Correlation Between Calamos Convertible and Eaton Vance

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

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

Diversification Opportunities for Calamos Convertible and Eaton Vance

0.73

Correlation Coefficient

Calamos Convertible  Eaton Vance

Poor diversification

The 3 months correlation between Calamos and Eaton is 0.73. Overlapping area represents the amount of risk that can be diversified away by holding Calamos Convertible Opportunit and Eaton Vance Tax in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Eaton Vance Tax and Calamos Convertible 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 Convertible Opportunities are associated (or correlated) with Eaton Vance. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Eaton Vance Tax has no effect on the direction of Calamos Convertible i.e., Calamos Convertible and Eaton Vance go up and down completely randomly.

Pair Corralation between Calamos Convertible and Eaton Vance

Considering the 90-day investment horizon Calamos Convertible Opportunities is expected to generate 1.2 times more return on investment than Eaton Vance. However, Calamos Convertible is 1.2 times more volatile than Eaton Vance Tax. It trades about 0.16 of its potential returns per unit of risk. Eaton Vance Tax is currently generating about 0.11 per unit of risk. If you would invest  1,103  in Calamos Convertible Opportunities on September 4, 2024 and sell it today you would earn a total of  104.00  from holding Calamos Convertible Opportunities or generate 9.43% return on investment over 90 days.

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

Calamos Convertible Opportunit  vs.  Eaton Vance Tax

Calamos Convertible

Risk-Adjusted Performance

12 of 100

Good

Compared to the overall equity markets, risk-adjusted returns on investments in Calamos Convertible Opportunities are ranked lower than 12 (%) of all funds and portfolios of funds over the last 90 days. Despite fairly abnormal technical indicators, Calamos Convertible may actually be approaching a critical reversion point that can send shares even higher in January 2025.

Eaton Vance Tax

Risk-Adjusted Performance

8 of 100

Modest

Compared to the overall equity markets, risk-adjusted returns on investments in Eaton Vance Tax are ranked lower than 8 (%) of all funds and portfolios of funds over the last 90 days. Despite nearly stable basic indicators, Eaton Vance is not utilizing all of its potentials. The current stock price disturbance, may contribute to mid-run losses for the stockholders.

Pair Trading with Calamos Convertible and Eaton Vance

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

The idea behind Calamos Convertible Opportunities and Eaton Vance Tax 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 Stock Screener module to find equities using a custom stock filter or screen asymmetry in trading patterns, price, volume, or investment outlook..