Calamos Dynamic Correlations

CCD Fund

USD 23.68 0.12 0.51%

The current 90-days correlation between Calamos Dynamic Conv and Calamos LongShort Equity is 0.25 (i.e., Modest diversification). The correlation of Calamos Dynamic 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 Dynamic Correlation With Market

Weak diversification

The correlation between Calamos Dynamic Convertible and DJI is 0.31 (i.e., Weak diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Calamos Dynamic Convertible 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 Dynamic Convertible. Also, note that the market value of any fund could be closely tied with the direction of predictive economic indicators such as signals in main economic indicators.

Moving together with Calamos Fund

0.68	TDF	Templeton Dragon Closed	Pair Corr
0.66	SRV	Cushing Mlp Total	Pair Corr
0.62	XOM	Exxon Mobil Corp Sell-off Trend	Pair Corr
0.71	HD	Home Depot Sell-off Trend	Pair Corr
0.8	MCD	McDonalds Fiscal Year End 3rd of February 2025	Pair Corr
0.69	DD	Dupont De Nemours Fiscal Year End 4th of February 2025	Pair Corr

Moving against Calamos Fund

0.44

Boeing Fiscal Year End 29th of January 2025

Pair Corr

Related Correlations Analysis

	CPZ	CHY	CGO	DTF	GGZ	EVT
CPZ		0.86	0.64	0.36	0.78	0.71	CPZ
CHY	0.86		0.61	0.48	0.9	0.85	CHY
CGO	0.64	0.61		0.06	0.43	0.36	CGO
DTF	0.36	0.48	0.06		0.4	0.48	DTF
GGZ	0.78	0.9	0.43	0.4		0.95	GGZ
EVT	0.71	0.85	0.36	0.48	0.95		EVT
	CPZ	CHY	CGO	DTF	GGZ	EVT

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Risk-Adjusted Indicators

There is a big difference between Calamos Fund performing well and Calamos Dynamic 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 Dynamic'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
CPZ	0.49	0.01	(0.11)	0.15	0.58	(0.56)	1.13	(1.10)	3.36
CHY	0.64	0.05	0.00	0.22	0.68	(0.70)	1.20	(1.23)	4.19
CGO	0.87	0.04	(0.05)	0.54	1.26	(0.91)	1.96	(2.48)	5.91
DTF	0.23	0.01	(0.35)	(0.82)	0.23	(0.28)	0.54	(0.36)	1.96
GGZ	0.60	0.03	0.00	0.15	0.62	(0.68)	1.20	(1.26)	4.71
EVT	0.54	0.02	(0.03)	0.14	0.45	(0.63)	0.97	(0.86)	3.42

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