Correlation Between Davis New and Calamos Growth

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

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

Diversification Opportunities for Davis New and Calamos Growth

0.13

Correlation Coefficient

Davis New  Calamos Growth

Average diversification

The 3 months correlation between Davis and Calamos is 0.13. Overlapping area represents the amount of risk that can be diversified away by holding Davis New York and Calamos Growth Fund in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Calamos Growth and Davis New 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 Davis New York are associated (or correlated) with Calamos Growth. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Calamos Growth has no effect on the direction of Davis New i.e., Davis New and Calamos Growth go up and down completely randomly.

Pair Corralation between Davis New and Calamos Growth

Assuming the 90 days horizon Davis New is expected to generate 3.27 times less return on investment than Calamos Growth. But when comparing it to its historical volatility, Davis New York is 1.09 times less risky than Calamos Growth. It trades about 0.02 of its potential returns per unit of risk. Calamos Growth Fund is currently generating about 0.05 of returns per unit of risk over similar time horizon. If you would invest  1,054  in Calamos Growth Fund on September 25, 2024 and sell it today you would earn a total of  393.00  from holding Calamos Growth Fund or generate 37.29% return on investment over 90 days.

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

Davis New York  vs.  Calamos Growth Fund

Davis New York

Risk-Adjusted Performance

0 of 100

Very Weak

Over the last 90 days Davis New York 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.

Calamos Growth

Risk-Adjusted Performance

0 of 100

Very Weak

Over the last 90 days Calamos Growth 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 Davis New and Calamos Growth

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

The idea behind Davis New York and Calamos Growth 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 Portfolio Backtesting module to avoid under-diversification and over-optimization by backtesting your portfolios.