Correlation Between Royce Special and Calamos Dynamic

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

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

Diversification Opportunities for Royce Special and Calamos Dynamic

-0.33

Correlation Coefficient

Royce Special  Calamos Dynamic

Very good diversification

The 3 months correlation between Royce and Calamos is -0.33. Overlapping area represents the amount of risk that can be diversified away by holding Royce Special Equity 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 Royce Special 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 Royce Special Equity 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 Royce Special i.e., Royce Special and Calamos Dynamic go up and down completely randomly.

Pair Corralation between Royce Special and Calamos Dynamic

Assuming the 90 days horizon Royce Special Equity is expected to under-perform the Calamos Dynamic. In addition to that, Royce Special is 3.58 times more volatile than Calamos Dynamic Convertible. It trades about -0.18 of its total potential returns per unit of risk. Calamos Dynamic Convertible is currently generating about 0.07 per unit of volatility. If you would invest  2,375  in Calamos Dynamic Convertible on September 17, 2024 and sell it today you would earn a total of  27.00  from holding Calamos Dynamic Convertible or generate 1.14% return on investment over 90 days.

Time Period	3 Months [change]
Direction	Moves Against
Strength	Insignificant
Accuracy	95.24%
Values	Daily Returns

Royce Special Equity  vs.  Calamos Dynamic Convertible

Royce Special Equity

Risk-Adjusted Performance

0 of 100

Very Weak

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

Calamos Dynamic Conv

Risk-Adjusted Performance

1 of 100

Weak

Compared to the overall equity markets, risk-adjusted returns on investments in Calamos Dynamic Convertible are ranked lower than 1 (%) 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 Royce Special and Calamos Dynamic

The main advantage of trading using opposite Royce Special and Calamos Dynamic positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Royce Special 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 Royce Special Equity 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 Price Ceiling Movement module to calculate and plot Price Ceiling Movement for different equity instruments.