Calamos Convertible Correlations

CHI Fund

USD 9.83 0.11 1.11%

The current 90-days correlation between Calamos Convertible and Calamos Dynamic Convertible is 0.57 (i.e., Very weak diversification). The correlation of Calamos Convertible 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 Convertible Correlation With Market

Weak diversification

The correlation between Calamos Convertible Opportunit and DJI is 0.36 (i.e., Weak diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Calamos Convertible Opportunit 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 Convertible Opportunities. Also, note that the market value of any fund could be closely tied with the direction of predictive economic indicators such as signals in rate.

Moving together with Calamos Fund

0.74	IIF	Morgan Stanley India	Pair Corr
0.88	TWN	Taiwan Closed	Pair Corr
0.8	CSQ	Calamos Strategic Total	Pair Corr
0.97	CHY	Calamos Convertible And	Pair Corr
0.65	STFGX	State Farm Growth	Pair Corr

Moving against Calamos Fund

0.92	ABNOX	Ab Bond Inflation	Pair Corr
0.91	ARBOX	Absolute Convertible	Pair Corr
0.89	BISMX	Brandes International	Pair Corr
0.87	HRBDX	Harbor Bond Fund	Pair Corr
0.86	USGDX	Morgan Stanley Government	Pair Corr
0.84	VICSX	Vanguard Intermediate-ter	Pair Corr
0.84	GIOIX	Guggenheim Macro Opp	Pair Corr
0.79	DLDFX	Destinations Low Duration	Pair Corr
0.78	UTF	Cohen And Steers	Pair Corr
0.75	SGDLX	Sprott Gold Equity Steady Growth	Pair Corr
0.74	HTD	John Hancock Tax	Pair Corr
0.73	NNY	Nuveen New York	Pair Corr
0.69	MXF	Mexico Closed	Pair Corr
0.68	EBSIX	Campbell Systematic Macro	Pair Corr
0.66	DBIWX	Dws Global Macro	Pair Corr
0.39	TIMUX	Transamerica Intermediate	Pair Corr

Related Correlations Analysis

	CCD	CHW	CSQ	CPZ	CHY	EVT	CBH	CGO	DTF	GGZ
CCD		0.77	0.94	-0.62	0.85	0.73	0.0	0.95	-0.31	-0.13	CCD
CHW	0.77		0.83	-0.27	0.43	0.76	0.0	0.84	0.12	0.42	CHW
CSQ	0.94	0.83		-0.43	0.7	0.89	0.0	0.92	-0.11	0.09	CSQ
CPZ	-0.62	-0.27	-0.43		-0.84	-0.06	0.0	-0.56	0.62	0.6	CPZ
CHY	0.85	0.43	0.7	-0.84		0.41	0.0	0.78	-0.63	-0.53	CHY
EVT	0.73	0.76	0.89	-0.06	0.41		0.0	0.71	0.13	0.35	EVT
CBH	0.0	0.0	0.0	0.0	0.0	0.0		0.0	0.0	0.0	CBH
CGO	0.95	0.84	0.92	-0.56	0.78	0.71	0.0		-0.22	0.0	CGO
DTF	-0.31	0.12	-0.11	0.62	-0.63	0.13	0.0	-0.22		0.61	DTF
GGZ	-0.13	0.42	0.09	0.6	-0.53	0.35	0.0	0.0	0.61		GGZ
	CCD	CHW	CSQ	CPZ	CHY	EVT	CBH	CGO	DTF	GGZ

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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	+ 0.95	CCD
CSQ	+ 0.94	CCD
CGO	+ 0.92	CSQ
EVT	+ 0.89	CSQ
CHY	+ 0.85	CCD
CGO	+ 0.84	CHW

High negative correlations

CHY	- 0.84	CPZ
DTF	- 0.63	CHY
CPZ	- 0.62	CCD
CGO	- 0.56	CPZ
GGZ	- 0.53	CHY
CPZ	- 0.43	CSQ

Risk-Adjusted Indicators

There is a big difference between Calamos Fund performing well and Calamos Convertible 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 Convertible'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
CCD	0.79	(0.15)	0.00	(0.37)	0.00	0.00	1.25	(1.67)	7.13
CHW	0.73	(0.03)	0.00	(0.09)	0.00	0.00	1.38	(1.32)	4.80
CSQ	0.83	(0.07)	0.00	(0.12)	0.00	0.00	1.22	(1.75)	5.19
CPZ	0.52	0.07	0.23	(0.61)	0.42	(0.64)	1.11	(0.91)	3.45
CHY	0.74	(0.20)	0.00	(0.48)	0.00	0.00	1.32	(1.83)	3.76
EVT	0.57	0.02	0.00	(0.02)	0.00	0.00	1.49	(1.31)	3.45
CBH	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00
CGO	0.72	(0.13)	0.00	(0.33)	0.00	0.00	1.32	(1.83)	4.49
DTF	0.29	0.04	0.20	1.34	0.32	(0.32)	0.72	(0.53)	1.64
GGZ	0.67	0.04	0.07	0.01	0.78	(0.75)	1.49	(1.37)	3.15

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