Correlation Between Calamos Global and First Trust

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

By analyzing existing cross correlation between Calamos Global Total and First Trust Senior, you can compare the effects of market volatilities on Calamos Global and First Trust 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 First Trust. Check out your portfolio center. Please also check ongoing floating volatility patterns of Calamos Global and First Trust.

Diversification Opportunities for Calamos Global and First Trust

0.04

Correlation Coefficient

Calamos Global  First Trust

Significant diversification

The 3 months correlation between Calamos and First is 0.04. Overlapping area represents the amount of risk that can be diversified away by holding Calamos Global Total and First Trust Senior in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on First Trust Senior 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 Total are associated (or correlated) with First Trust. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of First Trust Senior has no effect on the direction of Calamos Global i.e., Calamos Global and First Trust go up and down completely randomly.

Pair Corralation between Calamos Global and First Trust

Considering the 90-day investment horizon Calamos Global is expected to generate 5.35 times less return on investment than First Trust. But when comparing it to its historical volatility, Calamos Global Total is 1.08 times less risky than First Trust. It trades about 0.03 of its potential returns per unit of risk. First Trust Senior is currently generating about 0.17 of returns per unit of risk over similar time horizon. If you would invest  1,028  in First Trust Senior on September 27, 2024 and sell it today you would earn a total of  27.00  from holding First Trust Senior or generate 2.63% return on investment over 90 days.

Time Period	3 Months [change]
Direction	Moves Together
Strength	Insignificant
Accuracy	95.45%
Values	Daily Returns

Calamos Global Total  vs.  First Trust Senior

Calamos Global Total

Risk-Adjusted Performance

0 of 100

Very Weak

Over the last 90 days Calamos Global Total has generated negative risk-adjusted returns adding no value to fund investors. In spite of very healthy technical and fundamental indicators, Calamos Global is not utilizing all of its potentials. The latest stock price disarray, may contribute to short-term losses for the investors.

First Trust Senior

Risk-Adjusted Performance

9 of 100

OK

Compared to the overall equity markets, risk-adjusted returns on investments in First Trust Senior are ranked lower than 9 (%) of all global equities and portfolios over the last 90 days. In spite of comparatively stable fundamental indicators, First Trust is not utilizing all of its potentials. The current stock price uproar, may contribute to short-horizon losses for the private investors.

Pair Trading with Calamos Global and First Trust

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

The idea behind Calamos Global Total and First Trust Senior 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 Volatility Analysis module to get historical volatility and risk analysis based on latest market data.