Correlation Between Calamos Dynamic and Prudential Jennison

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

Diversification Opportunities for Calamos Dynamic and Prudential Jennison

0.24

Correlation Coefficient

Calamos Dynamic  Prudential Jennison

Modest diversification

The 3 months correlation between Calamos and Prudential is 0.24. Overlapping area represents the amount of risk that can be diversified away by holding Calamos Dynamic Convertible and Prudential Jennison Internatio in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Prudential Jennison 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 Prudential Jennison. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Prudential Jennison has no effect on the direction of Calamos Dynamic i.e., Calamos Dynamic and Prudential Jennison go up and down completely randomly.

Pair Corralation between Calamos Dynamic and Prudential Jennison

Considering the 90-day investment horizon Calamos Dynamic Convertible is expected to under-perform the Prudential Jennison. But the fund apears to be less risky and, when comparing its historical volatility, Calamos Dynamic Convertible is 1.21 times less risky than Prudential Jennison. The fund trades about -0.19 of its potential returns per unit of risk. The Prudential Jennison International is currently generating about 0.01 of returns per unit of risk over similar time horizon. If you would invest  2,914  in Prudential Jennison International on December 29, 2024 and sell it today you would earn a total of  18.00  from holding Prudential Jennison International or generate 0.62% return on investment over 90 days.

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

Calamos Dynamic Convertible  vs.  Prudential Jennison Internatio

Calamos Dynamic Conv

Risk-Adjusted Performance

Very Weak

Over the last 90 days Calamos Dynamic Convertible has generated negative risk-adjusted returns adding no value to fund investors. In spite of inconsistent performance in the last few months, the Fund's fundamental indicators remain rather sound which may send shares a bit higher in April 2025. The latest tumult may also be a sign of longer-term up-swing for the fund shareholders.

Prudential Jennison

Risk-Adjusted Performance

Weak

Compared to the overall equity markets, risk-adjusted returns on investments in Prudential Jennison International are ranked lower than 1 (%) of all funds and portfolios of funds over the last 90 days. In spite of fairly strong basic indicators, Prudential Jennison 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 Dynamic and Prudential Jennison

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

The idea behind Calamos Dynamic Convertible and Prudential Jennison International 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 Bonds Directory module to find actively traded corporate debentures issued by US companies.