Correlation Between Saat Defensive and Calamos Convertible
Can any of the company-specific risk be diversified away by investing in both Saat Defensive and Calamos Convertible 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 Saat Defensive and Calamos Convertible into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Saat Defensive Strategy and Calamos Vertible Fund, you can compare the effects of market volatilities on Saat Defensive and Calamos Convertible 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 Saat Defensive with a short position of Calamos Convertible. Check out your portfolio center. Please also check ongoing floating volatility patterns of Saat Defensive and Calamos Convertible.
Diversification Opportunities for Saat Defensive and Calamos Convertible
0.83 | Correlation Coefficient |
Very poor diversification
The 3 months correlation between Saat and Calamos is 0.83. Overlapping area represents the amount of risk that can be diversified away by holding Saat Defensive Strategy and Calamos Vertible Fund in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Calamos Convertible and Saat 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 Saat Defensive Strategy are associated (or correlated) with Calamos Convertible. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Calamos Convertible has no effect on the direction of Saat Defensive i.e., Saat Defensive and Calamos Convertible go up and down completely randomly.
Pair Corralation between Saat Defensive and Calamos Convertible
Assuming the 90 days horizon Saat Defensive is expected to generate 3.02 times less return on investment than Calamos Convertible. But when comparing it to its historical volatility, Saat Defensive Strategy is 6.73 times less risky than Calamos Convertible. It trades about 0.4 of its potential returns per unit of risk. Calamos Vertible Fund is currently generating about 0.18 of returns per unit of risk over similar time horizon. If you would invest 1,861 in Calamos Vertible Fund on October 24, 2024 and sell it today you would earn a total of 42.00 from holding Calamos Vertible Fund or generate 2.26% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Strong |
| Accuracy | 100.0% |
| Values | Daily Returns |
Saat Defensive Strategy vs. Calamos Vertible Fund
Performance |
| Timeline |
| Saat Defensive Strategy |
| Calamos Convertible |
Saat Defensive and Calamos Convertible Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Saat Defensive and Calamos Convertible
The main advantage of trading using opposite Saat Defensive and Calamos Convertible positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Saat Defensive position performs unexpectedly, Calamos Convertible 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 Convertible will offset losses from the drop in Calamos Convertible's long position.| Saat Defensive vs. Rbc Global Equity | Saat Defensive vs. Small Cap Equity | Saat Defensive vs. Greenspring Fund Retail | Saat Defensive vs. Smallcap World Fund |
| Calamos Convertible vs. Science Technology Fund | Calamos Convertible vs. Vanguard Information Technology | Calamos Convertible vs. Blackrock Science Technology | Calamos Convertible vs. Red Oak Technology |
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 Optimization module to compute new portfolio that will generate highest expected return given your specified tolerance for risk.
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