Correlation Between Calamos Global and Ab Value

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

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

Diversification Opportunities for Calamos Global and Ab Value

0.24

Correlation Coefficient

Calamos Global  Ab Value

Modest diversification

The 3 months correlation between Calamos and ABVCX is 0.24. Overlapping area represents the amount of risk that can be diversified away by holding Calamos Global Equity and Ab Value Fund in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Ab Value Fund and Calamos Global 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 Calamos Global Equity are associated (or correlated) with Ab Value. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Ab Value Fund has no effect on the direction of Calamos Global i.e., Calamos Global and Ab Value go up and down completely randomly.

Pair Corralation between Calamos Global and Ab Value

Assuming the 90 days horizon Calamos Global Equity is expected to generate 0.93 times more return on investment than Ab Value. However, Calamos Global Equity is 1.07 times less risky than Ab Value. It trades about 0.03 of its potential returns per unit of risk. Ab Value Fund is currently generating about -0.03 per unit of risk. If you would invest  1,869  in Calamos Global Equity on September 22, 2024 and sell it today you would earn a total of  60.00  from holding Calamos Global Equity or generate 3.21% return on investment over 90 days.

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

Calamos Global Equity  vs.  Ab Value Fund

Calamos Global Equity

Risk-Adjusted Performance

1 of 100

Weak

Compared to the overall equity markets, risk-adjusted returns on investments in Calamos Global Equity are ranked lower than 1 (%) of all funds and portfolios of funds over the last 90 days. In spite of fairly strong basic indicators, Calamos Global is not utilizing all of its potentials. The current stock price disturbance, may contribute to short-term losses for the investors.

Ab Value Fund

Risk-Adjusted Performance

0 of 100

Very Weak

Over the last 90 days Ab Value Fund has generated negative risk-adjusted returns adding no value to fund investors. In spite of latest weak performance, the Fund's fundamental indicators remain strong and the current disturbance on Wall Street may also be a sign of long term gains for the fund investors.

Pair Trading with Calamos Global and Ab Value

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

The idea behind Calamos Global Equity and Ab Value Fund 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.