Correlation Between Western Asset and Calamos International
Can any of the company-specific risk be diversified away by investing in both Western Asset and Calamos International 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 Western Asset and Calamos International into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Western Asset Diversified and Calamos International Growth, you can compare the effects of market volatilities on Western Asset and Calamos International 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 Western Asset with a short position of Calamos International. Check out your portfolio center. Please also check ongoing floating volatility patterns of Western Asset and Calamos International.
Diversification Opportunities for Western Asset and Calamos International
0.94 | Correlation Coefficient |
Almost no diversification
The 3 months correlation between Western and Calamos is 0.94. Overlapping area represents the amount of risk that can be diversified away by holding Western Asset Diversified and Calamos International Growth in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Calamos International and Western Asset 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 Western Asset Diversified are associated (or correlated) with Calamos International. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Calamos International has no effect on the direction of Western Asset i.e., Western Asset and Calamos International go up and down completely randomly.
Pair Corralation between Western Asset and Calamos International
Assuming the 90 days horizon Western Asset Diversified is expected to generate 0.31 times more return on investment than Calamos International. However, Western Asset Diversified is 3.25 times less risky than Calamos International. It trades about -0.05 of its potential returns per unit of risk. Calamos International Growth is currently generating about -0.21 per unit of risk. If you would invest 1,527 in Western Asset Diversified on October 20, 2024 and sell it today you would lose (5.00) from holding Western Asset Diversified or give up 0.33% of portfolio value over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Very Strong |
| Accuracy | 100.0% |
| Values | Daily Returns |
Western Asset Diversified vs. Calamos International Growth
Performance |
| Timeline |
| Western Asset Diversified |
| Calamos International |
Western Asset and Calamos International Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Western Asset and Calamos International
The main advantage of trading using opposite Western Asset and Calamos International positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Western Asset position performs unexpectedly, Calamos International 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 International will offset losses from the drop in Calamos International's long position.| Western Asset vs. Morningstar Defensive Bond | Western Asset vs. Doubleline Total Return | Western Asset vs. Gmo High Yield | Western Asset vs. Ambrus Core Bond |
| Calamos International vs. Calamos Global Growth | Calamos International vs. Calamos Growth Income | Calamos International vs. Calamos Opportunistic Value | Calamos International vs. Calamos Global 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 Performance Analysis module to check effects of mean-variance optimization against your current asset allocation.
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