Correlation Between Western Asset and Calamos High
Can any of the company-specific risk be diversified away by investing in both Western Asset and Calamos High 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 High 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 High Income, you can compare the effects of market volatilities on Western Asset and Calamos High 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 High. Check out your portfolio center. Please also check ongoing floating volatility patterns of Western Asset and Calamos High.
Diversification Opportunities for Western Asset and Calamos High
-0.49 | Correlation Coefficient |
Very good diversification
The 3 months correlation between Western and Calamos is -0.49. Overlapping area represents the amount of risk that can be diversified away by holding Western Asset Diversified and Calamos High Income in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Calamos High Income 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 High. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Calamos High Income has no effect on the direction of Western Asset i.e., Western Asset and Calamos High go up and down completely randomly.
Pair Corralation between Western Asset and Calamos High
Assuming the 90 days horizon Western Asset Diversified is expected to generate 1.7 times more return on investment than Calamos High. However, Western Asset is 1.7 times more volatile than Calamos High Income. It trades about 0.05 of its potential returns per unit of risk. Calamos High Income is currently generating about 0.07 per unit of risk. If you would invest 1,549 in Western Asset Diversified on September 12, 2024 and sell it today you would earn a total of 4.00 from holding Western Asset Diversified or generate 0.26% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Against |
| Strength | Very Weak |
| Accuracy | 95.45% |
| Values | Daily Returns |
Western Asset Diversified vs. Calamos High Income
Performance |
| Timeline |
| Western Asset Diversified |
| Calamos High Income |
Western Asset and Calamos High Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Western Asset and Calamos High
The main advantage of trading using opposite Western Asset and Calamos High positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Western Asset position performs unexpectedly, Calamos High 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 High will offset losses from the drop in Calamos High's long position.| Western Asset vs. Vanguard Total Stock | Western Asset vs. Vanguard 500 Index | Western Asset vs. Vanguard Total Stock | Western Asset vs. Vanguard Total Stock |
| Calamos High vs. Sentinel Small Pany | Calamos High vs. Wasatch Small Cap | Calamos High vs. Blackrock Sm Cap | Calamos High vs. Western Asset Diversified |
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 Volatility module to check portfolio volatility and analyze historical return density to properly model market risk.
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