Correlation Between Mid Cap and Calamos Convertible

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

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

Diversification Opportunities for Mid Cap and Calamos Convertible

0.96

Correlation Coefficient

Mid Cap  Calamos Convertible

Almost no diversification

The 3 months correlation between Mid and Calamos is 0.96. Overlapping area represents the amount of risk that can be diversified away by holding Mid Cap Growth and Calamos Vertible Fund in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Calamos Convertible and Mid 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 Mid Cap Growth 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 Mid Cap i.e., Mid Cap and Calamos Convertible go up and down completely randomly.

Pair Corralation between Mid Cap and Calamos Convertible

Assuming the 90 days horizon Mid Cap Growth is expected to generate 1.87 times more return on investment than Calamos Convertible. However, Mid Cap is 1.87 times more volatile than Calamos Vertible Fund. It trades about 0.0 of its potential returns per unit of risk. Calamos Vertible Fund is currently generating about -0.02 per unit of risk. If you would invest  3,904  in Mid Cap Growth on October 8, 2024 and sell it today you would lose (11.00) from holding Mid Cap Growth or give up 0.28% of portfolio value over 90 days.

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

Mid Cap Growth  vs.  Calamos Vertible Fund

Mid Cap Growth

Risk-Adjusted Performance

7 of 100

OK

Compared to the overall equity markets, risk-adjusted returns on investments in Mid Cap Growth are ranked lower than 7 (%) of all funds and portfolios of funds over the last 90 days. In spite of fairly weak basic indicators, Mid Cap may actually be approaching a critical reversion point that can send shares even higher in February 2025.

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 Mid Cap and Calamos Convertible

The main advantage of trading using opposite Mid Cap and Calamos Convertible positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Mid Cap 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 Mid Cap Growth 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.

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 Dashboard module to portfolio dashboard that provides centralized access to all your investments.