vs. Pimco Incme Fund |
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 Technical Analysis module to check basic technical indicators and analysis based on most latest market data.
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