Correlation Between Small Company and Calamos Convertible

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

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

Diversification Opportunities for Small Company and Calamos Convertible

0.72

Correlation Coefficient

Small Company  Calamos Convertible

Poor diversification

The 3 months correlation between Small and Calamos is 0.72. Overlapping area represents the amount of risk that can be diversified away by holding Small Pany Growth and Calamos Vertible Fund in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Calamos Convertible and Small Company 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 Small Pany Growth are associated (or correlated) with Calamos Convertible. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Calamos Convertible has no effect on the direction of Small Company i.e., Small Company and Calamos Convertible go up and down completely randomly.

Pair Corralation between Small Company and Calamos Convertible

Assuming the 90 days horizon Small Pany Growth is expected to under-perform the Calamos Convertible. In addition to that, Small Company is 2.99 times more volatile than Calamos Vertible Fund. It trades about -0.25 of its total potential returns per unit of risk. Calamos Vertible Fund is currently generating about -0.27 per unit of volatility. If you would invest  2,227  in Calamos Vertible Fund on December 4, 2024 and sell it today you would lose (86.00) from holding Calamos Vertible Fund or give up 3.86% of portfolio value over 90 days.

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

Small Pany Growth  vs.  Calamos Vertible Fund

Small Pany Growth

Risk-Adjusted Performance

Very Weak

Over the last 90 days Small Pany 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 technical and fundamental 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.

Calamos Convertible

Risk-Adjusted Performance

Very Weak

Over the last 90 days Calamos Vertible Fund has generated negative risk-adjusted returns adding no value to fund investors. In spite of latest weak performance, the Fund's forward indicators remain strong and the current disturbance on Wall Street may also be a sign of long term gains for the fund investors.

Pair Trading with Small Company and Calamos Convertible

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

The idea behind Small Pany Growth and Calamos Vertible 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 Pair Correlation module to compare performance and examine fundamental relationship between any two equity instruments.