Correlation Between Calamos Market and The Arbitrage

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Can any of the company-specific risk be diversified away by investing in both Calamos Market and The Arbitrage 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 The Arbitrage 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 The Arbitrage Fund, you can compare the effects of market volatilities on Calamos Market and The Arbitrage 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 The Arbitrage. Check out your portfolio center. Please also check ongoing floating volatility patterns of Calamos Market and The Arbitrage.

Diversification Opportunities for Calamos Market and The Arbitrage

0.56
  Correlation Coefficient

Very weak diversification

The 3 months correlation between Calamos and The is 0.56. Overlapping area represents the amount of risk that can be diversified away by holding CALAMOS MARKET NEUTRAL and THE ARBITRAGE FUND in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on The Arbitrage Fund 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 The Arbitrage. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of The Arbitrage Fund has no effect on the direction of Calamos Market i.e., Calamos Market and The Arbitrage go up and down completely randomly.

Pair Corralation between Calamos Market and The Arbitrage

Assuming the 90 days horizon Calamos Market is expected to generate 2.21 times less return on investment than The Arbitrage. But when comparing it to its historical volatility, Calamos Market Neutral is 2.5 times less risky than The Arbitrage. It trades about 0.29 of its potential returns per unit of risk. The Arbitrage Fund is currently generating about 0.26 of returns per unit of risk over similar time horizon. If you would invest  1,263  in The Arbitrage Fund on December 29, 2023 and sell it today you would earn a total of  18.00  from holding The Arbitrage Fund or generate 1.43% return on investment over 90 days.
Time Period3 Months [change]
DirectionMoves Together 
StrengthWeak
Accuracy95.65%
ValuesDaily Returns

CALAMOS MARKET NEUTRAL  vs.  THE ARBITRAGE FUND

 Performance 
       Timeline  
Calamos Market Neutral 

Risk-Adjusted Performance

18 of 100

 
Low
 
High
Solid
Compared to the overall equity markets, risk-adjusted returns on investments in Calamos Market Neutral are ranked lower than 18 (%) of all funds and portfolios of funds over the last 90 days. In spite of fairly strong fundamental indicators, Calamos Market is not utilizing all of its potentials. The current stock price disturbance, may contribute to short-term losses for the investors.
The Arbitrage Fund 

Risk-Adjusted Performance

6 of 100

 
Low
 
High
Modest
Compared to the overall equity markets, risk-adjusted returns on investments in The Arbitrage Fund are ranked lower than 6 (%) of all funds and portfolios of funds over the last 90 days. In spite of fairly strong technical and fundamental indicators, The Arbitrage is not utilizing all of its potentials. The current stock price disturbance, may contribute to short-term losses for the investors.

Calamos Market and The Arbitrage Volatility Contrast

   Predicted Return Density   
       Returns  

Pair Trading with Calamos Market and The Arbitrage

The main advantage of trading using opposite Calamos Market and The Arbitrage positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Calamos Market position performs unexpectedly, The Arbitrage 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 The Arbitrage will offset losses from the drop in The Arbitrage's long position.
The idea behind Calamos Market Neutral and The Arbitrage Fund 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 Competition Analyzer module to analyze and compare many basic indicators for a group of related or unrelated entities.

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