Correlation Between Balanced Allocation and Calamos International

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Can any of the company-specific risk be diversified away by investing in both Balanced Allocation and Calamos International 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 Balanced Allocation and Calamos International into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Balanced Allocation Fund and Calamos International Growth, you can compare the effects of market volatilities on Balanced Allocation and Calamos International 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 Balanced Allocation with a short position of Calamos International. Check out your portfolio center. Please also check ongoing floating volatility patterns of Balanced Allocation and Calamos International.

Diversification Opportunities for Balanced Allocation and Calamos International

BalancedCalamosDiversified AwayBalancedCalamosDiversified Away100%
0.61
  Correlation Coefficient

Poor diversification

The 3 months correlation between Balanced and Calamos is 0.61. Overlapping area represents the amount of risk that can be diversified away by holding Balanced Allocation Fund and Calamos International Growth in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Calamos International and Balanced Allocation 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 Balanced Allocation Fund are associated (or correlated) with Calamos International. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Calamos International has no effect on the direction of Balanced Allocation i.e., Balanced Allocation and Calamos International go up and down completely randomly.

Pair Corralation between Balanced Allocation and Calamos International

Assuming the 90 days horizon Balanced Allocation is expected to generate 1.78 times less return on investment than Calamos International. But when comparing it to its historical volatility, Balanced Allocation Fund is 2.55 times less risky than Calamos International. It trades about 0.16 of its potential returns per unit of risk. Calamos International Growth is currently generating about 0.11 of returns per unit of risk over similar time horizon. If you would invest  2,183  in Calamos International Growth on November 24, 2024 and sell it today you would earn a total of  88.00  from holding Calamos International Growth or generate 4.03% return on investment over 90 days.
Time Period3 Months [change]
DirectionMoves Together 
StrengthSignificant
Accuracy100.0%
ValuesDaily Returns

Balanced Allocation Fund  vs.  Calamos International Growth

 Performance 
JavaScript chart by amCharts 3.21.15Dec2025Feb -10-8-6-4-2024
JavaScript chart by amCharts 3.21.15GBAYX CIGOX
       Timeline  
Balanced Allocation 

Risk-Adjusted Performance

Weak

 
Weak
 
Strong
Compared to the overall equity markets, risk-adjusted returns on investments in Balanced Allocation Fund are ranked lower than 2 (%) of all funds and portfolios of funds over the last 90 days. In spite of fairly strong basic indicators, Balanced Allocation is not utilizing all of its potentials. The current stock price disturbance, may contribute to short-term losses for the investors.
JavaScript chart by amCharts 3.21.15DecJanFebJanFeb11.411.511.611.711.811.9
Calamos International 

Risk-Adjusted Performance

Very Weak

 
Weak
 
Strong
Over the last 90 days Calamos International Growth has generated negative risk-adjusted returns adding no value to fund investors. In spite of fairly strong basic indicators, Calamos International is not utilizing all of its potentials. The current stock price disturbance, may contribute to short-term losses for the investors.
JavaScript chart by amCharts 3.21.15DecJanFebJanFeb21.52222.52323.524

Balanced Allocation and Calamos International Volatility Contrast

   Predicted Return Density   
JavaScript chart by amCharts 3.21.15-1.23-0.89-0.55-0.210.0052490.240.580.921.261.6 0.51.01.52.02.5
JavaScript chart by amCharts 3.21.15GBAYX CIGOX
       Returns  

Pair Trading with Balanced Allocation and Calamos International

The main advantage of trading using opposite Balanced Allocation and Calamos International positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Balanced Allocation position performs unexpectedly, Calamos International 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 International will offset losses from the drop in Calamos International's long position.
The idea behind Balanced Allocation Fund and Calamos International Growth 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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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 Bonds Directory module to find actively traded corporate debentures issued by US companies.

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