Correlation Between Aqr Small and Calamos Convertible

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

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

Diversification Opportunities for Aqr Small and Calamos Convertible

0.53

Correlation Coefficient

Aqr Small  Calamos Convertible

Very weak diversification

The 3 months correlation between Aqr and Calamos is 0.53. Overlapping area represents the amount of risk that can be diversified away by holding Aqr Small Cap and Calamos Vertible Fund in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Calamos Convertible and Aqr Small 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 Small Cap 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 Aqr Small i.e., Aqr Small and Calamos Convertible go up and down completely randomly.

Pair Corralation between Aqr Small and Calamos Convertible

Assuming the 90 days horizon Aqr Small Cap is expected to under-perform the Calamos Convertible. In addition to that, Aqr Small is 4.8 times more volatile than Calamos Vertible Fund. It trades about -0.28 of its total potential returns per unit of risk. Calamos Vertible Fund is currently generating about -0.24 per unit of volatility. If you would invest  1,936  in Calamos Vertible Fund on October 10, 2024 and sell it today you would lose (75.00) from holding Calamos Vertible Fund or give up 3.87% of portfolio value over 90 days.

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

Aqr Small Cap  vs.  Calamos Vertible Fund

Aqr Small Cap

Risk-Adjusted Performance

0 of 100

Very Weak

Over the last 90 days Aqr Small Cap 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 basic indicators remain fairly strong which may send shares a bit higher in February 2025. The current disturbance may also be a sign of long term up-swing for the fund investors.

Calamos Convertible

Risk-Adjusted Performance

4 of 100

Insignificant

Compared to the overall equity markets, risk-adjusted returns on investments in Calamos Vertible Fund are ranked lower than 4 (%) of all funds and portfolios of funds over the last 90 days. In spite of fairly strong basic indicators, Calamos Convertible 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 Small and Calamos Convertible

The main advantage of trading using opposite Aqr Small and Calamos Convertible positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Aqr Small 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 Aqr Small Cap 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 Positions Ratings module to determine portfolio positions ratings based on digital equity recommendations. Macroaxis instant position ratings are based on combination of fundamental analysis and risk-adjusted market performance.