Correlation Between Western Asset and Calamos Timpani

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

By analyzing existing cross correlation between Western Asset Diversified and Calamos Timpani Smid, you can compare the effects of market volatilities on Western Asset and Calamos Timpani 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 Western Asset with a short position of Calamos Timpani. Check out your portfolio center. Please also check ongoing floating volatility patterns of Western Asset and Calamos Timpani.

Diversification Opportunities for Western Asset and Calamos Timpani

-0.63

Correlation Coefficient

Western Asset  Calamos Timpani

Excellent diversification

The 3 months correlation between Western and Calamos is -0.63. Overlapping area represents the amount of risk that can be diversified away by holding Western Asset Diversified and Calamos Timpani Smid in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Calamos Timpani Smid and Western Asset 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 Western Asset Diversified are associated (or correlated) with Calamos Timpani. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Calamos Timpani Smid has no effect on the direction of Western Asset i.e., Western Asset and Calamos Timpani go up and down completely randomly.

Pair Corralation between Western Asset and Calamos Timpani

Assuming the 90 days horizon Western Asset Diversified is expected to under-perform the Calamos Timpani. But the mutual fund apears to be less risky and, when comparing its historical volatility, Western Asset Diversified is 5.58 times less risky than Calamos Timpani. The mutual fund trades about -0.08 of its potential returns per unit of risk. The Calamos Timpani Smid is currently generating about 0.21 of returns per unit of risk over similar time horizon. If you would invest  1,362  in Calamos Timpani Smid on September 12, 2024 and sell it today you would earn a total of  274.00  from holding Calamos Timpani Smid or generate 20.12% return on investment over 90 days.

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

Western Asset Diversified  vs.  Calamos Timpani Smid

Western Asset Diversified

Risk-Adjusted Performance

0 of 100

Very Weak

Over the last 90 days Western Asset Diversified has generated negative risk-adjusted returns adding no value to fund investors. In spite of fairly strong forward indicators, Western Asset is not utilizing all of its potentials. The current stock price disturbance, may contribute to short-term losses for the investors.

Calamos Timpani Smid

Risk-Adjusted Performance

16 of 100

Solid

Compared to the overall equity markets, risk-adjusted returns on investments in Calamos Timpani Smid are ranked lower than 16 (%) of all funds and portfolios of funds over the last 90 days. In spite of fairly weak technical and fundamental indicators, Calamos Timpani showed solid returns over the last few months and may actually be approaching a breakup point.

Pair Trading with Western Asset and Calamos Timpani

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

The idea behind Western Asset Diversified and Calamos Timpani Smid 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 Options Analysis module to analyze and evaluate options and option chains as a potential hedge for your portfolios.