Correlation Between Western Asset and Calamos Convertible

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

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

Diversification Opportunities for Western Asset and Calamos Convertible

-0.35

Correlation Coefficient

Western Asset  Calamos Convertible

Very good diversification

The 3 months correlation between Western and Calamos is -0.35. Overlapping area represents the amount of risk that can be diversified away by holding Western Asset Diversified and Calamos Convertible Opportunit in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Calamos Convertible and Western Asset 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 Western Asset Diversified 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 Western Asset i.e., Western Asset and Calamos Convertible go up and down completely randomly.

Pair Corralation between Western Asset and Calamos Convertible

Considering the 90-day investment horizon Western Asset Diversified is expected to generate 0.52 times more return on investment than Calamos Convertible. However, Western Asset Diversified is 1.94 times less risky than Calamos Convertible. It trades about 0.15 of its potential returns per unit of risk. Calamos Convertible Opportunities is currently generating about -0.31 per unit of risk. If you would invest  1,378  in Western Asset Diversified on December 29, 2024 and sell it today you would earn a total of  68.00  from holding Western Asset Diversified or generate 4.93% return on investment over 90 days.

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

Western Asset Diversified  vs.  Calamos Convertible Opportunit

Western Asset Diversified

Risk-Adjusted Performance

Good

Compared to the overall equity markets, risk-adjusted returns on investments in Western Asset Diversified are ranked lower than 12 (%) of all global equities and portfolios over the last 90 days. Despite fairly strong fundamental indicators, Western Asset is not utilizing all of its potentials. The current stock price confusion, may contribute to short-horizon losses for the traders.

Calamos Convertible

Risk-Adjusted Performance

Very Weak

Over the last 90 days Calamos Convertible Opportunities has generated negative risk-adjusted returns adding no value to fund investors. Despite unsteady 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 recent confusion may also be a sign of long-lasting up-swing for the fund traders.

Pair Trading with Western Asset and Calamos Convertible

The main advantage of trading using opposite Western Asset and Calamos Convertible positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Western Asset 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 Western Asset Diversified and Calamos Convertible Opportunities 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 Watchlist Optimization module to optimize watchlists to build efficient portfolios or rebalance existing positions based on the mean-variance optimization algorithm.