Calamos Total Correlations

CTRIX Fund

USD 9.23 0.01 0.11%

The current 90-days correlation between Calamos Total Return and Calamos Global Growth is -0.09 (i.e., Good diversification). The correlation of Calamos Total 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 Total Correlation With Market

Very weak diversification

The correlation between Calamos Total Return and DJI is 0.56 (i.e., Very weak diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Calamos Total Return 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 Total Return. Also, note that the market value of any mutual fund could be closely tied with the direction of predictive economic indicators such as signals in gross domestic product.

Moving together with Calamos Mutual Fund

0.68	CVLOX	Calamos Global Growth	Pair Corr
0.68	CVLCX	Calamos Global Growth	Pair Corr
0.73	CVSIX	Calamos Market Neutral	Pair Corr
0.72	CVSCX	Calamos Market Neutral	Pair Corr
0.74	CVSOX	Calamos Market Neutral	Pair Corr
0.68	CGCIX	Calamos Global Growth	Pair Corr
0.66	CGEOX	Calamos Global Equity	Pair Corr
0.72	CHYDX	Calamos High Income	Pair Corr
0.65	CIGRX	Calamos International	Pair Corr
0.65	CIGOX	Calamos International	Pair Corr
0.65	CIGIX	Calamos International	Pair Corr
0.62	CIGCX	Calamos International	Pair Corr
0.73	CIHYX	Calamos High Income	Pair Corr
0.81	CISOX	Calamos International	Pair Corr
0.74	CMNIX	Calamos Market Neutral	Pair Corr
0.72	CMRCX	Columbia Marsico Growth	Pair Corr
0.73	CMRAX	Columbia Large Cap	Pair Corr
0.73	CMRGX	Calamos Investment Trust	Pair Corr
0.83	CNWIX	Calamos Evolving World	Pair Corr
0.83	CNWGX	Calamos Evolving World	Pair Corr
0.83	CNWDX	Calamos Evolving World	Pair Corr

Moving against Calamos Mutual Fund

0.69

CGRIX

Calamos Growth

Pair Corr

Related Correlations Analysis

	SROIX	SROAX	SROCX	SRORX	CVAIX	CVACX	CVAAX	CVGRX	CVGCX	CVLOX
SROIX		1.0	1.0	1.0	0.71	0.76	0.72	0.72	0.85	0.91	SROIX
SROAX	1.0		1.0	1.0	0.71	0.77	0.72	0.72	0.85	0.9	SROAX
SROCX	1.0	1.0		1.0	0.72	0.78	0.73	0.73	0.86	0.9	SROCX
SRORX	1.0	1.0	1.0		0.71	0.76	0.72	0.72	0.85	0.91	SRORX
CVAIX	0.71	0.71	0.72	0.71		0.99	1.0	0.99	0.86	0.42	CVAIX
CVACX	0.76	0.77	0.78	0.76	0.99		0.99	0.99	0.92	0.47	CVACX
CVAAX	0.72	0.72	0.73	0.72	1.0	0.99		0.99	0.87	0.42	CVAAX
CVGRX	0.72	0.72	0.73	0.72	0.99	0.99	0.99		0.9	0.41	CVGRX
CVGCX	0.85	0.85	0.86	0.85	0.86	0.92	0.87	0.9		0.59	CVGCX
CVLOX	0.91	0.9	0.9	0.91	0.42	0.47	0.42	0.41	0.59		CVLOX
	SROIX	SROAX	SROCX	SRORX	CVAIX	CVACX	CVAAX	CVGRX	CVGCX	CVLOX

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Risk-Adjusted Indicators

There is a big difference between Calamos Mutual Fund performing well and Calamos Total Mutual 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 Total'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
SROIX	0.57	0.08	0.07	0.20	0.60	(0.61)	1.09	(1.28)	5.49
SROAX	0.57	0.08	0.07	0.20	0.60	(0.61)	1.08	(1.26)	5.59
SROCX	0.57	0.08	0.06	0.20	0.65	(0.62)	1.10	(1.28)	5.62
SRORX	0.57	0.08	0.07	0.20	0.60	(0.64)	1.08	(1.26)	5.42
CVAIX	0.63	0.03	0.01	0.12	0.72	(0.68)	1.23	(1.51)	7.09
CVACX	0.66	0.06	0.04	0.16	0.69	(0.74)	1.27	(1.53)	9.14
CVAAX	0.64	0.03	0.01	0.13	0.72	(0.69)	1.25	(1.50)	7.43
CVGRX	0.87	0.07	0.04	0.17	0.97	(0.90)	1.37	(1.80)	11.32
CVGCX	1.75	0.75	0.62	1.37	0.00	(2.15)	1.37	(1.78)	55.20
CVLOX	0.59	0.09	0.08	0.22	0.54	(0.66)	1.33	(1.32)	3.84

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