Correlation Between Calamos Dynamic and Small Cap

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

By analyzing existing cross correlation between Calamos Dynamic Convertible and Small Cap Core, you can compare the effects of market volatilities on Calamos Dynamic and Small Cap 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 Dynamic with a short position of Small Cap. Check out your portfolio center. Please also check ongoing floating volatility patterns of Calamos Dynamic and Small Cap.

Diversification Opportunities for Calamos Dynamic and Small Cap

-0.2

Correlation Coefficient

Calamos Dynamic  Small Cap

Good diversification

The 3 months correlation between Calamos and Small is -0.2. Overlapping area represents the amount of risk that can be diversified away by holding Calamos Dynamic Convertible and Small Cap Core in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Small Cap Core and Calamos Dynamic 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 Dynamic Convertible are associated (or correlated) with Small Cap. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Small Cap Core has no effect on the direction of Calamos Dynamic i.e., Calamos Dynamic and Small Cap go up and down completely randomly.

Pair Corralation between Calamos Dynamic and Small Cap

Considering the 90-day investment horizon Calamos Dynamic Convertible is expected to under-perform the Small Cap. But the fund apears to be less risky and, when comparing its historical volatility, Calamos Dynamic Convertible is 1.47 times less risky than Small Cap. The fund trades about -0.03 of its potential returns per unit of risk. The Small Cap Core is currently generating about 0.19 of returns per unit of risk over similar time horizon. If you would invest  1,069  in Small Cap Core on May 1, 2025 and sell it today you would earn a total of  143.00  from holding Small Cap Core or generate 13.38% return on investment over 90 days.

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

Calamos Dynamic Convertible  vs.  Small Cap Core

Calamos Dynamic Conv

Risk-Adjusted Performance

Very Weak

Over the last 90 days Calamos Dynamic Convertible has generated negative risk-adjusted returns adding no value to fund investors. In spite of rather sound fundamental indicators, Calamos Dynamic is not utilizing all of its potentials. The current stock price tumult, may contribute to shorter-term losses for the shareholders.

Small Cap Core

Risk-Adjusted Performance

Good

Compared to the overall equity markets, risk-adjusted returns on investments in Small Cap Core are ranked lower than 14 (%) of all funds and portfolios of funds over the last 90 days. In spite of fairly weak basic indicators, Small Cap showed solid returns over the last few months and may actually be approaching a breakup point.

Pair Trading with Calamos Dynamic and Small Cap

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

The idea behind Calamos Dynamic Convertible and Small Cap Core 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 Stock Tickers module to use high-impact, comprehensive, and customizable stock tickers that can be easily integrated to any websites.