Calamos Convertible Correlations

CHI Fund

USD 10.33 0.24 2.27%

The current 90-days correlation between Calamos Convertible and Calamos Dynamic Convertible is 0.55 (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

Significant diversification

The correlation between Calamos Convertible Opportunit and DJI is 0.01 (i.e., Significant 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

0.63

RYIFX

Guggenheim Managed

Pair Corr

Moving against Calamos Fund

0.77	0P0001GXZ7	Oaktree (lux)	Pair Corr
0.69	UASBX	Short Term Bond	Pair Corr
0.68	LBHIX	Thrivent High Yield	Pair Corr
0.62	MXECX	Great-west Core	Pair Corr
0.62	JAAAX	Alternative Asset	Pair Corr
0.61	BERIX	Berwyn Income	Pair Corr
0.52	NHS	Neuberger Berman High	Pair Corr
0.48	RRQPX	American Funds Retirement	Pair Corr
0.48	PZVNX	Pzena International Value	Pair Corr
0.48	HYT	Blackrock Corporate High	Pair Corr
0.42	PWLEX	Pimco Rae Worldwide	Pair Corr
0.38	ARDC	Ares Dynamic Credit	Pair Corr
0.38	EISAX	Eagle International Stock	Pair Corr
0.35	RQEAX	Resq Dynamic Allocation	Pair Corr
0.35	DIEFX	Destinations International	Pair Corr
0.33	DHIYX	Diamond Hill Interna	Pair Corr
0.85	LEOIX	Lazard Enhanced Oppo	Pair Corr
0.84	RULFX	Rbc Ultra Short	Pair Corr
0.78	JGIAX	Jpmorgan Income	Pair Corr
0.77	CWFCX	Carillon Chartwell Short	Pair Corr
0.71	SHYPX	American Beacon Sim	Pair Corr
0.62	WARIX	Western Asset Total	Pair Corr
0.6	TRIEX	Tiaa Cref International	Pair Corr
0.58	JHYUX	Jpmorgan High Yield	Pair Corr
0.58	JAACX	Alternative Asset	Pair Corr
0.55	TIERX	Tiaa Cref International	Pair Corr
0.53	PQDMX	Prudential Qma Intl	Pair Corr
0.52	BSIIX	Blackrock Strategic	Pair Corr
0.51	PBBIX	Fundvantage Trust	Pair Corr
0.49	SEBFX	Saturna Sustainable Bond	Pair Corr
0.48	GCMDX	Goldman Sachs Local	Pair Corr

Related Correlations Analysis

	CCD	CHW	CSQ	CPZ	CHY	EVT	CBH	CGO	DTF	GGZ
CCD		-0.05	0.39	0.19	-0.12	-0.22	0.0	-0.11	0.0	-0.4	CCD
CHW	-0.05		0.7	0.03	0.01	0.68	0.0	0.69	0.42	0.86	CHW
CSQ	0.39	0.7		0.45	-0.31	0.68	0.0	0.17	0.46	0.5	CSQ
CPZ	0.19	0.03	0.45		-0.81	0.33	0.0	-0.42	0.54	0.02	CPZ
CHY	-0.12	0.01	-0.31	-0.81		-0.19	0.0	0.48	-0.38	0.0	CHY
EVT	-0.22	0.68	0.68	0.33	-0.19		0.0	0.18	0.39	0.76	EVT
CBH	0.0	0.0	0.0	0.0	0.0	0.0		0.0	0.0	0.0	CBH
CGO	-0.11	0.69	0.17	-0.42	0.48	0.18	0.0		0.08	0.64	CGO
DTF	0.0	0.42	0.46	0.54	-0.38	0.39	0.0	0.08		0.38	DTF
GGZ	-0.4	0.86	0.5	0.02	0.0	0.76	0.0	0.64	0.38		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

GGZ	+ 0.86	CHW
GGZ	+ 0.76	EVT
CSQ	+ 0.7	CHW
CGO	+ 0.69	CHW
EVT	+ 0.68	CHW
EVT	+ 0.68	CSQ

High negative correlations

CHY	- 0.81	CPZ
CGO	- 0.42	CPZ
GGZ	- 0.4	CCD
DTF	- 0.38	CHY
CHY	- 0.31	CSQ
EVT	- 0.22	CCD

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	0.65	(0.03)	0.00	(5.23)	0.00	0.00	1.48	(1.56)	4.61
CHW	0.63	(0.03)	0.00	(0.11)	0.00	0.00	1.30	(1.30)	3.75
CSQ	0.66	(0.03)	0.00	(0.07)	0.00	0.00	1.32	(1.53)	3.87
CPZ	0.55	0.02	0.04	0.19	0.56	(0.68)	1.42	(1.10)	3.42
CHY	0.71	(0.19)	0.00	1.05	0.00	0.00	1.62	(1.82)	3.88
EVT	0.46	(0.10)	0.00	(0.37)	0.00	0.00	1.03	(1.12)	3.11
CBH	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00
CGO	0.62	(0.07)	0.00	0.45	0.00	0.00	1.31	(1.61)	3.77
DTF	0.31	0.00	0.04	0.00	0.46	(0.31)	0.72	(0.62)	2.06
GGZ	0.65	(0.06)	0.00	(0.10)	0.00	0.00	1.47	(1.54)	3.57

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