Correlation Between Eaton Vance and Calamos LongShort

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

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

Diversification Opportunities for Eaton Vance and Calamos LongShort

0.36

Correlation Coefficient

Eaton Vance  Calamos LongShort

Weak diversification

The 3 months correlation between Eaton and Calamos is 0.36. Overlapping area represents the amount of risk that can be diversified away by holding Eaton Vance Tax and Calamos LongShort Equity in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Calamos LongShort Equity and Eaton Vance 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 Eaton Vance Tax are associated (or correlated) with Calamos LongShort. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Calamos LongShort Equity has no effect on the direction of Eaton Vance i.e., Eaton Vance and Calamos LongShort go up and down completely randomly.

Pair Corralation between Eaton Vance and Calamos LongShort

Considering the 90-day investment horizon Eaton Vance is expected to generate 1.57 times less return on investment than Calamos LongShort. In addition to that, Eaton Vance is 1.42 times more volatile than Calamos LongShort Equity. It trades about 0.05 of its total potential returns per unit of risk. Calamos LongShort Equity is currently generating about 0.1 per unit of volatility. If you would invest  1,486  in Calamos LongShort Equity on July 4, 2024 and sell it today you would earn a total of  79.00  from holding Calamos LongShort Equity or generate 5.32% return on investment over 90 days.

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

Eaton Vance Tax  vs.  Calamos LongShort Equity

Eaton Vance Tax

Risk-Adjusted Performance

3 of 100

Insignificant

Compared to the overall equity markets, risk-adjusted returns on investments in Eaton Vance Tax are ranked lower than 3 (%) of all funds and portfolios of funds over the last 90 days. Despite nearly stable basic indicators, Eaton Vance is not utilizing all of its potentials. The current stock price disturbance, may contribute to mid-run losses for the stockholders.

Calamos LongShort Equity

Risk-Adjusted Performance

8 of 100

OK

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

Pair Trading with Eaton Vance and Calamos LongShort

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

The idea behind Eaton Vance Tax and Calamos LongShort 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 Portfolio Backtesting module to avoid under-diversification and over-optimization by backtesting your portfolios.