Calamos Global Correlations

CGO Fund

USD 10.66 0.01 0.09%

A perfect positive correlation (i.e., a correlation coefficient of +1) implies that as Calamos Global moves, either up or down, the other security will move in the same direction. Alternatively, perfect negative correlation means that if Calamos Global Total moves in either direction, the perfectly negatively correlated security will move in the opposite direction.

Calamos Global Correlation With Market

Significant diversification

The correlation between Calamos Global Total and DJI is 0.04 (i.e., Significant diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Calamos Global Total 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 Total. Also, note that the market value of any fund could be closely tied with the direction of predictive economic indicators such as signals in price.

Moving together with Calamos Fund

0.85	TWN	Taiwan Closed	Pair Corr
0.78	NCV	Allianzgi Convertible	Pair Corr
0.81	NCZ	Allianzgi Convertible	Pair Corr

Moving against Calamos Fund

0.57	TDF	Templeton Dragon Closed	Pair Corr
0.57	USGDX	Morgan Stanley Government	Pair Corr
0.57	HRBDX	Harbor Bond Fund	Pair Corr
0.51	VICSX	Vanguard Intermediate-ter	Pair Corr
0.44	GIOIX	Guggenheim Macro Opp	Pair Corr
0.42	ABNOX	Ab Bond Inflation	Pair Corr
0.31	PHK	Pimco High Income	Pair Corr

Related Correlations Analysis

	CHI	CHY	CPZ	CSQ	CCD	CHW	CBH	DTF	GGZ	EVT
CHI		0.97	-0.75	0.78	0.8	0.45	0.0	-0.43	-0.4	0.57	CHI
CHY	0.97		-0.82	0.68	0.75	0.35	0.0	-0.49	-0.52	0.43	CHY
CPZ	-0.75	-0.82		-0.39	-0.53	-0.18	0.0	0.42	0.6	-0.07	CPZ
CSQ	0.78	0.68	-0.39		0.84	0.8	0.0	0.01	0.15	0.91	CSQ
CCD	0.8	0.75	-0.53	0.84		0.68	0.0	-0.22	-0.07	0.71	CCD
CHW	0.45	0.35	-0.18	0.8	0.68		0.0	0.27	0.51	0.78	CHW
CBH	0.0	0.0	0.0	0.0	0.0	0.0		0.0	0.0	0.0	CBH
DTF	-0.43	-0.49	0.42	0.01	-0.22	0.27	0.0		0.52	0.14	DTF
GGZ	-0.4	-0.52	0.6	0.15	-0.07	0.51	0.0	0.52		0.38	GGZ
EVT	0.57	0.43	-0.07	0.91	0.71	0.78	0.0	0.14	0.38		EVT
	CHI	CHY	CPZ	CSQ	CCD	CHW	CBH	DTF	GGZ	EVT

Click cells to compare fundamentals

Check Volatility

Backtest Portfolio

Please upgrade your account to get full access to Macroaxis premium features

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

CHY	+ 0.97	CHI
EVT	+ 0.91	CSQ
CCD	+ 0.84	CSQ
CCD	+ 0.8	CHI
CHW	+ 0.8	CSQ
CSQ	+ 0.78	CHI

High negative correlations

CPZ	- 0.82	CHY
CPZ	- 0.75	CHI
CCD	- 0.53	CPZ
GGZ	- 0.52	CHY
DTF	- 0.49	CHY
DTF	- 0.43	CHI

Risk-Adjusted Indicators

There is a big difference between Calamos Fund performing well and Calamos Global 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
CHI	0.75	(0.25)	0.00	(6.51)	0.00	0.00	1.46	(1.92)	4.88
CHY	0.75	(0.21)	0.00	10.81	0.00	0.00	1.32	(1.83)	3.76
CPZ	0.50	0.12	0.33	1.62	0.32	(0.65)	1.11	(0.78)	3.45
CSQ	0.79	(0.11)	0.00	(21.92)	0.00	0.00	1.22	(1.65)	5.19
CCD	0.77	(0.08)	0.00	(0.26)	0.00	0.00	1.41	(1.67)	7.13
CHW	0.71	(0.05)	0.00	(2.14)	0.00	0.00	1.38	(1.31)	4.80
CBH	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00
DTF	0.32	0.00	0.12	0.00	0.47	(0.31)	0.72	(0.62)	1.72
GGZ	0.63	0.06	0.16	0.54	0.66	(0.75)	1.49	(1.36)	3.15
EVT	0.56	0.00	0.08	(0.08)	0.68	(0.66)	1.49	(1.29)	3.45

Macroaxis helps investors of all levels and skills to maximize the upside of all their holdings and minimize the risk associated with market volatility, economic swings, and company-specific events. View terms and conditions

Feedback Blog

Made with optimal in San Francisco

2024 Macroaxis LLC