Correlation Between Calamos Market and Ab Select
Can any of the company-specific risk be diversified away by investing in both Calamos Market and Ab Select 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 Ab Select 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 Ab Select Longshort, you can compare the effects of market volatilities on Calamos Market and Ab Select 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 Ab Select. Check out your portfolio center. Please also check ongoing floating volatility patterns of Calamos Market and Ab Select.
Diversification Opportunities for Calamos Market and Ab Select
0.95 | Correlation Coefficient |
Almost no diversification
The 3 months correlation between Calamos and ASCLX is 0.95. Overlapping area represents the amount of risk that can be diversified away by holding Calamos Market Neutral and Ab Select Longshort in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Ab Select Longshort 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 Ab Select. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Ab Select Longshort has no effect on the direction of Calamos Market i.e., Calamos Market and Ab Select go up and down completely randomly.
Pair Corralation between Calamos Market and Ab Select
Assuming the 90 days horizon Calamos Market is expected to generate 5.3 times less return on investment than Ab Select. But when comparing it to its historical volatility, Calamos Market Neutral is 5.9 times less risky than Ab Select. It trades about 0.23 of its potential returns per unit of risk. Ab Select Longshort is currently generating about 0.2 of returns per unit of risk over similar time horizon. If you would invest 1,369 in Ab Select Longshort on August 29, 2024 and sell it today you would earn a total of 38.00 from holding Ab Select Longshort or generate 2.78% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Very Strong |
| Accuracy | 100.0% |
| Values | Daily Returns |
Calamos Market Neutral vs. Ab Select Longshort
Performance |
| Timeline |
| Calamos Market Neutral |
| Ab Select Longshort |
Calamos Market and Ab Select Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Calamos Market and Ab Select
The main advantage of trading using opposite Calamos Market and Ab Select positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Calamos Market position performs unexpectedly, Ab Select 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 Ab Select will offset losses from the drop in Ab Select's long position.| Calamos Market vs. Ab Select Longshort | Calamos Market vs. Barings Active Short | Calamos Market vs. Nebraska Municipal Fund | Calamos Market vs. Astor Longshort Fund |
| Ab Select vs. Neuberger Berman Long | Ab Select vs. Neuberger Berman Long | Ab Select vs. Diamond Hill Long Short | Ab Select vs. Pimco Rae Worldwide |
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 AI Portfolio Architect module to use AI to generate optimal portfolios and find profitable investment opportunities.
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