Correlation Between Reaves Utility and Calamos Dynamic

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

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

Diversification Opportunities for Reaves Utility and Calamos Dynamic

-0.01

Correlation Coefficient

Reaves Utility  Calamos Dynamic

Good diversification

The 3 months correlation between Reaves and Calamos is -0.01. Overlapping area represents the amount of risk that can be diversified away by holding Reaves Utility If 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 Reaves Utility 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 Reaves Utility If 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 Reaves Utility i.e., Reaves Utility and Calamos Dynamic go up and down completely randomly.

Pair Corralation between Reaves Utility and Calamos Dynamic

Considering the 90-day investment horizon Reaves Utility If is expected to under-perform the Calamos Dynamic. In addition to that, Reaves Utility is 1.43 times more volatile than Calamos Dynamic Convertible. It trades about -0.04 of its total potential returns per unit of risk. Calamos Dynamic Convertible is currently generating about -0.02 per unit of volatility. If you would invest  2,321  in Calamos Dynamic Convertible on November 28, 2024 and sell it today you would lose (35.00) from holding Calamos Dynamic Convertible or give up 1.51% of portfolio value over 90 days.

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

Reaves Utility If  vs.  Calamos Dynamic Convertible

Reaves Utility If

Risk-Adjusted Performance

Very Weak

Over the last 90 days Reaves Utility If has generated negative risk-adjusted returns adding no value to fund investors. Despite nearly stable basic indicators, Reaves Utility is not utilizing all of its potentials. The latest stock price disturbance, may contribute to mid-run losses for the stockholders.

Calamos Dynamic Conv

Risk-Adjusted Performance

Very Weak

Over the last 90 days Calamos Dynamic Convertible has generated negative risk-adjusted returns adding no value to fund investors. 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 Reaves Utility and Calamos Dynamic

The main advantage of trading using opposite Reaves Utility and Calamos Dynamic positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Reaves Utility 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 Reaves Utility If 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 Efficient Frontier module to plot and analyze your portfolio and positions against risk-return landscape of the market..