Correlation Between Invesco High and Calamos LongShort

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

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

Diversification Opportunities for Invesco High and Calamos LongShort

0.74

Correlation Coefficient

Invesco High  Calamos LongShort

Poor diversification

The 3 months correlation between Invesco and Calamos is 0.74. Overlapping area represents the amount of risk that can be diversified away by holding Invesco High Income and Calamos LongShort Equity in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Calamos LongShort Equity and Invesco 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 Invesco High Income are associated (or correlated) with Calamos LongShort. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Calamos LongShort Equity has no effect on the direction of Invesco High i.e., Invesco High and Calamos LongShort go up and down completely randomly.

Pair Corralation between Invesco High and Calamos LongShort

Given the investment horizon of 90 days Invesco High is expected to generate 1.13 times less return on investment than Calamos LongShort. But when comparing it to its historical volatility, Invesco High Income is 1.74 times less risky than Calamos LongShort. It trades about 0.13 of its potential returns per unit of risk. Calamos LongShort Equity is currently generating about 0.08 of returns per unit of risk over similar time horizon. If you would invest  1,526  in Calamos LongShort Equity on September 5, 2024 and sell it today you would earn a total of  50.00  from holding Calamos LongShort Equity or generate 3.28% return on investment over 90 days.

Time Period	3 Months [change]
Direction	Moves Together
Strength	Significant
Accuracy	96.88%
Values	Daily Returns

Invesco High Income  vs.  Calamos LongShort Equity

Invesco High Income

Risk-Adjusted Performance

10 of 100

OK

Compared to the overall equity markets, risk-adjusted returns on investments in Invesco High Income are ranked lower than 10 (%) of all funds and portfolios of funds over the last 90 days. Despite somewhat strong basic indicators, Invesco High is not utilizing all of its potentials. The current stock price disturbance, may contribute to short-term losses for the investors.

Calamos LongShort Equity

Risk-Adjusted Performance

6 of 100

Modest

Compared to the overall equity markets, risk-adjusted returns on investments in Calamos LongShort Equity are ranked lower than 6 (%) of all global equities and portfolios over the last 90 days. In spite of fairly strong basic indicators, Calamos LongShort is not utilizing all of its potentials. The recent stock price disturbance, may contribute to short-term losses for the investors.

Pair Trading with Invesco High and Calamos LongShort

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

The idea behind Invesco High Income and Calamos LongShort Equity 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 Backtesting module to avoid under-diversification and over-optimization by backtesting your portfolios.