Correlation Between Vanguard 500 and Calamos Strategic
Can any of the company-specific risk be diversified away by investing in both Vanguard 500 and Calamos Strategic 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 Vanguard 500 and Calamos Strategic into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Vanguard 500 Index and Calamos Strategic Total, you can compare the effects of market volatilities on Vanguard 500 and Calamos Strategic 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 Vanguard 500 with a short position of Calamos Strategic. Check out your portfolio center. Please also check ongoing floating volatility patterns of Vanguard 500 and Calamos Strategic.
Diversification Opportunities for Vanguard 500 and Calamos Strategic
0.99 | Correlation Coefficient |
No risk reduction
The 3 months correlation between Vanguard and Calamos is 0.99. Overlapping area represents the amount of risk that can be diversified away by holding Vanguard 500 Index and Calamos Strategic Total in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Calamos Strategic Total and Vanguard 500 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 Vanguard 500 Index are associated (or correlated) with Calamos Strategic. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Calamos Strategic Total has no effect on the direction of Vanguard 500 i.e., Vanguard 500 and Calamos Strategic go up and down completely randomly.
Pair Corralation between Vanguard 500 and Calamos Strategic
Assuming the 90 days horizon Vanguard 500 is expected to generate 1.04 times less return on investment than Calamos Strategic. But when comparing it to its historical volatility, Vanguard 500 Index is 1.07 times less risky than Calamos Strategic. It trades about 0.34 of its potential returns per unit of risk. Calamos Strategic Total is currently generating about 0.33 of returns per unit of risk over similar time horizon. If you would invest 1,717 in Calamos Strategic Total on September 2, 2024 and sell it today you would earn a total of 97.00 from holding Calamos Strategic Total or generate 5.65% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Very Strong |
| Accuracy | 100.0% |
| Values | Daily Returns |
Vanguard 500 Index vs. Calamos Strategic Total
Performance |
| Timeline |
| Vanguard 500 Index |
| Calamos Strategic Total |
Vanguard 500 and Calamos Strategic Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Vanguard 500 and Calamos Strategic
The main advantage of trading using opposite Vanguard 500 and Calamos Strategic positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Vanguard 500 position performs unexpectedly, Calamos Strategic 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 Strategic will offset losses from the drop in Calamos Strategic's long position.| Vanguard 500 vs. Vanguard Total Bond | Vanguard 500 vs. Vanguard Small Cap Index | Vanguard 500 vs. Vanguard Mid Cap Index | Vanguard 500 vs. Vanguard Extended Market |
| Calamos Strategic vs. Calamos Convertible Opportunities | Calamos Strategic vs. Calamos Dynamic Convertible | Calamos Strategic vs. Calamos Global Dynamic | Calamos Strategic 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 Idea Analyzer module to analyze all characteristics, volatility and risk-adjusted return of Macroaxis ideas.
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