Calamos Convertible Correlations

CHY Fund

USD 10.19 0.09 0.89%

The current 90-days correlation between Calamos Convertible And and Calamos Global Dynamic is 0.91 (i.e., Almost no 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. If the correlation is 0, the equities are not correlated; they are entirely random.

Calamos Convertible Correlation With Market

Very poor diversification

The correlation between Calamos Convertible And and DJI is 0.8 (i.e., Very poor diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Calamos Convertible And 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 And. 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

0.93	SCD	Lmp Capital And	Pair Corr
0.99	ACV	Allianzgi Diversified	Pair Corr
0.9	ETO	Eaton Vance Tax	Pair Corr
0.96	BTO	John Hancock Financial	Pair Corr
0.73	EMO	Clearbridge Energy Mlp	Pair Corr
0.98	CSQ	Calamos Strategic Total	Pair Corr
0.83	KIRCX	Salient International	Pair Corr
0.75	MGXBX	Mainstay Growth Allo	Pair Corr

Moving against Calamos Fund

0.92	TWAVX	Short Term Government	Pair Corr
0.82	FOSIX	Short Intermediate Bond	Pair Corr
0.8	TSDLX	T Rowe Price	Pair Corr
0.74	PMZIX	Pimco Mortgage Oppor	Pair Corr
0.7	VFIJX	Vanguard Gnma	Pair Corr
0.67	FSAGX	Gold Portfolio Gold	Pair Corr
0.66	AGGWX	Global Gold Fund	Pair Corr
0.66	AGYCX	Global Gold Fund	Pair Corr
0.56	DOXIX	Dodge Cox Income	Pair Corr
0.53	CBDIX	Calvert Bond Portfolio	Pair Corr
0.5	FXIRX	Fixed Income Shares	Pair Corr
0.42	PIPNX	Pimco Income	Pair Corr
0.34	ACEVX	International Value	Pair Corr
0.91	VFISX	Vanguard Short Term	Pair Corr
0.9	BUBSX	Baird Ultra Short	Pair Corr
0.87	GLDYX	Low Duration Bond	Pair Corr
0.86	NUSAX	Nationwide Government	Pair Corr
0.82	CGTCX	Us Government Securities	Pair Corr
0.81	HRSTX	Rational Real Strategies	Pair Corr
0.75	SAOCX	Guggenheim Alpha Opp	Pair Corr
0.74	DAAIX	Dunham Appreciation	Pair Corr
0.68	NRABX	Neuberger Berman Absolute	Pair Corr
0.67	GGBEX	Global Bond Fund	Pair Corr
0.66	HIPIX	The Hartford Inflation	Pair Corr
0.66	VIPIX	Vanguard Inflation	Pair Corr
0.65	INIVX	International Investors	Pair Corr
0.62	WMBDX	Wesmark Government Bond	Pair Corr

Related Correlations Analysis

	CHW	CSQ	CCD	CPZ	CHI	EVT	CBH	CGO	DTF	GGZ
CHW		0.96	0.93	0.29	0.9	0.95	0.0	0.98	0.71	0.93	CHW
CSQ	0.96		0.98	0.2	0.96	0.96	0.0	0.98	0.64	0.86	CSQ
CCD	0.93	0.98		0.08	0.98	0.91	0.0	0.97	0.57	0.78	CCD
CPZ	0.29	0.2	0.08		0.09	0.4	0.0	0.22	0.33	0.53	CPZ
CHI	0.9	0.96	0.98	0.09		0.89	0.0	0.94	0.48	0.75	CHI
EVT	0.95	0.96	0.91	0.4	0.89		0.0	0.94	0.69	0.92	EVT
CBH	0.0	0.0	0.0	0.0	0.0	0.0		0.0	0.0	0.0	CBH
CGO	0.98	0.98	0.97	0.22	0.94	0.94	0.0		0.68	0.88	CGO
DTF	0.71	0.64	0.57	0.33	0.48	0.69	0.0	0.68		0.76	DTF
GGZ	0.93	0.86	0.78	0.53	0.75	0.92	0.0	0.88	0.76		GGZ
	CHW	CSQ	CCD	CPZ	CHI	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

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

High negative correlations

GGZ	- 0.0	CBH
DTF	- 0.0	CBH
CGO	- 0.0	CBH
CBH	- 0.0	EVT
CBH	- 0.0	CHI
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
CHW	1.13	0.05	0.00	(0.09)	0.00	0.00	1.67	(2.84)	12.56
CSQ	1.32	0.00	0.00	(0.15)	0.00	0.00	2.02	(3.02)	13.02
CCD	1.09	(0.03)	0.00	(0.17)	0.00	0.00	1.28	(2.49)	10.55
CPZ	0.57	0.05	0.19	0.21	0.81	(0.61)	1.20	(0.97)	4.40
CHI	1.22	(0.04)	0.00	(0.20)	0.00	0.00	2.16	(2.63)	10.09
EVT	0.99	0.02	0.00	(0.12)	0.00	0.00	1.60	(2.33)	10.29
CBH	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00
CGO	1.28	0.09	0.00	(0.07)	0.00	0.00	2.39	(3.39)	15.38
DTF	0.28	0.01	0.32	(0.07)	0.37	(0.28)	0.54	(0.53)	2.06
GGZ	0.98	0.07	0.00	(0.04)	0.00	0.00	1.69	(2.78)	7.77

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