Correlation Between Calamos Global and Aqr Global

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

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

Diversification Opportunities for Calamos Global and Aqr Global

-0.54

Correlation Coefficient

Calamos Global  Aqr Global

Excellent diversification

The 3 months correlation between Calamos and Aqr is -0.54. Overlapping area represents the amount of risk that can be diversified away by holding Calamos Global Growth and Aqr Global Macro in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Aqr Global Macro and Calamos Global 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 Global Growth are associated (or correlated) with Aqr Global. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Aqr Global Macro has no effect on the direction of Calamos Global i.e., Calamos Global and Aqr Global go up and down completely randomly.

Pair Corralation between Calamos Global and Aqr Global

Assuming the 90 days horizon Calamos Global Growth is expected to under-perform the Aqr Global. In addition to that, Calamos Global is 2.23 times more volatile than Aqr Global Macro. It trades about -0.1 of its total potential returns per unit of risk. Aqr Global Macro is currently generating about 0.35 per unit of volatility. If you would invest  949.00  in Aqr Global Macro on December 11, 2024 and sell it today you would earn a total of  63.00  from holding Aqr Global Macro or generate 6.64% return on investment over 90 days.

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

Calamos Global Growth  vs.  Aqr Global Macro

Calamos Global Growth

Risk-Adjusted Performance

Very Weak

Over the last 90 days Calamos Global Growth has generated negative risk-adjusted returns adding no value to fund investors. In spite of weak performance in the last few months, the Fund's basic indicators remain fairly strong which may send shares a bit higher in April 2025. The current disturbance may also be a sign of long term up-swing for the fund investors.

Aqr Global Macro

Risk-Adjusted Performance

Solid

Compared to the overall equity markets, risk-adjusted returns on investments in Aqr Global Macro are ranked lower than 19 (%) of all funds and portfolios of funds over the last 90 days. In spite of fairly weak forward indicators, Aqr Global may actually be approaching a critical reversion point that can send shares even higher in April 2025.

Pair Trading with Calamos Global and Aqr Global

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

The idea behind Calamos Global Growth and Aqr Global Macro 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.