Correlation Between Calamos Vertible and Prudential Jennison

Can any of the company-specific risk be diversified away by investing in both Calamos Vertible and Prudential Jennison 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 Vertible and Prudential Jennison 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 Prudential Jennison Mid Cap, you can compare the effects of market volatilities on Calamos Vertible and Prudential Jennison 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 Vertible with a short position of Prudential Jennison. Check out your portfolio center. Please also check ongoing floating volatility patterns of Calamos Vertible and Prudential Jennison.

Diversification Opportunities for Calamos Vertible and Prudential Jennison

0.81

Correlation Coefficient

Calamos Vertible  Prudential Jennison

Very poor diversification

The 3 months correlation between Calamos and Prudential is 0.81. Overlapping area represents the amount of risk that can be diversified away by holding Calamos Vertible Fund and Prudential Jennison Mid Cap in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Prudential Jennison Mid and Calamos Vertible 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 Prudential Jennison. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Prudential Jennison Mid has no effect on the direction of Calamos Vertible i.e., Calamos Vertible and Prudential Jennison go up and down completely randomly.

Pair Corralation between Calamos Vertible and Prudential Jennison

Assuming the 90 days horizon Calamos Vertible Fund is expected to generate 0.53 times more return on investment than Prudential Jennison. However, Calamos Vertible Fund is 1.9 times less risky than Prudential Jennison. It trades about 0.11 of its potential returns per unit of risk. Prudential Jennison Mid Cap is currently generating about 0.05 per unit of risk. If you would invest  1,821  in Calamos Vertible Fund on October 25, 2024 and sell it today you would earn a total of  78.00  from holding Calamos Vertible Fund or generate 4.28% return on investment over 90 days.

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

Calamos Vertible Fund  vs.  Prudential Jennison Mid Cap

Calamos Vertible

Risk-Adjusted Performance

8 of 100

OK

Compared to the overall equity markets, risk-adjusted returns on investments in Calamos Vertible Fund are ranked lower than 8 (%) of all funds and portfolios of funds over the last 90 days. In spite of fairly strong basic indicators, Calamos Vertible is not utilizing all of its potentials. The current stock price disturbance, may contribute to short-term losses for the investors.

Prudential Jennison Mid

Risk-Adjusted Performance

3 of 100

Insignificant

Compared to the overall equity markets, risk-adjusted returns on investments in Prudential Jennison Mid Cap are ranked lower than 3 (%) of all funds and portfolios of funds over the last 90 days. In spite of fairly strong basic indicators, Prudential Jennison 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 Vertible and Prudential Jennison

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

The idea behind Calamos Vertible Fund and Prudential Jennison 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 Fundamental Analysis module to view fundamental data based on most recent published financial statements.