Correlation Between Western Asset and Calamos High

Can any of the company-specific risk be diversified away by investing in both Western Asset 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 Western Asset and Calamos High 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 High Income, you can compare the effects of market volatilities on Western Asset 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 Western Asset with a short position of Calamos High. Check out your portfolio center. Please also check ongoing floating volatility patterns of Western Asset and Calamos High.

Diversification Opportunities for Western Asset and Calamos High

0.69

Correlation Coefficient

Western Asset  Calamos High

Poor diversification

The 3 months correlation between Western and Calamos is 0.69. Overlapping area represents the amount of risk that can be diversified away by holding Western Asset Diversified 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 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 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 Western Asset i.e., Western Asset and Calamos High go up and down completely randomly.

Pair Corralation between Western Asset and Calamos High

Assuming the 90 days horizon Western Asset is expected to generate 1.32 times less return on investment than Calamos High. In addition to that, Western Asset is 1.57 times more volatile than Calamos High Income. It trades about 0.08 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 23, 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 Together
Strength	Significant
Accuracy	100.0%
Values	Daily Returns

Western Asset Diversified  vs.  Calamos High Income

Western Asset Diversified

Risk-Adjusted Performance

Modest

Compared to the overall equity markets, risk-adjusted returns on investments in Western Asset Diversified are ranked lower than 6 (%) of all funds and portfolios of funds over the last 90 days. In spite of fairly strong forward indicators, Western Asset is not utilizing all of its potentials. The current stock price disturbance, may contribute to short-term losses for the 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 Western Asset and Calamos High

The main advantage of trading using opposite Western Asset and Calamos High positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Western Asset 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 Western Asset Diversified 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.

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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 Sync Your Broker module to sync your existing holdings, watchlists, positions or portfolios from thousands of online brokerage services, banks, investment account aggregators and robo-advisors..