Correlation Between Calamos Market and First Eagle
Can any of the company-specific risk be diversified away by investing in both Calamos Market and First Eagle 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 First Eagle 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 First Eagle Global, you can compare the effects of market volatilities on Calamos Market and First Eagle 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 First Eagle. Check out your portfolio center. Please also check ongoing floating volatility patterns of Calamos Market and First Eagle.
Diversification Opportunities for Calamos Market and First Eagle
0.47 | Correlation Coefficient |
Very weak diversification
The 3 months correlation between Calamos and FIRST is 0.47. Overlapping area represents the amount of risk that can be diversified away by holding Calamos Market Neutral and First Eagle Global in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on First Eagle Global 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 First Eagle. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of First Eagle Global has no effect on the direction of Calamos Market i.e., Calamos Market and First Eagle go up and down completely randomly.
Pair Corralation between Calamos Market and First Eagle
Assuming the 90 days horizon Calamos Market is expected to generate 2.04 times less return on investment than First Eagle. But when comparing it to its historical volatility, Calamos Market Neutral is 4.72 times less risky than First Eagle. It trades about 0.25 of its potential returns per unit of risk. First Eagle Global is currently generating about 0.11 of returns per unit of risk over similar time horizon. If you would invest 6,854 in First Eagle Global on September 1, 2024 and sell it today you would earn a total of 556.00 from holding First Eagle Global or generate 8.11% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Weak |
| Accuracy | 100.0% |
| Values | Daily Returns |
Calamos Market Neutral vs. First Eagle Global
Performance |
| Timeline |
| Calamos Market Neutral |
| First Eagle Global |
Calamos Market and First Eagle Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Calamos Market and First Eagle
The main advantage of trading using opposite Calamos Market and First Eagle positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Calamos Market position performs unexpectedly, First Eagle 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 First Eagle will offset losses from the drop in First Eagle's long position.The idea behind Calamos Market Neutral and First Eagle Global 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.
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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 Fundamentals Comparison module to compare fundamentals across multiple equities to find investing opportunities.
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