Calamos Global Correlations

CCGCX Fund

USD 11.76 0.02 0.17%

The current 90-days correlation between Calamos Global Vertible and Arrow Managed Futures is 0.39 (i.e., Weak diversification). The correlation of Calamos Global 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 Global Correlation With Market

Poor diversification

The correlation between Calamos Global Vertible and DJI is 0.66 (i.e., Poor diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Calamos Global Vertible 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 Global Vertible. 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 main economic indicators.

Moving together with Calamos Mutual Fund

0.84	SROIX	Calamos Antetokounmpo	Pair Corr
0.82	SROCX	Calamos Antetokounmpo	Pair Corr
0.84	SRORX	Calamos Antetokounmpo	Pair Corr
0.89	CVAIX	Calamos Opportunistic	Pair Corr
0.89	CVACX	Calamos Opportunistic	Pair Corr
0.89	CVAAX	Calamos Opportunistic	Pair Corr
0.87	CVGRX	Calamos Growth	Pair Corr
0.87	CVGCX	Calamos Growth	Pair Corr
0.91	CVLOX	Calamos Global Growth	Pair Corr
0.91	CVLCX	Calamos Global Growth	Pair Corr
0.89	CVSIX	Calamos Market Neutral	Pair Corr
0.9	CVSCX	Calamos Market Neutral	Pair Corr
0.91	CVTCX	Calamos Growth Income	Pair Corr
0.89	CVSOX	Calamos Market Neutral	Pair Corr
0.91	CVTRX	Calamos Growth Income	Pair Corr
1.0	CXGCX	Calamos Global Vertible	Pair Corr
0.92	CGCIX	Calamos Global Growth	Pair Corr
0.88	CGEOX	Calamos Global Equity	Pair Corr
0.91	CGIOX	Calamos Growth And	Pair Corr
0.91	CGIIX	Calamos Growth Income	Pair Corr
0.87	CGRIX	Calamos Growth	Pair Corr
0.88	CHYDX	Calamos High Income	Pair Corr
0.89	CIDVX	Calamos Dividend Growth	Pair Corr
0.89	CICVX	Calamos Convertible	Pair Corr
0.9	CIHYX	Calamos High Income	Pair Corr
0.92	CIHEX	Calamos Hedged Equity	Pair Corr
0.89	CMNIX	Calamos Market Neutral	Pair Corr
0.66	CMRCX	Columbia Marsico Growth	Pair Corr
0.7	CMRAX	Columbia Large Cap	Pair Corr
0.79	CNWIX	Calamos Evolving World	Pair Corr
0.79	CNWGX	Calamos Evolving World	Pair Corr
0.78	CNWDX	Calamos Evolving World	Pair Corr
0.7	CPCLX	Calamos Phineus Longshort	Pair Corr
0.71	CPLIX	Calamos Phineus Longshort	Pair Corr
0.71	CPLSX	Calamos Phineus Longshort	Pair Corr

Related Correlations Analysis

	MFTFX	WRLDX	TQAAX	XMHFX	VOLMX	TWBIX	TMVAX
MFTFX		-0.09	-0.31	0.72	-0.5	-0.03	-0.26	MFTFX
WRLDX	-0.09		0.88	-0.32	0.78	0.87	0.79	WRLDX
TQAAX	-0.31	0.88		-0.59	0.96	0.84	0.94	TQAAX
XMHFX	0.72	-0.32	-0.59		-0.74	-0.24	-0.63	XMHFX
VOLMX	-0.5	0.78	0.96	-0.74		0.77	0.92	VOLMX
TWBIX	-0.03	0.87	0.84	-0.24	0.77		0.7	TWBIX
TMVAX	-0.26	0.79	0.94	-0.63	0.92	0.7		TMVAX
	MFTFX	WRLDX	TQAAX	XMHFX	VOLMX	TWBIX	TMVAX

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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

VOLMX	+ 0.96	TQAAX
TMVAX	+ 0.94	TQAAX
TMVAX	+ 0.92	VOLMX
TQAAX	+ 0.88	WRLDX
TWBIX	+ 0.87	WRLDX
TWBIX	+ 0.84	TQAAX

High negative correlations

VOLMX	- 0.74	XMHFX
TMVAX	- 0.63	XMHFX
XMHFX	- 0.59	TQAAX
VOLMX	- 0.5	MFTFX
XMHFX	- 0.32	WRLDX
TQAAX	- 0.31	MFTFX

Risk-Adjusted Indicators

There is a big difference between Calamos Mutual Fund performing well and Calamos Global 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 Global'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
MFTFX	0.98	(0.15)	0.00	(0.09)	0.00	0.00	1.70	(1.95)	5.42
WRLDX	0.49	(0.02)	(0.12)	0.08	0.45	(0.56)	0.92	(0.97)	2.75
TQAAX	0.82	(0.03)	0.00	0.09	0.98	(0.85)	1.75	(1.51)	6.10
XMHFX	0.17	(0.01)	0.00	0.21	0.00	0.00	0.42	(0.41)	1.52
VOLMX	0.61	0.00	0.00	0.12	0.59	(0.71)	1.14	(1.35)	4.49
TWBIX	0.36	(0.03)	(0.17)	0.06	0.44	(0.38)	0.77	(0.92)	2.38
TMVAX	0.88	0.00	0.03	0.11	0.79	(1.08)	2.28	(1.70)	8.08

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