Calamos Market Correlations

CMNIX Fund

USD 15.08 0.01 0.07%

The current 90-days correlation between Calamos Market Neutral and Gmo High Yield is 0.15 (i.e., Average diversification). The correlation of Calamos Market 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 Market Correlation With Market

Modest diversification

The correlation between Calamos Market Neutral and DJI is 0.23 (i.e., Modest diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Calamos Market Neutral 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 Market Neutral. 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 gross domestic product.

Moving together with Calamos Mutual Fund

1.0	CVSIX	Calamos Market Neutral	Pair Corr
1.0	CVSCX	Calamos Market Neutral	Pair Corr
0.69	CXGCX	Calamos Global Vertible	Pair Corr
0.87	CHYDX	Calamos High Income	Pair Corr

Moving against Calamos Mutual Fund

0.73	CVGCX	Calamos Growth	Pair Corr
0.6	CVLOX	Calamos Global Growth	Pair Corr
0.59	CVACX	Calamos Opportunistic	Pair Corr
0.53	CVAAX	Calamos Opportunistic	Pair Corr
0.51	CVAIX	Calamos Opportunistic	Pair Corr
0.51	CVGRX	Calamos Growth	Pair Corr
0.45	CVTCX	Calamos Growth Income	Pair Corr
0.43	CVTRX	Calamos Growth Income	Pair Corr
0.33	CVLCX	Calamos Global Growth	Pair Corr
0.66	CGEOX	Calamos Global Equity	Pair Corr
0.59	CGCIX	Calamos Global Growth	Pair Corr
0.32	CIGEX	Calamos Global Equity	Pair Corr
0.31	CGRIX	Calamos Growth	Pair Corr
0.67	CAGEX	Calamos Global Equity	Pair Corr

Related Correlations Analysis

	GHVIX	PAXHX	PHIAX	DNHYX	SEIYX	MRHYX
GHVIX		0.94	0.98	0.98	0.94	0.96	GHVIX
PAXHX	0.94		0.91	0.92	0.92	0.96	PAXHX
PHIAX	0.98	0.91		0.97	0.95	0.95	PHIAX
DNHYX	0.98	0.92	0.97		0.97	0.96	DNHYX
SEIYX	0.94	0.92	0.95	0.97		0.93	SEIYX
MRHYX	0.96	0.96	0.95	0.96	0.93		MRHYX
	GHVIX	PAXHX	PHIAX	DNHYX	SEIYX	MRHYX

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Risk-Adjusted Indicators

There is a big difference between Calamos Mutual Fund performing well and Calamos Market 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 Market'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	Expected Shortfall	Potential Upside	Value @Risk	Maximum Drawdown
GHVIX	0.14	0.02	0.14	(1.56)	(0.17)	0.30	(0.24)	0.90
PAXHX	0.15	0.02	0.09	0.33	(0.24)	0.33	(0.33)	1.17
PHIAX	0.11	0.01	0.09	0.42	(0.15)	0.23	(0.23)	0.91
DNHYX	0.13	0.02	0.12	4.41	(0.18)	0.23	(0.23)	0.93
SEIYX	0.16	0.03	0.14	(2.14)	(0.28)	0.39	(0.20)	1.38
MRHYX	0.12	0.02	0.13	0.32	(0.16)	0.24	(0.24)	0.59

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