Correlation Between Calamos Market and Lord Abbett

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

Diversification Opportunities for Calamos Market and Lord Abbett

0.83

Correlation Coefficient

Calamos Market  Lord Abbett

Very poor diversification

The 3 months correlation between Calamos and Lord is 0.83. Overlapping area represents the amount of risk that can be diversified away by holding Calamos Market Neutral and Lord Abbett Ultra in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Lord Abbett Ultra 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 Lord Abbett. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Lord Abbett Ultra has no effect on the direction of Calamos Market i.e., Calamos Market and Lord Abbett go up and down completely randomly.

Pair Corralation between Calamos Market and Lord Abbett

Assuming the 90 days horizon Calamos Market is expected to generate 1.69 times less return on investment than Lord Abbett. In addition to that, Calamos Market is 2.65 times more volatile than Lord Abbett Ultra. It trades about 0.05 of its total potential returns per unit of risk. Lord Abbett Ultra is currently generating about 0.22 per unit of volatility. If you would invest  947.00  in Lord Abbett Ultra on September 28, 2024 and sell it today you would earn a total of  55.00  from holding Lord Abbett Ultra or generate 5.81% return on investment over 90 days.

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

Calamos Market Neutral  vs.  Lord Abbett Ultra

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.

Lord Abbett Ultra

Risk-Adjusted Performance

5 of 100

Modest

Compared to the overall equity markets, risk-adjusted returns on investments in Lord Abbett Ultra are ranked lower than 5 (%) of all funds and portfolios of funds over the last 90 days. In spite of fairly strong basic indicators, Lord Abbett 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 Market and Lord Abbett

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

The idea behind Calamos Market Neutral and Lord Abbett Ultra 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 My Watchlist Analysis module to analyze my current watchlist and to refresh optimization strategy. Macroaxis watchlist is based on self-learning algorithm to remember stocks you like.