Correlation Between Calamos Market and Sentinel Small

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

Diversification Opportunities for Calamos Market and Sentinel Small

0.88

Correlation Coefficient

Calamos Market  Sentinel Small

Very poor diversification

The 3 months correlation between Calamos and Sentinel is 0.88. Overlapping area represents the amount of risk that can be diversified away by holding Calamos Market Neutral and Sentinel Small Pany in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Sentinel Small Pany 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 Sentinel Small. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Sentinel Small Pany has no effect on the direction of Calamos Market i.e., Calamos Market and Sentinel Small go up and down completely randomly.

Pair Corralation between Calamos Market and Sentinel Small

Assuming the 90 days horizon Calamos Market is expected to generate 4.25 times less return on investment than Sentinel Small. But when comparing it to its historical volatility, Calamos Market Neutral is 8.59 times less risky than Sentinel Small. It trades about 0.24 of its potential returns per unit of risk. Sentinel Small Pany is currently generating about 0.12 of returns per unit of risk over similar time horizon. If you would invest  661.00  in Sentinel Small Pany on September 12, 2024 and sell it today you would earn a total of  110.00  from holding Sentinel Small Pany or generate 16.64% 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.  Sentinel Small Pany

Calamos Market Neutral

Risk-Adjusted Performance

23 of 100

Solid

Compared to the overall equity markets, risk-adjusted returns on investments in Calamos Market Neutral are ranked lower than 23 (%) of all funds and portfolios of funds over the last 90 days. In spite of fairly strong basic indicators, Calamos Market is not utilizing all of its potentials. The current stock price disturbance, may contribute to short-term losses for the investors.

Sentinel Small Pany

Risk-Adjusted Performance

12 of 100

Good

Compared to the overall equity markets, risk-adjusted returns on investments in Sentinel Small Pany are ranked lower than 12 (%) of all funds and portfolios of funds over the last 90 days. In spite of fairly weak basic indicators, Sentinel Small may actually be approaching a critical reversion point that can send shares even higher in January 2025.

Pair Trading with Calamos Market and Sentinel Small

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

The idea behind Calamos Market Neutral and Sentinel Small Pany 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 Idea Breakdown module to analyze constituents of all Macroaxis ideas. Macroaxis investment ideas are predefined, sector-focused investing themes.