Correlation Between Calamos Market and Prudential Short
Can any of the company-specific risk be diversified away by investing in both Calamos Market and Prudential Short 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 Prudential Short 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 Prudential Short Duration, you can compare the effects of market volatilities on Calamos Market and Prudential Short 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 Prudential Short. Check out your portfolio center. Please also check ongoing floating volatility patterns of Calamos Market and Prudential Short.
Diversification Opportunities for Calamos Market and Prudential Short
0.69 | Correlation Coefficient |
Poor diversification
The 3 months correlation between Calamos and Prudential is 0.69. Overlapping area represents the amount of risk that can be diversified away by holding Calamos Market Neutral and Prudential Short Duration in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Prudential Short Duration 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 Prudential Short. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Prudential Short Duration has no effect on the direction of Calamos Market i.e., Calamos Market and Prudential Short go up and down completely randomly.
Pair Corralation between Calamos Market and Prudential Short
Assuming the 90 days horizon Calamos Market Neutral is expected to generate 0.81 times more return on investment than Prudential Short. However, Calamos Market Neutral is 1.24 times less risky than Prudential Short. It trades about 0.29 of its potential returns per unit of risk. Prudential Short Duration is currently generating about 0.05 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. Prudential Short Duration
Performance |
| Timeline |
| Calamos Market Neutral |
| Prudential Short Duration |
Calamos Market and Prudential Short Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Calamos Market and Prudential Short
The main advantage of trading using opposite Calamos Market and Prudential Short positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Calamos Market position performs unexpectedly, Prudential Short 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 Prudential Short will offset losses from the drop in Prudential Short'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 |
| Prudential Short vs. Ep Emerging Markets | Prudential Short vs. Calamos Market Neutral | Prudential Short vs. Western Assets Emerging | Prudential Short vs. Legg Mason Partners |
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 File Import module to quickly import all of your third-party portfolios from your local drive in csv format.
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