Correlation Between Calamos Strategic and Eaton Vance

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

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

Diversification Opportunities for Calamos Strategic and Eaton Vance

0.81

Correlation Coefficient

Calamos Strategic  Eaton Vance

Very poor diversification

The 3 months correlation between Calamos and Eaton is 0.81. Overlapping area represents the amount of risk that can be diversified away by holding Calamos Strategic Total and Eaton Vance Tax in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Eaton Vance Tax and Calamos Strategic 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 Strategic Total are associated (or correlated) with Eaton Vance. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Eaton Vance Tax has no effect on the direction of Calamos Strategic i.e., Calamos Strategic and Eaton Vance go up and down completely randomly.

Pair Corralation between Calamos Strategic and Eaton Vance

Considering the 90-day investment horizon Calamos Strategic Total is expected to under-perform the Eaton Vance. In addition to that, Calamos Strategic is 1.3 times more volatile than Eaton Vance Tax. It trades about -0.04 of its total potential returns per unit of risk. Eaton Vance Tax is currently generating about -0.02 per unit of volatility. If you would invest  1,472  in Eaton Vance Tax on December 2, 2024 and sell it today you would lose (12.00) from holding Eaton Vance Tax or give up 0.82% of portfolio value over 90 days.

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

Calamos Strategic Total  vs.  Eaton Vance Tax

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.

Eaton Vance Tax

Risk-Adjusted Performance

Very Weak

Over the last 90 days Eaton Vance Tax has generated negative risk-adjusted returns adding no value to investors with long positions. Despite somewhat strong basic indicators, Eaton Vance is not utilizing all of its potentials. The latest stock price disturbance, may contribute to short-term losses for the investors.

Pair Trading with Calamos Strategic and Eaton Vance

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

The idea behind Calamos Strategic Total and Eaton Vance Tax 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 Diagnostics module to use generated alerts and portfolio events aggregator to diagnose current holdings.