Correlation Between Saat Moderate and Calamos Global

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

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

Diversification Opportunities for Saat Moderate and Calamos Global

0.52

Correlation Coefficient

Saat Moderate  Calamos Global

Very weak diversification

The 3 months correlation between Saat and Calamos is 0.52. Overlapping area represents the amount of risk that can be diversified away by holding Saat Moderate Strategy and Calamos Global Equity in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Calamos Global Equity and Saat Moderate 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 Saat Moderate Strategy are associated (or correlated) with Calamos Global. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Calamos Global Equity has no effect on the direction of Saat Moderate i.e., Saat Moderate and Calamos Global go up and down completely randomly.

Pair Corralation between Saat Moderate and Calamos Global

Assuming the 90 days horizon Saat Moderate is expected to generate 6.58 times less return on investment than Calamos Global. But when comparing it to its historical volatility, Saat Moderate Strategy is 3.27 times less risky than Calamos Global. It trades about 0.11 of its potential returns per unit of risk. Calamos Global Equity is currently generating about 0.22 of returns per unit of risk over similar time horizon. If you would invest  1,800  in Calamos Global Equity on September 7, 2024 and sell it today you would earn a total of  210.00  from holding Calamos Global Equity or generate 11.67% return on investment over 90 days.

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

Saat Moderate Strategy  vs.  Calamos Global Equity

Saat Moderate Strategy

Risk-Adjusted Performance

8 of 100

OK

Compared to the overall equity markets, risk-adjusted returns on investments in Saat Moderate Strategy are ranked lower than 8 (%) of all funds and portfolios of funds over the last 90 days. In spite of fairly strong basic indicators, Saat Moderate is not utilizing all of its potentials. The current stock price disturbance, may contribute to short-term losses for the investors.

Calamos Global Equity

Risk-Adjusted Performance

17 of 100

Solid

Compared to the overall equity markets, risk-adjusted returns on investments in Calamos Global Equity are ranked lower than 17 (%) of all funds and portfolios of funds over the last 90 days. In spite of fairly weak basic indicators, Calamos Global may actually be approaching a critical reversion point that can send shares even higher in January 2025.

Pair Trading with Saat Moderate and Calamos Global

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

The idea behind Saat Moderate Strategy and Calamos Global 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.

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 Volatility module to check portfolio volatility and analyze historical return density to properly model market risk.