Correlation Between Calamos LongShort and Calamos Strategic

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

By analyzing existing cross correlation between Calamos LongShort Equity and Calamos Strategic Total, you can compare the effects of market volatilities on Calamos LongShort and Calamos Strategic 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 LongShort with a short position of Calamos Strategic. Check out your portfolio center. Please also check ongoing floating volatility patterns of Calamos LongShort and Calamos Strategic.

Diversification Opportunities for Calamos LongShort and Calamos Strategic

0.5

Correlation Coefficient

Calamos LongShort  Calamos Strategic

Very weak diversification

The 3 months correlation between Calamos and Calamos is 0.5. Overlapping area represents the amount of risk that can be diversified away by holding Calamos LongShort Equity and Calamos Strategic Total in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Calamos Strategic Total and Calamos LongShort 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 LongShort Equity are associated (or correlated) with Calamos Strategic. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Calamos Strategic Total has no effect on the direction of Calamos LongShort i.e., Calamos LongShort and Calamos Strategic go up and down completely randomly.

Pair Corralation between Calamos LongShort and Calamos Strategic

Considering the 90-day investment horizon Calamos LongShort Equity is expected to generate 0.53 times more return on investment than Calamos Strategic. However, Calamos LongShort Equity is 1.89 times less risky than Calamos Strategic. It trades about -0.09 of its potential returns per unit of risk. Calamos Strategic Total is currently generating about -0.25 per unit of risk. If you would invest  1,542  in Calamos LongShort Equity on November 29, 2024 and sell it today you would lose (10.00) from holding Calamos LongShort Equity or give up 0.65% of portfolio value over 90 days.

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

Calamos LongShort Equity  vs.  Calamos Strategic Total

Calamos LongShort Equity

Risk-Adjusted Performance

Insignificant

Compared to the overall equity markets, risk-adjusted returns on investments in Calamos LongShort Equity are ranked lower than 3 (%) of all global equities and portfolios over the last 90 days. In spite of fairly strong basic indicators, Calamos LongShort is not utilizing all of its potentials. The recent stock price disturbance, may contribute to short-term losses for the investors.

Calamos Strategic Total

Risk-Adjusted Performance

Very Weak

Over the last 90 days Calamos Strategic Total has generated negative risk-adjusted returns adding no value to fund investors. Even with relatively invariable basic indicators, Calamos Strategic is not utilizing all of its potentials. The recent stock price agitation, may contribute to short-term losses for the retail investors.

Pair Trading with Calamos LongShort and Calamos Strategic

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

The idea behind Calamos LongShort Equity and Calamos Strategic Total 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 Price Exposure Probability module to analyze equity upside and downside potential for a given time horizon across multiple markets.