Correlation Between SPDR SP and Calamos ETF
Can any of the company-specific risk be diversified away by investing in both SPDR SP and Calamos ETF 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 SPDR SP and Calamos ETF into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between SPDR SP 500 and Calamos ETF Trust, you can compare the effects of market volatilities on SPDR SP and Calamos ETF 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 SPDR SP with a short position of Calamos ETF. Check out your portfolio center. Please also check ongoing floating volatility patterns of SPDR SP and Calamos ETF.
Diversification Opportunities for SPDR SP and Calamos ETF
0.67 | Correlation Coefficient |
Poor diversification
The 3 months correlation between SPDR and Calamos is 0.67. Overlapping area represents the amount of risk that can be diversified away by holding SPDR SP 500 and Calamos ETF Trust in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Calamos ETF Trust and SPDR SP 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 SPDR SP 500 are associated (or correlated) with Calamos ETF. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Calamos ETF Trust has no effect on the direction of SPDR SP i.e., SPDR SP and Calamos ETF go up and down completely randomly.
Pair Corralation between SPDR SP and Calamos ETF
Considering the 90-day investment horizon SPDR SP 500 is expected to under-perform the Calamos ETF. In addition to that, SPDR SP is 4.62 times more volatile than Calamos ETF Trust. It trades about -0.31 of its total potential returns per unit of risk. Calamos ETF Trust is currently generating about -0.32 per unit of volatility. If you would invest 2,558 in Calamos ETF Trust on December 16, 2024 and sell it today you would lose (45.00) from holding Calamos ETF Trust or give up 1.76% of portfolio value over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Significant |
| Accuracy | 100.0% |
| Values | Daily Returns |
SPDR SP 500 vs. Calamos ETF Trust
Performance |
| Timeline |
| SPDR SP 500 |
| Calamos ETF Trust |
SPDR SP and Calamos ETF Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with SPDR SP and Calamos ETF
The main advantage of trading using opposite SPDR SP and Calamos ETF positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if SPDR SP position performs unexpectedly, Calamos ETF 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 ETF will offset losses from the drop in Calamos ETF's long position.| SPDR SP vs. FT Vest Equity | ||
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| Calamos ETF vs. Dimensional International High | ||
| Calamos ETF vs. First Trust Exchange Traded |
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 Odds Of Bankruptcy module to get analysis of equity chance of financial distress in the next 2 years.
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