Correlation Between Small Cap and Calamos High

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

By analyzing existing cross correlation between Small Cap Stock and Calamos High Income, you can compare the effects of market volatilities on Small Cap and Calamos High 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 High. Check out your portfolio center. Please also check ongoing floating volatility patterns of Small Cap and Calamos High.

Diversification Opportunities for Small Cap and Calamos High

-0.19

Correlation Coefficient

Small Cap  Calamos High

Good diversification

The 3 months correlation between Small and Calamos is -0.19. Overlapping area represents the amount of risk that can be diversified away by holding Small Cap Stock and Calamos High Income in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Calamos High Income 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 Stock are associated (or correlated) with Calamos High. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Calamos High Income has no effect on the direction of Small Cap i.e., Small Cap and Calamos High go up and down completely randomly.

Pair Corralation between Small Cap and Calamos High

Assuming the 90 days horizon Small Cap Stock is expected to under-perform the Calamos High. In addition to that, Small Cap is 7.51 times more volatile than Calamos High Income. It trades about -0.12 of its total potential returns per unit of risk. Calamos High Income is currently generating about 0.16 per unit of volatility. If you would invest  768.00  in Calamos High Income on December 20, 2024 and sell it today you would earn a total of  11.00  from holding Calamos High Income or generate 1.43% return on investment over 90 days.

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

Small Cap Stock  vs.  Calamos High Income

Small Cap Stock

Risk-Adjusted Performance

Very Weak

Over the last 90 days Small Cap Stock 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 High Income

Risk-Adjusted Performance

Good

Compared to the overall equity markets, risk-adjusted returns on investments in Calamos High Income are ranked lower than 12 (%) of all funds and portfolios of funds over the last 90 days. In spite of fairly strong fundamental indicators, Calamos High 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 High

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

The idea behind Small Cap Stock and Calamos High Income 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 Earnings Calls module to check upcoming earnings announcements updated hourly across public exchanges.