Correlation Between Calamos Convertible and Brown Advisory

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

By analyzing existing cross correlation between Calamos Vertible Fund and Brown Advisory Mid Cap, you can compare the effects of market volatilities on Calamos Convertible and Brown Advisory 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 Convertible with a short position of Brown Advisory. Check out your portfolio center. Please also check ongoing floating volatility patterns of Calamos Convertible and Brown Advisory.

Diversification Opportunities for Calamos Convertible and Brown Advisory

0.96

Correlation Coefficient

Calamos Convertible  Brown Advisory

Almost no diversification

The 3 months correlation between Calamos and Brown is 0.96. Overlapping area represents the amount of risk that can be diversified away by holding Calamos Vertible Fund and Brown Advisory Mid Cap in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Brown Advisory Mid and Calamos Convertible 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 Vertible Fund are associated (or correlated) with Brown Advisory. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Brown Advisory Mid has no effect on the direction of Calamos Convertible i.e., Calamos Convertible and Brown Advisory go up and down completely randomly.

Pair Corralation between Calamos Convertible and Brown Advisory

Assuming the 90 days horizon Calamos Vertible Fund is expected to under-perform the Brown Advisory. But the mutual fund apears to be less risky and, when comparing its historical volatility, Calamos Vertible Fund is 1.28 times less risky than Brown Advisory. The mutual fund trades about -0.16 of its potential returns per unit of risk. The Brown Advisory Mid Cap is currently generating about -0.07 of returns per unit of risk over similar time horizon. If you would invest  1,760  in Brown Advisory Mid Cap on October 11, 2024 and sell it today you would lose (30.00) from holding Brown Advisory Mid Cap or give up 1.7% of portfolio value over 90 days.

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

Calamos Vertible Fund  vs.  Brown Advisory Mid Cap

Calamos Convertible

Risk-Adjusted Performance

3 of 100

Insignificant

Compared to the overall equity markets, risk-adjusted returns on investments in Calamos Vertible Fund are ranked lower than 3 (%) of all funds and portfolios of funds over the last 90 days. In spite of fairly strong basic indicators, Calamos Convertible is not utilizing all of its potentials. The current stock price disturbance, may contribute to short-term losses for the investors.

Brown Advisory Mid

Risk-Adjusted Performance

5 of 100

OK

Compared to the overall equity markets, risk-adjusted returns on investments in Brown Advisory Mid Cap are ranked lower than 5 (%) of all funds and portfolios of funds over the last 90 days. In spite of fairly strong primary indicators, Brown Advisory 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 Convertible and Brown Advisory

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

The idea behind Calamos Vertible Fund and Brown Advisory Mid Cap 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 USA ETFs module to find actively traded Exchange Traded Funds (ETF) in USA.