Correlation Between Calamos Market and Prudential Health
Can any of the company-specific risk be diversified away by investing in both Calamos Market and Prudential Health 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 Health 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 Health Sciences, you can compare the effects of market volatilities on Calamos Market and Prudential Health 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 Health. Check out your portfolio center. Please also check ongoing floating volatility patterns of Calamos Market and Prudential Health.
Diversification Opportunities for Calamos Market and Prudential Health
-0.65 | Correlation Coefficient |
Excellent diversification
The 3 months correlation between Calamos and Prudential is -0.65. Overlapping area represents the amount of risk that can be diversified away by holding Calamos Market Neutral and Prudential Health Sciences in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Prudential Health 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 Health. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Prudential Health has no effect on the direction of Calamos Market i.e., Calamos Market and Prudential Health go up and down completely randomly.
Pair Corralation between Calamos Market and Prudential Health
Assuming the 90 days horizon Calamos Market is expected to generate 3.67 times less return on investment than Prudential Health. But when comparing it to its historical volatility, Calamos Market Neutral is 4.0 times less risky than Prudential Health. It trades about 0.08 of its potential returns per unit of risk. Prudential Health Sciences is currently generating about 0.07 of returns per unit of risk over similar time horizon. If you would invest 3,348 in Prudential Health Sciences on September 12, 2024 and sell it today you would earn a total of 775.00 from holding Prudential Health Sciences or generate 23.15% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Against |
| Strength | Weak |
| Accuracy | 100.0% |
| Values | Daily Returns |
Calamos Market Neutral vs. Prudential Health Sciences
Performance |
| Timeline |
| Calamos Market Neutral |
| Prudential Health |
Calamos Market and Prudential Health Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Calamos Market and Prudential Health
The main advantage of trading using opposite Calamos Market and Prudential Health positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Calamos Market position performs unexpectedly, Prudential Health 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 Health will offset losses from the drop in Prudential Health'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 |
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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 Price Ceiling Movement module to calculate and plot Price Ceiling Movement for different equity instruments.
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