Correlation Between Calamos Market and Merger Fund

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

Diversification Opportunities for Calamos Market and Merger Fund

0.36

Correlation Coefficient

Calamos Market  Merger Fund

Weak diversification

The 3 months correlation between Calamos and Merger is 0.36. Overlapping area represents the amount of risk that can be diversified away by holding Calamos Market Neutral and The Merger Fund in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Merger Fund 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 Merger Fund. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Merger Fund has no effect on the direction of Calamos Market i.e., Calamos Market and Merger Fund go up and down completely randomly.

Pair Corralation between Calamos Market and Merger Fund

Assuming the 90 days horizon Calamos Market Neutral is expected to generate 0.52 times more return on investment than Merger Fund. However, Calamos Market Neutral is 1.93 times less risky than Merger Fund. It trades about 0.22 of its potential returns per unit of risk. The Merger Fund is currently generating about -0.01 per unit of risk. If you would invest  1,502  in Calamos Market Neutral on September 12, 2024 and sell it today you would earn a total of  7.00  from holding Calamos Market Neutral or generate 0.47% return on investment over 90 days.

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

Calamos Market Neutral  vs.  The Merger Fund

Calamos Market Neutral

Risk-Adjusted Performance

24 of 100

Solid

Compared to the overall equity markets, risk-adjusted returns on investments in Calamos Market Neutral are ranked lower than 24 (%) 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.

Merger Fund

Risk-Adjusted Performance

5 of 100

Modest

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

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

The idea behind Calamos Market Neutral and The Merger Fund 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.

Check out your portfolio center.

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 Portfolio Dashboard module to portfolio dashboard that provides centralized access to all your investments.