Correlation Between Royce Small-cap and Calamos Global

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

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

Diversification Opportunities for Royce Small-cap and Calamos Global

0.79

Correlation Coefficient

Royce Small-cap  Calamos Global

Poor diversification

The 3 months correlation between Royce and Calamos is 0.79. Overlapping area represents the amount of risk that can be diversified away by holding Royce Small Cap Value and Calamos Global Equity in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Calamos Global Equity and Royce Small-cap 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 Small Cap Value are associated (or correlated) with Calamos Global. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Calamos Global Equity has no effect on the direction of Royce Small-cap i.e., Royce Small-cap and Calamos Global go up and down completely randomly.

Pair Corralation between Royce Small-cap and Calamos Global

Assuming the 90 days horizon Royce Small Cap Value is expected to under-perform the Calamos Global. But the mutual fund apears to be less risky and, when comparing its historical volatility, Royce Small Cap Value is 1.22 times less risky than Calamos Global. The mutual fund trades about -0.26 of its potential returns per unit of risk. The Calamos Global Equity is currently generating about -0.13 of returns per unit of risk over similar time horizon. If you would invest  1,978  in Calamos Global Equity on December 1, 2024 and sell it today you would lose (228.00) from holding Calamos Global Equity or give up 11.53% of portfolio value over 90 days.

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

Royce Small Cap Value  vs.  Calamos Global Equity

Royce Small Cap

Risk-Adjusted Performance

Very Weak

Over the last 90 days Royce Small Cap Value 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 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 Global Equity

Risk-Adjusted Performance

Very Weak

Over the last 90 days Calamos Global Equity has generated negative risk-adjusted returns adding no value to fund investors. In spite of latest weak performance, the Fund's basic 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 Royce Small-cap and Calamos Global

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

The idea behind Royce Small Cap Value and Calamos Global 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.

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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 Portfolio Diagnostics module to use generated alerts and portfolio events aggregator to diagnose current holdings.