Correlation Between Calamos Dynamic and Direxion Monthly

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

By analyzing existing cross correlation between Calamos Dynamic Convertible and Direxion Monthly Nasdaq 100, you can compare the effects of market volatilities on Calamos Dynamic and Direxion Monthly 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 Dynamic with a short position of Direxion Monthly. Check out your portfolio center. Please also check ongoing floating volatility patterns of Calamos Dynamic and Direxion Monthly.

Diversification Opportunities for Calamos Dynamic and Direxion Monthly

-0.14

Correlation Coefficient

Calamos Dynamic  Direxion Monthly

Good diversification

The 3 months correlation between Calamos and Direxion is -0.14. Overlapping area represents the amount of risk that can be diversified away by holding Calamos Dynamic Convertible and Direxion Monthly Nasdaq 100 in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Direxion Monthly Nasdaq and Calamos Dynamic 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 Dynamic Convertible are associated (or correlated) with Direxion Monthly. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Direxion Monthly Nasdaq has no effect on the direction of Calamos Dynamic i.e., Calamos Dynamic and Direxion Monthly go up and down completely randomly.

Pair Corralation between Calamos Dynamic and Direxion Monthly

Considering the 90-day investment horizon Calamos Dynamic is expected to generate 9.8 times less return on investment than Direxion Monthly. But when comparing it to its historical volatility, Calamos Dynamic Convertible is 1.19 times less risky than Direxion Monthly. It trades about 0.02 of its potential returns per unit of risk. Direxion Monthly Nasdaq 100 is currently generating about 0.18 of returns per unit of risk over similar time horizon. If you would invest  7,467  in Direxion Monthly Nasdaq 100 on September 13, 2024 and sell it today you would earn a total of  1,031  from holding Direxion Monthly Nasdaq 100 or generate 13.81% return on investment over 90 days.

Time Period	3 Months [change]
Direction	Moves Against
Strength	Insignificant
Accuracy	100.0%
Values	Daily Returns

Calamos Dynamic Convertible  vs.  Direxion Monthly Nasdaq 100

Calamos Dynamic Conv

Risk-Adjusted Performance

1 of 100

Weak

Compared to the overall equity markets, risk-adjusted returns on investments in Calamos Dynamic Convertible are ranked lower than 1 (%) of all funds and portfolios of funds over the last 90 days. In spite of rather sound fundamental indicators, Calamos Dynamic is not utilizing all of its potentials. The recent stock price tumult, may contribute to shorter-term losses for the shareholders.

Direxion Monthly Nasdaq

Risk-Adjusted Performance

13 of 100

Good

Compared to the overall equity markets, risk-adjusted returns on investments in Direxion Monthly Nasdaq 100 are ranked lower than 13 (%) of all funds and portfolios of funds over the last 90 days. In spite of fairly weak essential indicators, Direxion Monthly showed solid returns over the last few months and may actually be approaching a breakup point.

Pair Trading with Calamos Dynamic and Direxion Monthly

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

The idea behind Calamos Dynamic Convertible and Direxion Monthly Nasdaq 100 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.

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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 Dashboard module to portfolio dashboard that provides centralized access to all your investments.