Correlation Between Great Elm and Calamos LongShort

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

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

Diversification Opportunities for Great Elm and Calamos LongShort

0.59

Correlation Coefficient

Great Elm  Calamos LongShort

Very weak diversification

The 3 months correlation between Great and Calamos is 0.59. Overlapping area represents the amount of risk that can be diversified away by holding Great Elm Capital and Calamos LongShort Equity in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Calamos LongShort Equity and Great Elm 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 Great Elm Capital are associated (or correlated) with Calamos LongShort. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Calamos LongShort Equity has no effect on the direction of Great Elm i.e., Great Elm and Calamos LongShort go up and down completely randomly.

Pair Corralation between Great Elm and Calamos LongShort

Assuming the 90 days horizon Great Elm Capital is expected to generate 0.85 times more return on investment than Calamos LongShort. However, Great Elm Capital is 1.17 times less risky than Calamos LongShort. It trades about 0.19 of its potential returns per unit of risk. Calamos LongShort Equity is currently generating about 0.16 per unit of risk. If you would invest  2,438  in Great Elm Capital on December 28, 2024 and sell it today you would earn a total of  161.00  from holding Great Elm Capital or generate 6.6% return on investment over 90 days.

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

Great Elm Capital  vs.  Calamos LongShort Equity

Great Elm Capital

Risk-Adjusted Performance

Modest

Compared to the overall equity markets, risk-adjusted returns on investments in Great Elm Capital are ranked lower than 15 (%) of all global equities and portfolios over the last 90 days. In spite of very unfluctuating fundamental indicators, Great Elm may actually be approaching a critical reversion point that can send shares even higher in April 2025.

Calamos LongShort Equity

Risk-Adjusted Performance

Good

Compared to the overall equity markets, risk-adjusted returns on investments in Calamos LongShort Equity are ranked lower than 12 (%) of all global equities and portfolios over the last 90 days. In spite of fairly inconsistent basic indicators, Calamos LongShort may actually be approaching a critical reversion point that can send shares even higher in April 2025.

Pair Trading with Great Elm and Calamos LongShort

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

The idea behind Great Elm Capital and Calamos LongShort Equity 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 Stock Screener module to find equities using a custom stock filter or screen asymmetry in trading patterns, price, volume, or investment outlook..