Correlation Between Empire State and Calamos Market
Can any of the company-specific risk be diversified away by investing in both Empire State and Calamos Market 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 Empire State and Calamos Market into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Empire State Realty and Calamos Market Neutral, you can compare the effects of market volatilities on Empire State and Calamos Market 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 Empire State with a short position of Calamos Market. Check out your portfolio center. Please also check ongoing floating volatility patterns of Empire State and Calamos Market.
Diversification Opportunities for Empire State and Calamos Market
0.45 | Correlation Coefficient |
Very weak diversification
The 3 months correlation between Empire and Calamos is 0.45. Overlapping area represents the amount of risk that can be diversified away by holding Empire State Realty and Calamos Market Neutral in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Calamos Market Neutral and Empire State 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 Empire State Realty are associated (or correlated) with Calamos Market. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Calamos Market Neutral has no effect on the direction of Empire State i.e., Empire State and Calamos Market go up and down completely randomly.
Pair Corralation between Empire State and Calamos Market
Given the investment horizon of 90 days Empire State Realty is expected to generate 14.43 times more return on investment than Calamos Market. However, Empire State is 14.43 times more volatile than Calamos Market Neutral. It trades about 0.06 of its potential returns per unit of risk. Calamos Market Neutral is currently generating about 0.26 per unit of risk. If you would invest 871.00 in Empire State Realty on September 1, 2024 and sell it today you would earn a total of 225.00 from holding Empire State Realty or generate 25.83% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Weak |
| Accuracy | 100.0% |
| Values | Daily Returns |
Empire State Realty vs. Calamos Market Neutral
Performance |
| Timeline |
| Empire State Realty |
| Calamos Market Neutral |
Empire State and Calamos Market Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Empire State and Calamos Market
The main advantage of trading using opposite Empire State and Calamos Market positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Empire State position performs unexpectedly, Calamos Market 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 Market will offset losses from the drop in Calamos Market's long position.| Empire State vs. Paramount Group | Empire State vs. Hudson Pacific Properties | Empire State vs. Equity Commonwealth | Empire State vs. Douglas Emmett |
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 Exposure Probability module to analyze equity upside and downside potential for a given time horizon across multiple markets.
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