Calamos Convertible Correlations

CHI Fund

USD 10.34 0.03 0.29%

The current 90-days correlation between Calamos Convertible and Calamos Dynamic Convertible is 0.85 (i.e., Very poor diversification). The correlation of Calamos Convertible is a statistical measure of how it moves in relation to other instruments. This measure is expressed in what is known as the correlation coefficient, which ranges between -1 and +1. A correlation greater than 0.8 is generally described as strong, whereas a correlation less than 0.5 is generally considered weak.

Calamos Convertible Correlation With Market

Poor diversification

The correlation between Calamos Convertible Opportunit and DJI is 0.73 (i.e., Poor diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Calamos Convertible Opportunit and DJI in the same portfolio, assuming nothing else is changed.

Check out Trending Equities to better understand how to build diversified portfolios, which includes a position in Calamos Convertible Opportunities. Also, note that the market value of any fund could be closely tied with the direction of predictive economic indicators such as signals in rate.

Moving together with Calamos Fund

0.84	CLM	Cornerstone Strategic	Pair Corr
0.83	CRF	Cornerstone Strategic	Pair Corr
0.9	ETV	Eaton Vance Tax	Pair Corr
0.93	ETJ	Eaton Vance Risk	Pair Corr
0.9	ETY	Eaton Vance Tax	Pair Corr
0.91	ADX	Adams Diversified Equity	Pair Corr
0.82	RIV	Rivernorth Opportunities	Pair Corr
0.71	TEOOX	Transamerica Emerging	Pair Corr

Moving against Calamos Fund

0.58	HUBAX	Hartford Ultrashort Bond	Pair Corr
0.57	MASNX	Litman Gregory Masters	Pair Corr
0.52	FPPQX	Mfs Prudent Investor	Pair Corr
0.51	CUSOX	Columbia Ultra Short	Pair Corr
0.43	PAMSX	Pimco Short Asset	Pair Corr
0.43	PAIPX	Pimco Short Asset	Pair Corr
0.42	PAIQX	Pimco Short Asset	Pair Corr

Related Correlations Analysis

	CCD	CHW	CSQ	CPZ	CHY	EVT	CBH	CGO	DTF	GGZ
CCD		0.93	0.97	0.42	0.98	0.88	0.0	0.94	0.63	0.78	CCD
CHW	0.93		0.97	0.64	0.95	0.94	0.0	0.98	0.69	0.93	CHW
CSQ	0.97	0.97		0.54	0.97	0.95	0.0	0.96	0.71	0.87	CSQ
CPZ	0.42	0.64	0.54		0.46	0.68	0.0	0.57	0.52	0.79	CPZ
CHY	0.98	0.95	0.97	0.46		0.91	0.0	0.94	0.62	0.81	CHY
EVT	0.88	0.94	0.95	0.68	0.91		0.0	0.91	0.73	0.91	EVT
CBH	0.0	0.0	0.0	0.0	0.0	0.0		0.0	0.0	0.0	CBH
CGO	0.94	0.98	0.96	0.57	0.94	0.91	0.0		0.65	0.9	CGO
DTF	0.63	0.69	0.71	0.52	0.62	0.73	0.0	0.65		0.69	DTF
GGZ	0.78	0.93	0.87	0.79	0.81	0.91	0.0	0.9	0.69		GGZ
	CCD	CHW	CSQ	CPZ	CHY	EVT	CBH	CGO	DTF	GGZ

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Correlation Matchups

Over a given time period, the two securities move together when the Correlation Coefficient is positive. Conversely, the two assets move in opposite directions when the Correlation Coefficient is negative. Determining your positions' relationship to each other is valuable for analyzing and projecting your portfolio's future expected return and risk.

High positive correlations

CHY	+ 0.98	CCD
CGO	+ 0.98	CHW
CSQ	+ 0.97	CCD
CSQ	+ 0.97	CHW
CHY	+ 0.97	CSQ
CGO	+ 0.96	CSQ

High negative correlations

GGZ	- 0.0	CBH
DTF	- 0.0	CBH
CGO	- 0.0	CBH
CBH	- 0.0	EVT
CBH	- 0.0	CHY
CBH	- 0.0	CPZ

Risk-Adjusted Indicators

There is a big difference between Calamos Fund performing well and Calamos Convertible Fund doing well as a business compared to the competition. There are so many exceptions to the norm that investors cannot definitively determine what's good or bad unless they analyze Calamos Convertible's multiple risk-adjusted performance indicators across the competitive landscape. These indicators are quantitative in nature and help investors forecast volatility and risk-adjusted expected returns across various positions.

	Mean Deviation	Jensen Alpha	Sortino Ratio	Treynor Ratio	Semi Deviation	Expected Shortfall	Potential Upside	Value @Risk	Maximum Drawdown
CCD	1.08	(0.04)	0.00	(0.12)	0.00	0.00	1.59	(2.47)	10.59
CHW	1.17	0.07	0.04	0.00	2.01	(1.06)	1.83	(2.71)	12.31
CSQ	1.41	0.04	0.00	(0.03)	0.00	0.00	2.47	(3.04)	13.02
CPZ	0.60	0.04	0.11	0.24	0.87	(0.61)	1.22	(1.17)	4.26
CHY	1.07	(0.01)	0.00	(0.08)	0.00	0.00	1.64	(2.49)	9.27
EVT	1.06	0.05	0.00	(0.02)	0.00	0.00	2.13	(2.33)	10.29
CBH	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00
CGO	1.34	0.04	0.00	(0.04)	0.00	0.00	2.41	(3.52)	15.50
DTF	0.26	(0.01)	0.00	(2.40)	0.00	0.00	0.54	(0.53)	1.70
GGZ	1.02	0.13	0.10	0.10	1.43	(1.13)	1.78	(2.78)	7.77

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