Correlation Between Aqr Long and Calamos Hedged

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

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

Diversification Opportunities for Aqr Long and Calamos Hedged

0.87

Correlation Coefficient

Aqr Long  Calamos Hedged

Very poor diversification

The 3 months correlation between Aqr and Calamos is 0.87. Overlapping area represents the amount of risk that can be diversified away by holding Aqr Long Short Equity and Calamos Hedged Equity in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Calamos Hedged Equity and Aqr Long 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 Aqr Long Short Equity are associated (or correlated) with Calamos Hedged. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Calamos Hedged Equity has no effect on the direction of Aqr Long i.e., Aqr Long and Calamos Hedged go up and down completely randomly.

Pair Corralation between Aqr Long and Calamos Hedged

Assuming the 90 days horizon Aqr Long Short Equity is expected to generate 1.08 times more return on investment than Calamos Hedged. However, Aqr Long is 1.08 times more volatile than Calamos Hedged Equity. It trades about 0.22 of its potential returns per unit of risk. Calamos Hedged Equity is currently generating about 0.13 per unit of risk. If you would invest  1,162  in Aqr Long Short Equity on September 12, 2024 and sell it today you would earn a total of  501.00  from holding Aqr Long Short Equity or generate 43.12% return on investment over 90 days.

Time Period	3 Months [change]
Direction	Moves Together
Strength	Strong
Accuracy	99.72%
Values	Daily Returns

Aqr Long Short Equity  vs.  Calamos Hedged Equity

Aqr Long Short

Risk-Adjusted Performance

19 of 100

Solid

Compared to the overall equity markets, risk-adjusted returns on investments in Aqr Long Short Equity are ranked lower than 19 (%) of all funds and portfolios of funds over the last 90 days. In spite of fairly weak basic indicators, Aqr Long may actually be approaching a critical reversion point that can send shares even higher in January 2025.

Calamos Hedged Equity

Risk-Adjusted Performance

15 of 100

Good

Compared to the overall equity markets, risk-adjusted returns on investments in Calamos Hedged Equity are ranked lower than 15 (%) of all funds and portfolios of funds over the last 90 days. In spite of fairly strong technical and fundamental indicators, Calamos Hedged is not utilizing all of its potentials. The current stock price disturbance, may contribute to short-term losses for the investors.

Pair Trading with Aqr Long and Calamos Hedged

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

The idea behind Aqr Long Short Equity and Calamos Hedged 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.

Check out your portfolio center.

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 Portfolio Center module to all portfolio management and optimization tools to improve performance of your portfolios.