Correlation Between Calamos Market and Palmer Square

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

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

Diversification Opportunities for Calamos Market and Palmer Square

0.96

Correlation Coefficient

Calamos Market  Palmer Square

Almost no diversification

The 3 months correlation between Calamos and Palmer is 0.96. Overlapping area represents the amount of risk that can be diversified away by holding Calamos Market Neutral and Palmer Square Ssi in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Palmer Square Ssi and Calamos Market 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 Market Neutral are associated (or correlated) with Palmer Square. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Palmer Square Ssi has no effect on the direction of Calamos Market i.e., Calamos Market and Palmer Square go up and down completely randomly.

Pair Corralation between Calamos Market and Palmer Square

Assuming the 90 days horizon Calamos Market is expected to generate 1.35 times less return on investment than Palmer Square. But when comparing it to its historical volatility, Calamos Market Neutral is 1.05 times less risky than Palmer Square. It trades about 0.22 of its potential returns per unit of risk. Palmer Square Ssi is currently generating about 0.28 of returns per unit of risk over similar time horizon. If you would invest  984.00  in Palmer Square Ssi on September 23, 2024 and sell it today you would earn a total of  15.00  from holding Palmer Square Ssi or generate 1.52% return on investment over 90 days.

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

Calamos Market Neutral  vs.  Palmer Square Ssi

Calamos Market Neutral

Risk-Adjusted Performance

17 of 100

Solid

Compared to the overall equity markets, risk-adjusted returns on investments in Calamos Market Neutral are ranked lower than 17 (%) of all funds and portfolios of funds over the last 90 days. In spite of fairly strong fundamental indicators, Calamos Market is not utilizing all of its potentials. The current stock price disturbance, may contribute to short-term losses for the investors.

Palmer Square Ssi

Risk-Adjusted Performance

22 of 100

Solid

Compared to the overall equity markets, risk-adjusted returns on investments in Palmer Square Ssi are ranked lower than 22 (%) of all funds and portfolios of funds over the last 90 days. In spite of fairly strong forward indicators, Palmer Square is not utilizing all of its potentials. The current stock price disturbance, may contribute to short-term losses for the investors.

Pair Trading with Calamos Market and Palmer Square

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

The idea behind Calamos Market Neutral and Palmer Square Ssi 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 Portfolio Optimization module to compute new portfolio that will generate highest expected return given your specified tolerance for risk.