Correlation Between State Street and Calamos Strategic

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

By analyzing existing cross correlation between State Street Premier and Calamos Strategic Total, you can compare the effects of market volatilities on State Street and Calamos Strategic 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 State Street with a short position of Calamos Strategic. Check out your portfolio center. Please also check ongoing floating volatility patterns of State Street and Calamos Strategic.

Diversification Opportunities for State Street and Calamos Strategic

0.99

Correlation Coefficient

State Street  Calamos Strategic

No risk reduction

The 3 months correlation between State and Calamos is 0.99. Overlapping area represents the amount of risk that can be diversified away by holding State Street Premier and Calamos Strategic Total in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Calamos Strategic Total and State Street 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 State Street Premier are associated (or correlated) with Calamos Strategic. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Calamos Strategic Total has no effect on the direction of State Street i.e., State Street and Calamos Strategic go up and down completely randomly.

Pair Corralation between State Street and Calamos Strategic

Assuming the 90 days horizon State Street Premier is expected to generate 1.19 times more return on investment than Calamos Strategic. However, State Street is 1.19 times more volatile than Calamos Strategic Total. It trades about 0.32 of its potential returns per unit of risk. Calamos Strategic Total is currently generating about 0.27 per unit of risk. If you would invest  10,847  in State Street Premier on May 3, 2025 and sell it today you would earn a total of  2,098  from holding State Street Premier or generate 19.34% return on investment over 90 days.

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

State Street Premier  vs.  Calamos Strategic Total

State Street Premier

Risk-Adjusted Performance

Solid

Compared to the overall equity markets, risk-adjusted returns on investments in State Street Premier are ranked lower than 25 (%) of all funds and portfolios of funds over the last 90 days. In spite of fairly weak basic indicators, State Street showed solid returns over the last few months and may actually be approaching a breakup point.

Calamos Strategic Total

Risk-Adjusted Performance

Solid

Compared to the overall equity markets, risk-adjusted returns on investments in Calamos Strategic Total are ranked lower than 21 (%) of all funds and portfolios of funds over the last 90 days. Even with relatively inconsistent basic indicators, Calamos Strategic reported solid returns over the last few months and may actually be approaching a breakup point.

Pair Trading with State Street and Calamos Strategic

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

The idea behind State Street Premier and Calamos Strategic Total 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 Share Portfolio module to track or share privately all of your investments from the convenience of any device.