Correlation Between MFS High and Calamos Convertible

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

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

Diversification Opportunities for MFS High and Calamos Convertible

-0.38

Correlation Coefficient

MFS High  Calamos Convertible

Very good diversification

The 3 months correlation between MFS and Calamos is -0.38. Overlapping area represents the amount of risk that can be diversified away by holding MFS High Income and Calamos Convertible Opportunit in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Calamos Convertible and MFS High 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 MFS High Income are associated (or correlated) with Calamos Convertible. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Calamos Convertible has no effect on the direction of MFS High i.e., MFS High and Calamos Convertible go up and down completely randomly.

Pair Corralation between MFS High and Calamos Convertible

Considering the 90-day investment horizon MFS High Income is expected to under-perform the Calamos Convertible. But the stock apears to be less risky and, when comparing its historical volatility, MFS High Income is 1.25 times less risky than Calamos Convertible. The stock trades about -0.05 of its potential returns per unit of risk. The Calamos Convertible Opportunities is currently generating about 0.12 of returns per unit of risk over similar time horizon. If you would invest  1,134  in Calamos Convertible Opportunities on September 18, 2024 and sell it today you would earn a total of  75.00  from holding Calamos Convertible Opportunities or generate 6.61% return on investment over 90 days.

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

MFS High Income  vs.  Calamos Convertible Opportunit

MFS High Income

Risk-Adjusted Performance

0 of 100

Very Weak

Over the last 90 days MFS High Income has generated negative risk-adjusted returns adding no value to investors with long positions. In spite of rather sound basic indicators, MFS High is not utilizing all of its potentials. The recent stock price tumult, may contribute to shorter-term losses for the shareholders.

Calamos Convertible

Risk-Adjusted Performance

9 of 100

OK

Compared to the overall equity markets, risk-adjusted returns on investments in Calamos Convertible Opportunities are ranked lower than 9 (%) of all funds and portfolios of funds over the last 90 days. Despite fairly fragile technical indicators, Calamos Convertible may actually be approaching a critical reversion point that can send shares even higher in January 2025.

Pair Trading with MFS High and Calamos Convertible

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

The idea behind MFS High Income and Calamos Convertible Opportunities 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.

Check out your portfolio center.

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 Manager module to state of the art Portfolio Manager to monitor and improve performance of your invested capital.