Correlation Between Capital World and Calamos Market
Can any of the company-specific risk be diversified away by investing in both Capital World 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 Capital World and Calamos Market into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Capital World Growth and Calamos Market Neutral, you can compare the effects of market volatilities on Capital World 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 Capital World with a short position of Calamos Market. Check out your portfolio center. Please also check ongoing floating volatility patterns of Capital World and Calamos Market.
Diversification Opportunities for Capital World and Calamos Market
0.67 | Correlation Coefficient |
Poor diversification
The 3 months correlation between Capital and Calamos is 0.67. Overlapping area represents the amount of risk that can be diversified away by holding Capital World Growth 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 Capital World 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 Capital World Growth 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 Capital World i.e., Capital World and Calamos Market go up and down completely randomly.
Pair Corralation between Capital World and Calamos Market
Assuming the 90 days horizon Capital World Growth is expected to generate 1.67 times more return on investment than Calamos Market. However, Capital World is 1.67 times more volatile than Calamos Market Neutral. It trades about 0.08 of its potential returns per unit of risk. Calamos Market Neutral is currently generating about 0.06 per unit of risk. If you would invest 5,082 in Capital World Growth on September 3, 2024 and sell it today you would earn a total of 1,729 from holding Capital World Growth or generate 34.02% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Significant |
| Accuracy | 100.0% |
| Values | Daily Returns |
Capital World Growth vs. Calamos Market Neutral
Performance |
| Timeline |
| Capital World Growth |
| Calamos Market Neutral |
Capital World and Calamos Market Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Capital World and Calamos Market
The main advantage of trading using opposite Capital World and Calamos Market positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Capital World 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.| Capital World vs. Calamos Market Neutral | Capital World vs. Fundvantage Trust | Capital World vs. Morgan Stanley Emerging | Capital World vs. Ep Emerging Markets |
| Calamos Market vs. Calamos Market Neutral | Calamos Market vs. Absolute Convertible Arbitrage | Calamos Market vs. Aqr Diversified Arbitrage | Calamos Market vs. Palmer Square Ssi |
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 Rebalancing module to analyze risk-adjusted returns against different time horizons to find asset-allocation targets.
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