Correlation Between Calamos Dynamic and Vanguard High-yield

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

Diversification Opportunities for Calamos Dynamic and Vanguard High-yield

-0.08

Correlation Coefficient

Calamos Dynamic  Vanguard High-yield

Good diversification

The 3 months correlation between Calamos and Vanguard is -0.08. Overlapping area represents the amount of risk that can be diversified away by holding Calamos Dynamic Convertible and Vanguard High Yield Tax Exempt in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Vanguard High Yield 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 Vanguard High-yield. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Vanguard High Yield has no effect on the direction of Calamos Dynamic i.e., Calamos Dynamic and Vanguard High-yield go up and down completely randomly.

Pair Corralation between Calamos Dynamic and Vanguard High-yield

Considering the 90-day investment horizon Calamos Dynamic Convertible is expected to under-perform the Vanguard High-yield. In addition to that, Calamos Dynamic is 4.01 times more volatile than Vanguard High Yield Tax Exempt. It trades about -0.19 of its total potential returns per unit of risk. Vanguard High Yield Tax Exempt is currently generating about -0.03 per unit of volatility. If you would invest  1,055  in Vanguard High Yield Tax Exempt on December 30, 2024 and sell it today you would lose (6.00) from holding Vanguard High Yield Tax Exempt or give up 0.57% 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.  Vanguard High Yield Tax Exempt

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.

Vanguard High Yield

Risk-Adjusted Performance

Very Weak

Over the last 90 days Vanguard High Yield Tax Exempt has generated negative risk-adjusted returns adding no value to fund investors. In spite of fairly strong essential indicators, Vanguard High-yield 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 Vanguard High-yield

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

The idea behind Calamos Dynamic Convertible and Vanguard High Yield Tax Exempt 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 Portfolio Backtesting module to avoid under-diversification and over-optimization by backtesting your portfolios.