Correlation Between Litman Gregory and Calamos Growth

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

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

Diversification Opportunities for Litman Gregory and Calamos Growth

0.21

Correlation Coefficient

Litman Gregory  Calamos Growth

Modest diversification

The 3 months correlation between LITMAN and Calamos is 0.21. Overlapping area represents the amount of risk that can be diversified away by holding Litman Gregory Masters and Calamos Growth Fund in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Calamos Growth and Litman Gregory 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 Litman Gregory Masters are associated (or correlated) with Calamos Growth. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Calamos Growth has no effect on the direction of Litman Gregory i.e., Litman Gregory and Calamos Growth go up and down completely randomly.

Pair Corralation between Litman Gregory and Calamos Growth

Assuming the 90 days horizon Litman Gregory is expected to generate 2.73 times less return on investment than Calamos Growth. But when comparing it to its historical volatility, Litman Gregory Masters is 7.93 times less risky than Calamos Growth. It trades about 0.26 of its potential returns per unit of risk. Calamos Growth Fund is currently generating about 0.09 of returns per unit of risk over similar time horizon. If you would invest  2,974  in Calamos Growth Fund on October 27, 2024 and sell it today you would earn a total of  1,665  from holding Calamos Growth Fund or generate 55.99% return on investment over 90 days.

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

Litman Gregory Masters  vs.  Calamos Growth Fund

Litman Gregory Masters

Risk-Adjusted Performance

16 of 100

Solid

Compared to the overall equity markets, risk-adjusted returns on investments in Litman Gregory Masters are ranked lower than 16 (%) of all funds and portfolios of funds over the last 90 days. In spite of fairly strong forward indicators, Litman Gregory is not utilizing all of its potentials. The current stock price disturbance, may contribute to short-term losses for the investors.

Calamos Growth

Risk-Adjusted Performance

2 of 100

Weak

Compared to the overall equity markets, risk-adjusted returns on investments in Calamos Growth Fund are ranked lower than 2 (%) of all funds and portfolios of funds over the last 90 days. In spite of fairly strong basic indicators, Calamos Growth is not utilizing all of its potentials. The current stock price disturbance, may contribute to short-term losses for the investors.

Pair Trading with Litman Gregory and Calamos Growth

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

The idea behind Litman Gregory Masters and Calamos Growth Fund 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 Sectors module to list of equity sectors categorizing publicly traded companies based on their primary business activities.