Correlation Between Calamos Global and Thornburg International

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

By analyzing existing cross correlation between Calamos Global Equity and Thornburg International Growth, you can compare the effects of market volatilities on Calamos Global and Thornburg International 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 Global with a short position of Thornburg International. Check out your portfolio center. Please also check ongoing floating volatility patterns of Calamos Global and Thornburg International.

Diversification Opportunities for Calamos Global and Thornburg International

0.3

Correlation Coefficient

Calamos Global  Thornburg International

Weak diversification

The 3 months correlation between Calamos and Thornburg is 0.3. Overlapping area represents the amount of risk that can be diversified away by holding Calamos Global Equity and Thornburg International Growth in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Thornburg International and Calamos Global 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 Global Equity are associated (or correlated) with Thornburg International. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Thornburg International has no effect on the direction of Calamos Global i.e., Calamos Global and Thornburg International go up and down completely randomly.

Pair Corralation between Calamos Global and Thornburg International

Assuming the 90 days horizon Calamos Global Equity is expected to under-perform the Thornburg International. In addition to that, Calamos Global is 1.36 times more volatile than Thornburg International Growth. It trades about -0.06 of its total potential returns per unit of risk. Thornburg International Growth is currently generating about 0.01 per unit of volatility. If you would invest  2,399  in Thornburg International Growth on December 28, 2024 and sell it today you would earn a total of  12.00  from holding Thornburg International Growth or generate 0.5% return on investment over 90 days.

Time Period	3 Months [change]
Direction	Moves Together
Strength	Very Weak
Accuracy	98.36%
Values	Daily Returns

Calamos Global Equity  vs.  Thornburg International Growth

Calamos Global Equity

Risk-Adjusted Performance

Very Weak

Over the last 90 days Calamos Global Equity has generated negative risk-adjusted returns adding no value to fund investors. In spite of fairly strong basic indicators, Calamos Global is not utilizing all of its potentials. The current stock price disturbance, may contribute to short-term losses for the investors.

Thornburg International

Risk-Adjusted Performance

Weak

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

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

The idea behind Calamos Global Equity and Thornburg International Growth 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 Equity Analysis module to research over 250,000 global equities including funds, stocks and ETFs to find investment opportunities.