Correlation Between Calamos Convertible and Aqr Small

Can any of the company-specific risk be diversified away by investing in both Calamos Convertible and Aqr Small 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 Aqr Small 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 Aqr Small Cap, you can compare the effects of market volatilities on Calamos Convertible and Aqr Small 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 Aqr Small. Check out your portfolio center. Please also check ongoing floating volatility patterns of Calamos Convertible and Aqr Small.

Diversification Opportunities for Calamos Convertible and Aqr Small

0.37

Correlation Coefficient

Calamos Convertible  Aqr Small

Weak diversification

The 3 months correlation between Calamos and Aqr is 0.37. Overlapping area represents the amount of risk that can be diversified away by holding Calamos Vertible Fund and Aqr Small Cap in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Aqr Small Cap 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 Aqr Small. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Aqr Small Cap has no effect on the direction of Calamos Convertible i.e., Calamos Convertible and Aqr Small go up and down completely randomly.

Pair Corralation between Calamos Convertible and Aqr Small

Assuming the 90 days horizon Calamos Vertible Fund is expected to generate 0.23 times more return on investment than Aqr Small. However, Calamos Vertible Fund is 4.43 times less risky than Aqr Small. It trades about -0.19 of its potential returns per unit of risk. Aqr Small Cap is currently generating about -0.28 per unit of risk. If you would invest  1,936  in Calamos Vertible Fund on October 10, 2024 and sell it today you would lose (65.00) from holding Calamos Vertible Fund or give up 3.36% of portfolio value over 90 days.

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

Calamos Vertible Fund  vs.  Aqr Small Cap

Calamos Convertible

Risk-Adjusted Performance

4 of 100

Insignificant

Compared to the overall equity markets, risk-adjusted returns on investments in Calamos Vertible Fund are ranked lower than 4 (%) 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.

Aqr Small Cap

Risk-Adjusted Performance

0 of 100

Very Weak

Over the last 90 days Aqr Small Cap has generated negative risk-adjusted returns adding no value to fund investors. In spite of weak performance in the last few months, the Fund's basic indicators remain fairly strong which may send shares a bit higher in February 2025. The current disturbance may also be a sign of long term up-swing for the fund investors.

Pair Trading with Calamos Convertible and Aqr Small

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

The idea behind Calamos Vertible Fund and Aqr Small 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 Content Syndication module to quickly integrate customizable finance content to your own investment portal.