Correlation Between Large Cap and Calamos Long/short

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

By analyzing existing cross correlation between Large Cap Value and Calamos Longshort Fund, you can compare the effects of market volatilities on Large Cap and Calamos Long/short 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 Large Cap with a short position of Calamos Long/short. Check out your portfolio center. Please also check ongoing floating volatility patterns of Large Cap and Calamos Long/short.

Diversification Opportunities for Large Cap and Calamos Long/short

0.79

Correlation Coefficient

Large Cap  Calamos Long/short

Poor diversification

The 3 months correlation between Large and Calamos is 0.79. Overlapping area represents the amount of risk that can be diversified away by holding Large Cap Value and Calamos Longshort Fund in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Calamos Long/short and Large Cap 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 Large Cap Value are associated (or correlated) with Calamos Long/short. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Calamos Long/short has no effect on the direction of Large Cap i.e., Large Cap and Calamos Long/short go up and down completely randomly.

Pair Corralation between Large Cap and Calamos Long/short

Assuming the 90 days horizon Large Cap is expected to generate 1.08 times less return on investment than Calamos Long/short. But when comparing it to its historical volatility, Large Cap Value is 1.16 times less risky than Calamos Long/short. It trades about 0.13 of its potential returns per unit of risk. Calamos Longshort Fund is currently generating about 0.12 of returns per unit of risk over similar time horizon. If you would invest  1,048  in Calamos Longshort Fund on May 16, 2025 and sell it today you would earn a total of  59.00  from holding Calamos Longshort Fund or generate 5.63% return on investment over 90 days.

Time Period	3 Months [change]
Direction	Moves Together
Strength	Significant
Accuracy	98.39%
Values	Daily Returns

Large Cap Value  vs.  Calamos Longshort Fund

Large Cap Value

Risk-Adjusted Performance

Fair

Compared to the overall equity markets, risk-adjusted returns on investments in Large Cap Value are ranked lower than 10 (%) of all funds and portfolios of funds over the last 90 days. In spite of fairly strong fundamental indicators, Large Cap is not utilizing all of its potentials. The current stock price disturbance, may contribute to short-term losses for the investors.

Calamos Long/short

Risk-Adjusted Performance

Fair

Compared to the overall equity markets, risk-adjusted returns on investments in Calamos Longshort Fund are ranked lower than 9 (%) of all funds and portfolios of funds over the last 90 days. In spite of fairly strong basic indicators, Calamos Long/short is not utilizing all of its potentials. The current stock price disturbance, may contribute to short-term losses for the investors.

Pair Trading with Large Cap and Calamos Long/short

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

The idea behind Large Cap Value and Calamos Longshort Fund 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 File Import module to quickly import all of your third-party portfolios from your local drive in csv format.