Can any of the company-specific risk be diversified away by investing in both Calamos Market and Palmer Square 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 Market and Palmer Square into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Calamos Market Neutral and Palmer Square Ssi, you can compare the effects of market volatilities on Calamos Market and Palmer Square 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 Market with a short position of Palmer Square. Check out your portfolio center. Please also check ongoing floating volatility patterns of Calamos Market and Palmer Square.
Diversification Opportunities for Calamos Market and Palmer Square
The 3 months correlation between Calamos and Palmer is 0.87. Overlapping area represents the amount of risk that can be diversified away by holding Calamos Market Neutral and Palmer Square Ssi in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Palmer Square Ssi and Calamos Market 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 Market Neutral are associated (or correlated) with Palmer Square. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Palmer Square Ssi has no effect on the direction of Calamos Market i.e., Calamos Market and Palmer Square go up and down completely randomly.
Pair Corralation between Calamos Market and Palmer Square
Assuming the 90 days horizon Calamos Market Neutral is expected to generate 1.57 times more return on investment than Palmer Square. However, Calamos Market is 1.57 times more volatile than Palmer Square Ssi. It trades about 0.16 of its potential returns per unit of risk. Palmer Square Ssi is currently generating about 0.23 per unit of risk. If you would invest 1,461 in Calamos Market Neutral on March 6, 2024 and sell it today you would earn a total of 21.00 from holding Calamos Market Neutral or generate 1.44% return on investment over 90 days.
Compared to the overall equity markets, risk-adjusted returns on investments in Calamos Market Neutral are ranked lower than 12 (%) of all funds and portfolios of funds over the last 90 days. In spite of fairly strong fundamental indicators, Calamos Market is not utilizing all of its potentials. The current stock price disturbance, may contribute to short-term losses for the investors.
Compared to the overall equity markets, risk-adjusted returns on investments in Palmer Square Ssi are ranked lower than 18 (%) of all funds and portfolios of funds over the last 90 days. In spite of fairly strong forward indicators, Palmer Square is not utilizing all of its potentials. The current stock price disturbance, may contribute to short-term losses for the investors.