Correlation Between Calamos Dynamic and Reaves Utility

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

Diversification Opportunities for Calamos Dynamic and Reaves Utility

-0.01

Correlation Coefficient

Calamos Dynamic  Reaves Utility

Good diversification

The 3 months correlation between Calamos and Reaves is -0.01. Overlapping area represents the amount of risk that can be diversified away by holding Calamos Dynamic Convertible and Reaves Utility If in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Reaves Utility If 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 Reaves Utility. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Reaves Utility If has no effect on the direction of Calamos Dynamic i.e., Calamos Dynamic and Reaves Utility go up and down completely randomly.

Pair Corralation between Calamos Dynamic and Reaves Utility

Considering the 90-day investment horizon Calamos Dynamic Convertible is expected to generate 0.7 times more return on investment than Reaves Utility. However, Calamos Dynamic Convertible is 1.43 times less risky than Reaves Utility. It trades about -0.02 of its potential returns per unit of risk. Reaves Utility If is currently generating about -0.04 per unit of risk. If you would invest  2,321  in Calamos Dynamic Convertible on November 28, 2024 and sell it today you would lose (35.00) from holding Calamos Dynamic Convertible or give up 1.51% of portfolio value over 90 days.

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

Calamos Dynamic Convertible  vs.  Reaves Utility If

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 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.

Reaves Utility If

Risk-Adjusted Performance

Very Weak

Over the last 90 days Reaves Utility If has generated negative risk-adjusted returns adding no value to fund investors. Despite nearly stable basic indicators, Reaves Utility is not utilizing all of its potentials. The latest stock price disturbance, may contribute to mid-run losses for the stockholders.

Pair Trading with Calamos Dynamic and Reaves Utility

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

The idea behind Calamos Dynamic Convertible and Reaves Utility If 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 Volatility module to check portfolio volatility and analyze historical return density to properly model market risk.