Correlation Between Calamos Opportunistic and Calamos Hedged
Can any of the company-specific risk be diversified away by investing in both Calamos Opportunistic and Calamos Hedged 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 Opportunistic and Calamos Hedged into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Calamos Opportunistic Value and Calamos Hedged Equity, you can compare the effects of market volatilities on Calamos Opportunistic and Calamos Hedged 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 Opportunistic with a short position of Calamos Hedged. Check out your portfolio center. Please also check ongoing floating volatility patterns of Calamos Opportunistic and Calamos Hedged.
Diversification Opportunities for Calamos Opportunistic and Calamos Hedged
0.99 | Correlation Coefficient |
No risk reduction
The 3 months correlation between Calamos and Calamos is 0.99. Overlapping area represents the amount of risk that can be diversified away by holding Calamos Opportunistic Value and Calamos Hedged Equity in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Calamos Hedged Equity and Calamos Opportunistic 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 Opportunistic Value are associated (or correlated) with Calamos Hedged. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Calamos Hedged Equity has no effect on the direction of Calamos Opportunistic i.e., Calamos Opportunistic and Calamos Hedged go up and down completely randomly.
Pair Corralation between Calamos Opportunistic and Calamos Hedged
Assuming the 90 days horizon Calamos Opportunistic Value is expected to generate 1.79 times more return on investment than Calamos Hedged. However, Calamos Opportunistic is 1.79 times more volatile than Calamos Hedged Equity. It trades about 0.37 of its potential returns per unit of risk. Calamos Hedged Equity is currently generating about 0.32 per unit of risk. If you would invest 2,297 in Calamos Opportunistic Value on September 1, 2024 and sell it today you would earn a total of 144.00 from holding Calamos Opportunistic Value or generate 6.27% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Very Strong |
| Accuracy | 100.0% |
| Values | Daily Returns |
Calamos Opportunistic Value vs. Calamos Hedged Equity
Performance |
| Timeline |
| Calamos Opportunistic |
| Calamos Hedged Equity |
Calamos Opportunistic and Calamos Hedged Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Calamos Opportunistic and Calamos Hedged
The main advantage of trading using opposite Calamos Opportunistic and Calamos Hedged positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Calamos Opportunistic position performs unexpectedly, Calamos Hedged 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 Calamos Hedged will offset losses from the drop in Calamos Hedged's long position.The idea behind Calamos Opportunistic Value and Calamos Hedged Equity 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.
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 Volatility module to check portfolio volatility and analyze historical return density to properly model market risk.
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