Calamos LongShort Correlations

CPZ Stock

USD 16.34 0.07 0.43%

The current 90-days correlation between Calamos LongShort Equity and Calamos Global Dynamic is 0.24 (i.e., Modest diversification). The correlation of Calamos LongShort 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 LongShort Correlation With Market

Average diversification

The correlation between Calamos LongShort Equity and DJI is 0.12 (i.e., Average diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Calamos LongShort Equity and DJI in the same portfolio, assuming nothing else is changed.

Build AI portfolio with Calamos Stock

Check out Trending Equities to better understand how to build diversified portfolios, which includes a position in Calamos LongShort Equity. Also, note that the market value of any company could be closely tied with the direction of predictive economic indicators such as signals in american community survey.

Moving together with Calamos Stock

0.91	AXP	American Express	Pair Corr
0.9	PNNT	PennantPark Investment	Pair Corr
0.95	C	Citigroup Aggressive Push	Pair Corr
0.91	L	Loews Corp Earnings Call This Week	Pair Corr
0.91	DHIL	Diamond Hill Investment	Pair Corr
0.77	AB	AllianceBernstein Earnings Call Today	Pair Corr
0.77	AC	Associated Capital	Pair Corr
0.92	AX	Axos Financial Earnings Call This Week	Pair Corr
0.94	BK	Bank of New York	Pair Corr
0.95	BN	Brookfield Corp	Pair Corr
0.83	BX	Blackstone Group	Pair Corr
0.68	BY	Byline Bancorp Earnings Call Today	Pair Corr
0.94	CG	Carlyle Group Earnings Call Today	Pair Corr
0.97	CM	Canadian Imperial Bank	Pair Corr
0.94	DB	Deutsche Bank AG Earnings Call Today	Pair Corr
0.95	GS	Goldman Sachs Group	Pair Corr
0.79	HG	Hamilton Insurance Group,	Pair Corr
0.92	IX	Orix Corp Ads Normal Trading	Pair Corr
0.95	KB	KB Financial Group	Pair Corr
0.81	LC	LendingClub Corp Earnings Call This Week	Pair Corr
0.87	MC	Moelis	Pair Corr
0.96	MS	Morgan Stanley	Pair Corr
0.65	NU	Nu Holdings	Pair Corr
0.69	PB	Prosperity Bancshares	Pair Corr
0.86	QD	Qudian Inc	Pair Corr
0.91	RF	Regions Financial Normal Trading	Pair Corr

Moving against Calamos Stock

0.7	EG	Everest Group Earnings Call This Week	Pair Corr
0.65	FG	FG Annuities Life	Pair Corr
0.32	CB	Chubb	Pair Corr
0.87	WU	Western Union Earnings Call This Week	Pair Corr
0.61	VALU	Value Line	Pair Corr
0.48	LX	Lexinfintech Holdings Normal Trading	Pair Corr

Related Correlations Analysis

	CHW	CGO	DTF	GGZ	CCD	BMEZ	AIO
CHW		0.98	0.86	0.98	-0.23	0.75	0.97	CHW
CGO	0.98		0.84	0.96	-0.31	0.74	0.98	CGO
DTF	0.86	0.84		0.81	-0.05	0.62	0.79	DTF
GGZ	0.98	0.96	0.81		-0.19	0.74	0.95	GGZ
CCD	-0.23	-0.31	-0.05	-0.19		-0.18	-0.38	CCD
BMEZ	0.75	0.74	0.62	0.74	-0.18		0.8	BMEZ
AIO	0.97	0.98	0.79	0.95	-0.38	0.8		AIO
	CHW	CGO	DTF	GGZ	CCD	BMEZ	AIO

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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
GGZ	+ 0.98	CHW
AIO	+ 0.98	CGO
AIO	+ 0.97	CHW
GGZ	+ 0.96	CGO
AIO	+ 0.95	GGZ

High negative correlations

AIO	- 0.38	CCD
CCD	- 0.31	CGO
CCD	- 0.23	CHW
CCD	- 0.19	GGZ
BMEZ	- 0.18	CCD
CCD	- 0.05	DTF

Risk-Adjusted Indicators

There is a big difference between Calamos Stock performing well and Calamos LongShort Company 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 LongShort'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	0.57	0.18	0.13	0.55	0.00	(0.70)	1.85	(0.88)	3.46
CGO	0.64	0.32	0.12	(4.91)	0.11	(0.79)	1.76	(1.37)	4.46
DTF	0.21	0.01	(0.62)	0.37	0.18	(0.26)	0.45	(0.45)	1.36
GGZ	0.67	0.14	0.07	0.40	0.65	(0.77)	1.78	(1.25)	3.87
CCD	0.61	(0.03)	(0.16)	0.13	0.80	(0.64)	1.32	(1.03)	4.97
BMEZ	0.84	(0.06)	(0.09)	0.13	1.07	(0.85)	1.90	(1.54)	6.51
AIO	0.86	0.24	0.17	0.54	0.50	(0.97)	2.33	(1.11)	4.20

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