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Calamos Value Risk Analysis And Volatility

CVA
CVAAX -- USA Fund  

USD 13.89  1.22  8.07%

We consider Calamos Value not too volatile. Calamos Value Fund secures Sharpe Ratio (or Efficiency) of 0.0665 which signifies that the fund had 0.0665% of return per unit of risk over the last 3 months. Our philosophy towards foreseeing volatility of a fund is to use all available market data together with fund specific technical indicators that cannot be diversified away. We have found twenty-six technical indicators for Calamos Value Fund Class A which you can use to evaluate future volatility of the entity. Please confirm Calamos Value Fund Mean Deviation of 0.5079, Downside Deviation of 0.8622 and Risk Adjusted Performance of 0.0788 to double-check if risk estimate we provide are consistent with the epected return of 0.0468%.
Equity
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90 Days Market Risk

Not too volatile

Chance of Distress

Below Average

90 Days Economic Sensitivity

Barely shadows market

Calamos Value Market Sensitivity

As returns on market increase, Calamos Value returns are expected to increase less than the market. However during bear market, the loss on holding Calamos Value will be expected to be smaller as well.
3 Months Beta |Analyze Calamos Value Fund Demand Trend
Check current 30 days Calamos Value correlation with market (DOW)
β = 0.1371

Calamos Value Central Daily Price Deviation

Calamos Value Fund Technical Analysis

Transformation
The output start index for this execution was zero with a total number of output elements of sixty-one. Developed by Larry Williams, the Weighted Close is the average of Calamos Value Fund high, low and close of a chart with the close values weighted twice. It can be used to smooth an indicator that normally takes only Calamos Value closing price as input. View also all equity analysis or get more info about weighted close price price transform indicator.

Calamos Value Projected Return Density Against Market

Assuming 30 trading days horizon, Calamos Value has beta of 0.1371 . This suggests as returns on market go up, Calamos Value average returns are expected to increase less than the benchmark. However during bear market, the loss on holding Calamos Value Fund Class A will be expected to be much smaller as well. Moreover, The company has an alpha of 0.0533 implying that it can potentially generate 0.0533% excess return over DOW after adjusting for the inherited market risk (beta).
 Predicted Return Density 
    
  Returns 
Assuming 30 trading days horizon, the coefficient of variation of Calamos Value is 1503.19. The daily returns are destributed with a variance of 0.5 and standard deviation of 0.7. The mean deviation of Calamos Value Fund Class A is currently at 0.52. For similar time horizon, the selected benchmark (DOW) has volatility of 0.9
α
Alpha over DOW
=0.05
β
Beta against DOW=0.14
σ
Overall volatility
=0.70
Ir
Information ratio =0.08

Calamos Value Return Volatility

the fund shows 0.7038% volatility of returns over 30 trading days. the entity inherits 1.0134% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
    
  Timeline 

Calamos Value Investment Opportunity

DOW has a standard deviation of returns of 1.01 and is 1.44 times more volatile than Calamos Value Fund Class A. of all equities and portfolios are less risky than Calamos Value. Compared to the overall equity markets, volatility of historical daily returns of Calamos Value Fund Class A is lower than 6 () of all global equities and portfolios over the last 30 days. Use Calamos Value Fund Class A to protect your portfolios against small markets fluctuations. The mutual fund experiences very speculative upward sentiment. Check odds of Calamos Value to be traded at $13.2 in 30 days. . As returns on market increase, Calamos Value returns are expected to increase less than the market. However during bear market, the loss on holding Calamos Value will be expected to be smaller as well.

Calamos Value correlation with market

correlation synergy
Average diversification
Overlapping area represents the amount of risk that can be diversified away by holding Calamos Value Fund Class A and equity matching DJI index in the same portfolio.

Calamos Value Current Risk Indicators

Calamos Value Suggested Diversification Pairs

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