Correlation Between Calamos Market and Absolute Convertible

Can any of the company-specific risk be diversified away by investing in both Calamos Market and Absolute 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 Calamos Market and Absolute Convertible into the same portfolio, which is an essential part of the fundamental portfolio management process.

By analyzing existing cross correlation between Calamos Market Neutral and Absolute Convertible Arbitrage, you can compare the effects of market volatilities on Calamos Market and Absolute 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 Calamos Market with a short position of Absolute Convertible. Check out your portfolio center. Please also check ongoing floating volatility patterns of Calamos Market and Absolute Convertible.

Diversification Opportunities for Calamos Market and Absolute Convertible

0.94

Correlation Coefficient

Calamos Market  Absolute Convertible

Almost no diversification

The 3 months correlation between Calamos and Absolute is 0.94. Overlapping area represents the amount of risk that can be diversified away by holding Calamos Market Neutral and Absolute Convertible Arbitrage in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Absolute Convertible and Calamos Market 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 Calamos Market Neutral are associated (or correlated) with Absolute Convertible. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Absolute Convertible has no effect on the direction of Calamos Market i.e., Calamos Market and Absolute Convertible go up and down completely randomly.

Pair Corralation between Calamos Market and Absolute Convertible

Assuming the 90 days horizon Calamos Market is expected to generate 1.11 times less return on investment than Absolute Convertible. In addition to that, Calamos Market is 2.61 times more volatile than Absolute Convertible Arbitrage. It trades about 0.18 of its total potential returns per unit of risk. Absolute Convertible Arbitrage is currently generating about 0.52 per unit of volatility. If you would invest  1,102  in Absolute Convertible Arbitrage on February 18, 2024 and sell it today you would earn a total of  22.00  from holding Absolute Convertible Arbitrage or generate 2.0% return on investment over 90 days.

Time Period	3 Months [change]
Direction	Moves Together
Strength	Very Strong
Accuracy	100.0%
Values	Daily Returns

Calamos Market Neutral  vs.  Absolute Convertible Arbitrage

Calamos Market Neutral

Risk-Adjusted Performance

13 of 100

Good

Compared to the overall equity markets, risk-adjusted returns on investments in Calamos Market Neutral are ranked lower than 13 (%) of all funds and portfolios of funds over the last 90 days. In spite of fairly strong forward indicators, Calamos Market is not utilizing all of its potentials. The current stock price disturbance, may contribute to short-term losses for the investors.

Absolute Convertible

Risk-Adjusted Performance

40 of 100

Very Strong

Compared to the overall equity markets, risk-adjusted returns on investments in Absolute Convertible Arbitrage are ranked lower than 40 (%) of all funds and portfolios of funds over the last 90 days. In spite of fairly strong basic indicators, Absolute Convertible is not utilizing all of its potentials. The current stock price disturbance, may contribute to short-term losses for the investors.

Pair Trading with Calamos Market and Absolute Convertible

The main advantage of trading using opposite Calamos Market and Absolute Convertible positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Calamos Market position performs unexpectedly, Absolute 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 Absolute Convertible will offset losses from the drop in Absolute Convertible's long position.

The idea behind Calamos Market Neutral and Absolute Convertible Arbitrage pairs trading is to make the combined position market-neutral, meaning the overall market's direction will not affect its win or loss (or potential downside or upside). This can be achieved by designing a pairs trade with two highly correlated stocks or equities that operate in a similar space or sector, making it possible to obtain profits through simple and relatively low-risk investment.

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 Pair Correlation module to compare performance and examine fundamental relationship between any two equity instruments.