Correlation Between Calamos Market and John Hancock

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

By analyzing existing cross correlation between Calamos Market Neutral and John Hancock Financial, you can compare the effects of market volatilities on Calamos Market and John Hancock 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 Market with a short position of John Hancock. Check out your portfolio center. Please also check ongoing floating volatility patterns of Calamos Market and John Hancock.

Diversification Opportunities for Calamos Market and John Hancock

0.86

Correlation Coefficient

Calamos Market  John Hancock

Very poor diversification

The 3 months correlation between Calamos and John is 0.86. Overlapping area represents the amount of risk that can be diversified away by holding Calamos Market Neutral and John Hancock Financial in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on John Hancock Financial and Calamos Market 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 Market Neutral are associated (or correlated) with John Hancock. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of John Hancock Financial has no effect on the direction of Calamos Market i.e., Calamos Market and John Hancock go up and down completely randomly.

Pair Corralation between Calamos Market and John Hancock

Assuming the 90 days horizon Calamos Market Neutral is expected to generate 0.17 times more return on investment than John Hancock. However, Calamos Market Neutral is 6.02 times less risky than John Hancock. It trades about -0.15 of its potential returns per unit of risk. John Hancock Financial is currently generating about -0.3 per unit of risk. If you would invest  1,504  in Calamos Market Neutral on September 27, 2024 and sell it today you would lose (11.00) from holding Calamos Market Neutral or give up 0.73% of portfolio value over 90 days.

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

Calamos Market Neutral  vs.  John Hancock Financial

Calamos Market Neutral

Risk-Adjusted Performance

2 of 100

Weak

Compared to the overall equity markets, risk-adjusted returns on investments in Calamos Market Neutral are ranked lower than 2 (%) of all funds and portfolios of funds over the last 90 days. In spite of fairly strong forward indicators, Calamos Market is not utilizing all of its potentials. The current stock price disturbance, may contribute to short-term losses for the investors.

John Hancock Financial

Risk-Adjusted Performance

8 of 100

OK

Compared to the overall equity markets, risk-adjusted returns on investments in John Hancock Financial are ranked lower than 8 (%) of all funds and portfolios of funds over the last 90 days. In spite of very conflicting basic indicators, John Hancock may actually be approaching a critical reversion point that can send shares even higher in January 2025.

Pair Trading with Calamos Market and John Hancock

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

The idea behind Calamos Market Neutral and John Hancock Financial 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 Alpha Finder module to use alpha and beta coefficients to find investment opportunities after accounting for the risk.