Correlation Between Small Cap and Calamos Growth

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

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

Diversification Opportunities for Small Cap and Calamos Growth

0.4

Correlation Coefficient

Small Cap  Calamos Growth

Very weak diversification

The 3 months correlation between Small and Calamos is 0.4. Overlapping area represents the amount of risk that can be diversified away by holding Small Cap Core and Calamos Growth Fund in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Calamos Growth and 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 Small Cap Core are associated (or correlated) with Calamos Growth. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Calamos Growth has no effect on the direction of Small Cap i.e., Small Cap and Calamos Growth go up and down completely randomly.

Pair Corralation between Small Cap and Calamos Growth

Assuming the 90 days horizon Small Cap Core is expected to generate 0.98 times more return on investment than Calamos Growth. However, Small Cap Core is 1.02 times less risky than Calamos Growth. It trades about 0.22 of its potential returns per unit of risk. Calamos Growth Fund is currently generating about 0.04 per unit of risk. If you would invest  1,203  in Small Cap Core on October 24, 2024 and sell it today you would earn a total of  54.00  from holding Small Cap Core or generate 4.49% return on investment over 90 days.

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

Small Cap Core  vs.  Calamos Growth Fund

Small Cap Core

Risk-Adjusted Performance

0 of 100

Very Weak

Over the last 90 days Small Cap Core 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.

Calamos Growth

Risk-Adjusted Performance

1 of 100

Weak

Compared to the overall equity markets, risk-adjusted returns on investments in Calamos Growth Fund are ranked lower than 1 (%) of all funds and portfolios of funds over the last 90 days. In spite of fairly strong basic indicators, Calamos Growth is not utilizing all of its potentials. The current stock price disturbance, may contribute to short-term losses for the investors.

Pair Trading with Small Cap and Calamos Growth

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

The idea behind Small Cap Core and Calamos Growth 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 Portfolio Rebalancing module to analyze risk-adjusted returns against different time horizons to find asset-allocation targets.