Correlation Analysis Between Calamos Market and BlackRock Large

This module allows you to analyze existing cross correlation between Calamos Market Neutral Fd Cl C and BlackRock Large Cap Srs Fds Bl. You can compare the effects of market volatilities on Calamos Market and BlackRock Large 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 BlackRock Large. See also your portfolio center. Please also check ongoing floating volatility patterns of Calamos Market and BlackRock Large.
Horizon     30 Days    Login   to change
Symbolsvs
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Comparative Performance

Calamos Market Neutral  
66

Risk-Adjusted Fund Performance

Compared to the overall equity markets, risk-adjusted returns on investments in Calamos Market Neutral Fd Cl C are ranked lower than 6 (%) of all funds and portfolios of funds over the last 30 days. Inspite fairly strong basic indicators, Calamos Market is not utilizing all of its potentials. The current stock price disturbance, may contribute to short term losses for the investors.
BlackRock Large Cap  
99

Risk-Adjusted Fund Performance

Compared to the overall equity markets, risk-adjusted returns on investments in BlackRock Large Cap Srs Fds Bl are ranked lower than 9 (%) of all funds and portfolios of funds over the last 30 days. Inspite fairly strong basic indicators, BlackRock Large is not utilizing all of its potentials. The current stock price disturbance, may contribute to short term losses for the investors.

Calamos Market and BlackRock Large Volatility Contrast

 Predicted Return Density 
      Returns 

Calamos Market Neutral Fd Cl C  vs.  BlackRock Large Cap Srs Fds Bl

 Performance (%) 
      Timeline 

Pair Volatility

Assuming 30 trading days horizon, Calamos Market is expected to generate 1.59 times less return on investment than BlackRock Large. But when comparing it to its historical volatility, Calamos Market Neutral Fd Cl C is 1.05 times less risky than BlackRock Large. It trades about 0.09 of its potential returns per unit of risk. BlackRock Large Cap Srs Fds Bl is currently generating about 0.14 of returns per unit of risk over similar time horizon. If you would invest  851.00  in BlackRock Large Cap Srs Fds Bl on October 23, 2019 and sell it today you would earn a total of  8.00  from holding BlackRock Large Cap Srs Fds Bl or generate 0.94% return on investment over 30 days.

Pair Corralation between Calamos Market and BlackRock Large

0.8
Time Period3 Months [change]
DirectionPositive 
StrengthStrong
Accuracy100.0%
ValuesDaily Returns

Diversification Opportunities for Calamos Market and BlackRock Large

Calamos Market Neutral Fd Cl C diversification synergy

Very poor diversification

Overlapping area represents the amount of risk that can be diversified away by holding Calamos Market Neutral Fd Cl C and BlackRock Large Cap Srs Fds Bl in the same portfolio assuming nothing else is changed. The correlation between historical prices or returns on BlackRock Large Cap 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 Fd Cl C are associated (or correlated) with BlackRock Large. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of BlackRock Large Cap has no effect on the direction of Calamos Market i.e. Calamos Market and BlackRock Large go up and down completely randomly.
See also your portfolio center. Please also try Aroon Oscillator module to analyze current equity momentum using aroon oscillator and other momentum ratios.


 
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