Correlation Between Merger Fund and Calamos Market
Can any of the company-specific risk be diversified away by investing in both Merger Fund 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 Merger Fund and Calamos Market into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between The Merger Fund and Calamos Market Neutral, you can compare the effects of market volatilities on Merger Fund 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 Merger Fund with a short position of Calamos Market. Check out your portfolio center. Please also check ongoing floating volatility patterns of Merger Fund and Calamos Market.
Diversification Opportunities for Merger Fund and Calamos Market
0.18 | Correlation Coefficient |
Average diversification
The 3 months correlation between Merger and Calamos is 0.18. Overlapping area represents the amount of risk that can be diversified away by holding The Merger Fund 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 Merger Fund 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 The Merger Fund 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 Merger Fund i.e., Merger Fund and Calamos Market go up and down completely randomly.
Pair Corralation between Merger Fund and Calamos Market
Assuming the 90 days horizon Merger Fund is expected to generate 1.76 times less return on investment than Calamos Market. But when comparing it to its historical volatility, The Merger Fund is 1.16 times less risky than Calamos Market. It trades about 0.08 of its potential returns per unit of risk. Calamos Market Neutral is currently generating about 0.12 of returns per unit of risk over similar time horizon. If you would invest 1,355 in Calamos Market Neutral on September 14, 2024 and sell it today you would earn a total of 173.00 from holding Calamos Market Neutral or generate 12.77% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Insignificant |
| Accuracy | 100.0% |
| Values | Daily Returns |
The Merger Fund vs. Calamos Market Neutral
Performance |
| Timeline |
| Merger Fund |
| Calamos Market Neutral |
Merger Fund and Calamos Market Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Merger Fund and Calamos Market
The main advantage of trading using opposite Merger Fund and Calamos Market positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Merger Fund 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.| Merger Fund vs. Strategic Advisers International | Merger Fund vs. Strategic Advisers Income | Merger Fund vs. Strategic Advisers E | Merger Fund vs. Strategic Advisers Emerging |
| Calamos Market vs. The Arbitrage Fund | Calamos Market vs. The Merger Fund | Calamos Market vs. Gateway Fund Class | Calamos Market vs. Diamond Hill Long Short |
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 Suggestion module to get suggestions outside of your existing asset allocation including your own model portfolios.
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