Correlation Between Calamos Global and Tax Managed

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

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

Diversification Opportunities for Calamos Global and Tax Managed

0.85

Correlation Coefficient

Calamos Global  Tax Managed

Very poor diversification

The 3 months correlation between Calamos and Tax is 0.85. Overlapping area represents the amount of risk that can be diversified away by holding Calamos Global Equity and Tax Managed International Equi in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Tax Managed Internat and Calamos Global 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 Calamos Global Equity are associated (or correlated) with Tax Managed. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Tax Managed Internat has no effect on the direction of Calamos Global i.e., Calamos Global and Tax Managed go up and down completely randomly.

Pair Corralation between Calamos Global and Tax Managed

Assuming the 90 days horizon Calamos Global Equity is expected to generate 1.27 times more return on investment than Tax Managed. However, Calamos Global is 1.27 times more volatile than Tax Managed International Equity. It trades about 0.13 of its potential returns per unit of risk. Tax Managed International Equity is currently generating about 0.06 per unit of risk. If you would invest  1,291  in Calamos Global Equity on February 10, 2024 and sell it today you would earn a total of  445.00  from holding Calamos Global Equity or generate 34.47% return on investment over 90 days.

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

Calamos Global Equity  vs.  Tax Managed International Equi

Calamos Global Equity

Risk-Adjusted Performance

9 of 100

OK

Compared to the overall equity markets, risk-adjusted returns on investments in Calamos Global Equity are ranked lower than 9 (%) 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 June 2024.

Tax Managed Internat

Risk-Adjusted Performance

11 of 100

Good

Compared to the overall equity markets, risk-adjusted returns on investments in Tax Managed International Equity are ranked lower than 11 (%) of all funds and portfolios of funds over the last 90 days. In spite of fairly strong basic indicators, Tax Managed is not utilizing all of its potentials. The current stock price disturbance, may contribute to short-term losses for the investors.

Pair Trading with Calamos Global and Tax Managed

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

The idea behind Calamos Global Equity and Tax Managed International 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 Bond Analysis module to evaluate and analyze corporate bonds as a potential investment for your portfolios..