Correlation Between Caterpillar and Calamos Strategic

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

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

Diversification Opportunities for Caterpillar and Calamos Strategic

0.86

Correlation Coefficient

Caterpillar  Calamos Strategic

Very poor diversification

The 3 months correlation between Caterpillar and Calamos is 0.86. Overlapping area represents the amount of risk that can be diversified away by holding Caterpillar and Calamos Strategic Total in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Calamos Strategic Total and Caterpillar 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 Caterpillar are associated (or correlated) with Calamos Strategic. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Calamos Strategic Total has no effect on the direction of Caterpillar i.e., Caterpillar and Calamos Strategic go up and down completely randomly.

Pair Corralation between Caterpillar and Calamos Strategic

Considering the 90-day investment horizon Caterpillar is expected to generate 2.47 times more return on investment than Calamos Strategic. However, Caterpillar is 2.47 times more volatile than Calamos Strategic Total. It trades about 0.16 of its potential returns per unit of risk. Calamos Strategic Total is currently generating about 0.21 per unit of risk. If you would invest  33,902  in Caterpillar on September 3, 2024 and sell it today you would earn a total of  6,709  from holding Caterpillar or generate 19.79% return on investment over 90 days.

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

Caterpillar  vs.  Calamos Strategic Total

Caterpillar

Risk-Adjusted Performance

12 of 100

Good

Compared to the overall equity markets, risk-adjusted returns on investments in Caterpillar are ranked lower than 12 (%) of all global equities and portfolios over the last 90 days. In spite of comparatively fragile basic indicators, Caterpillar unveiled solid returns over the last few months and may actually be approaching a breakup point.

Calamos Strategic Total

Risk-Adjusted Performance

16 of 100

Solid

Compared to the overall equity markets, risk-adjusted returns on investments in Calamos Strategic Total are ranked lower than 16 (%) of all funds and portfolios of funds over the last 90 days. Even with relatively inconsistent basic indicators, Calamos Strategic may actually be approaching a critical reversion point that can send shares even higher in January 2025.

Pair Trading with Caterpillar and Calamos Strategic

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

The idea behind Caterpillar and Calamos Strategic Total 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 Money Managers module to screen money managers from public funds and ETFs managed around the world.