Correlation Between Morningstar Defensive and Calamos Dynamic
Can any of the company-specific risk be diversified away by investing in both Morningstar Defensive and Calamos Dynamic 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 Morningstar Defensive and Calamos Dynamic into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Morningstar Defensive Bond and Calamos Dynamic Convertible, you can compare the effects of market volatilities on Morningstar Defensive and Calamos Dynamic 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 Morningstar Defensive with a short position of Calamos Dynamic. Check out your portfolio center. Please also check ongoing floating volatility patterns of Morningstar Defensive and Calamos Dynamic.
Diversification Opportunities for Morningstar Defensive and Calamos Dynamic
0.38 | Correlation Coefficient |
Weak diversification
The 3 months correlation between Morningstar and Calamos is 0.38. Overlapping area represents the amount of risk that can be diversified away by holding Morningstar Defensive Bond and Calamos Dynamic Convertible in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Calamos Dynamic Conv and Morningstar Defensive 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 Morningstar Defensive Bond are associated (or correlated) with Calamos Dynamic. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Calamos Dynamic Conv has no effect on the direction of Morningstar Defensive i.e., Morningstar Defensive and Calamos Dynamic go up and down completely randomly.
Pair Corralation between Morningstar Defensive and Calamos Dynamic
Assuming the 90 days horizon Morningstar Defensive Bond is expected to under-perform the Calamos Dynamic. But the mutual fund apears to be less risky and, when comparing its historical volatility, Morningstar Defensive Bond is 9.24 times less risky than Calamos Dynamic. The mutual fund trades about -0.09 of its potential returns per unit of risk. The Calamos Dynamic Convertible is currently generating about -0.01 of returns per unit of risk over similar time horizon. If you would invest 2,459 in Calamos Dynamic Convertible on August 24, 2024 and sell it today you would lose (6.00) from holding Calamos Dynamic Convertible or give up 0.24% of portfolio value over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Very Weak |
| Accuracy | 100.0% |
| Values | Daily Returns |
Morningstar Defensive Bond vs. Calamos Dynamic Convertible
Performance |
| Timeline |
| Morningstar Defensive |
| Calamos Dynamic Conv |
Morningstar Defensive and Calamos Dynamic Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Morningstar Defensive and Calamos Dynamic
The main advantage of trading using opposite Morningstar Defensive and Calamos Dynamic positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Morningstar Defensive position performs unexpectedly, Calamos Dynamic 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 Dynamic will offset losses from the drop in Calamos Dynamic's long position.The idea behind Morningstar Defensive Bond and Calamos Dynamic Convertible 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.
| Calamos Dynamic vs. Calamos Convertible Opportunities | Calamos Dynamic vs. Calamos Global Dynamic | Calamos Dynamic vs. Calamos Strategic Total | Calamos Dynamic vs. Calamos LongShort Equity |
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 Crypto Correlations module to use cryptocurrency correlation module to diversify your cryptocurrency portfolio across multiple coins.
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