Correlation Between Blackrock California and Calamos Dynamic

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

By analyzing existing cross correlation between Blackrock California Municipal and Calamos Dynamic Convertible, you can compare the effects of market volatilities on Blackrock California and Calamos Dynamic 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 Blackrock California with a short position of Calamos Dynamic. Check out your portfolio center. Please also check ongoing floating volatility patterns of Blackrock California and Calamos Dynamic.

Diversification Opportunities for Blackrock California and Calamos Dynamic

0.05

Correlation Coefficient

Blackrock California  Calamos Dynamic

Significant diversification

The 3 months correlation between Blackrock and Calamos is 0.05. Overlapping area represents the amount of risk that can be diversified away by holding Blackrock California Municipal and Calamos Dynamic Convertible in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Calamos Dynamic Conv and Blackrock California 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 Blackrock California Municipal are associated (or correlated) with Calamos Dynamic. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Calamos Dynamic Conv has no effect on the direction of Blackrock California i.e., Blackrock California and Calamos Dynamic go up and down completely randomly.

Pair Corralation between Blackrock California and Calamos Dynamic

Assuming the 90 days horizon Blackrock California is expected to generate 3.9 times less return on investment than Calamos Dynamic. But when comparing it to its historical volatility, Blackrock California Municipal is 5.2 times less risky than Calamos Dynamic. It trades about 0.07 of its potential returns per unit of risk. Calamos Dynamic Convertible is currently generating about 0.05 of returns per unit of risk over similar time horizon. If you would invest  2,308  in Calamos Dynamic Convertible on September 2, 2024 and sell it today you would earn a total of  69.00  from holding Calamos Dynamic Convertible or generate 2.99% return on investment over 90 days.

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

Blackrock California Municipal  vs.  Calamos Dynamic Convertible

Blackrock California

Risk-Adjusted Performance

5 of 100

Modest

Compared to the overall equity markets, risk-adjusted returns on investments in Blackrock California Municipal are ranked lower than 5 (%) of all funds and portfolios of funds over the last 90 days. In spite of fairly strong primary indicators, Blackrock California is not utilizing all of its potentials. The current stock price disturbance, may contribute to short-term losses for the investors.

Calamos Dynamic Conv

Risk-Adjusted Performance

3 of 100

Insignificant

Compared to the overall equity markets, risk-adjusted returns on investments in Calamos Dynamic Convertible are ranked lower than 3 (%) of all funds and portfolios of funds over the last 90 days. In spite of rather sound fundamental indicators, Calamos Dynamic is not utilizing all of its potentials. The recent stock price tumult, may contribute to shorter-term losses for the shareholders.

Pair Trading with Blackrock California and Calamos Dynamic

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

The idea behind Blackrock California Municipal and Calamos Dynamic Convertible 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.