Correlation Between Moderate Duration and Calamos Dynamic

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

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

Diversification Opportunities for Moderate Duration and Calamos Dynamic

-0.48

Correlation Coefficient

Moderate Duration  Calamos Dynamic

Very good diversification

The 3 months correlation between Moderate and Calamos is -0.48. Overlapping area represents the amount of risk that can be diversified away by holding Moderate Duration Fund and Calamos Dynamic Convertible in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Calamos Dynamic Conv and Moderate Duration 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 Moderate Duration Fund are associated (or correlated) with Calamos Dynamic. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Calamos Dynamic Conv has no effect on the direction of Moderate Duration i.e., Moderate Duration and Calamos Dynamic go up and down completely randomly.

Pair Corralation between Moderate Duration and Calamos Dynamic

Assuming the 90 days horizon Moderate Duration Fund is expected to generate 0.3 times more return on investment than Calamos Dynamic. However, Moderate Duration Fund is 3.3 times less risky than Calamos Dynamic. It trades about 0.03 of its potential returns per unit of risk. Calamos Dynamic Convertible is currently generating about -0.01 per unit of risk. If you would invest  930.00  in Moderate Duration Fund on April 30, 2025 and sell it today you would earn a total of  4.00  from holding Moderate Duration Fund or generate 0.43% return on investment over 90 days.

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

Moderate Duration Fund  vs.  Calamos Dynamic Convertible

Moderate Duration

Risk-Adjusted Performance

Weak

Compared to the overall equity markets, risk-adjusted returns on investments in Moderate Duration Fund are ranked lower than 2 (%) of all funds and portfolios of funds over the last 90 days. In spite of fairly strong basic indicators, Moderate Duration is not utilizing all of its potentials. The latest stock price disturbance, may contribute to short-term losses for the investors.

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.

Pair Trading with Moderate Duration and Calamos Dynamic

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

The idea behind Moderate Duration Fund and Calamos Dynamic Convertible 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 Portfolio Analyzer module to portfolio analysis module that provides access to portfolio diagnostics and optimization engine.