Calamos Strategic Correlations

CSQ Fund

USD 16.59 0.02 0.12%

The current 90-days correlation between Calamos Strategic Total and Calamos LongShort Equity is 0.2 (i.e., Modest diversification). The correlation of Calamos Strategic 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 Strategic Correlation With Market

Poor diversification

The correlation between Calamos Strategic Total and DJI is 0.69 (i.e., Poor diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Calamos Strategic 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 Strategic 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 state.

Moving together with Calamos Fund

0.93	VSTSX	Vanguard Total Stock	Pair Corr
0.99	VSMPX	Vanguard Total Stock	Pair Corr
0.99	VITSX	Vanguard Total Stock	Pair Corr
0.98	VFFSX	Vanguard 500 Index	Pair Corr
0.91	VFIAX	Vanguard 500 Index	Pair Corr
0.97	VINIX	Vanguard Institutional	Pair Corr
0.93	VTSAX	Vanguard Total Stock	Pair Corr

Moving against Calamos Fund

0.98	RYUHX	Inverse Sp 500	Pair Corr
0.59	WATCX	Western Asset Interm	Pair Corr
0.59	ACCSX	Access Capital Munity	Pair Corr
0.56	GIGGX	Deutsche Gnma	Pair Corr
0.45	REMVX	Rbc Emerging Markets	Pair Corr
0.41	CCLFX	Cliffwater Corporate	Pair Corr
0.4	VMSAX	Vanguard Multi Sector	Pair Corr
0.35	VTISX	Vanguard Total Inter	Pair Corr
0.35	VTSNX	Vanguard Total Inter	Pair Corr
0.35	VTPSX	Vanguard Total Inter	Pair Corr
0.64	ASBFX	Short Term Bond	Pair Corr
0.64	SNGYX	Sit Government Securities	Pair Corr
0.6	FLRRX	Franklin Low Duration	Pair Corr
0.59	HIMZX	Virtus Low Duration	Pair Corr
0.56	NWJJX	Nationwide Highmark Bond	Pair Corr
0.54	NECRX	Loomis Sayles E	Pair Corr
0.53	FXIDX	Fixed Income Shares	Pair Corr
0.49	PDINX	Putnam Diversified Income	Pair Corr
0.47	UTDIX	My529 International Value	Pair Corr
0.43	PUGCX	Putnam Global Equity	Pair Corr

Related Correlations Analysis

	CHI	CCD	CHW	CPZ	CHY	ETG	HTD	ETO	ETV
CHI		0.84	0.47	-0.74	0.97	-0.24	-0.7	0.12	0.64	CHI
CCD	0.84		0.68	-0.45	0.74	0.1	-0.37	0.41	0.87	CCD
CHW	0.47	0.68		-0.13	0.39	0.66	0.19	0.83	0.81	CHW
CPZ	-0.74	-0.45	-0.13		-0.81	0.54	0.71	0.27	-0.24	CPZ
CHY	0.97	0.74	0.39	-0.81		-0.36	-0.74	-0.01	0.54	CHY
ETG	-0.24	0.1	0.66	0.54	-0.36		0.74	0.88	0.42	ETG
HTD	-0.7	-0.37	0.19	0.71	-0.74	0.74		0.46	-0.07	HTD
ETO	0.12	0.41	0.83	0.27	-0.01	0.88	0.46		0.68	ETO
ETV	0.64	0.87	0.81	-0.24	0.54	0.42	-0.07	0.68		ETV
	CHI	CCD	CHW	CPZ	CHY	ETG	HTD	ETO	ETV

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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

CHY	+ 0.97	CHI
ETO	+ 0.88	ETG
ETV	+ 0.87	CCD
CCD	+ 0.84	CHI
ETO	+ 0.83	CHW
ETV	+ 0.81	CHW

High negative correlations

CHY	- 0.81	CPZ
HTD	- 0.74	CHY
CPZ	- 0.74	CHI
HTD	- 0.7	CHI
CPZ	- 0.45	CCD
HTD	- 0.37	CCD

Risk-Adjusted Indicators

There is a big difference between Calamos Fund performing well and Calamos Strategic 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 Strategic'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	0.77	(0.21)	0.00	(0.64)	0.00	0.00	1.79	(1.92)	4.88
CCD	0.78	(0.07)	0.00	(0.24)	0.00	0.00	1.47	(1.67)	7.13
CHW	0.73	(0.03)	0.00	(0.13)	0.00	0.00	1.38	(1.32)	4.80
CPZ	0.56	0.08	0.24	0.95	0.49	(0.69)	1.13	(1.03)	3.45
CHY	0.75	(0.19)	0.00	(0.58)	0.00	0.00	1.32	(1.83)	3.76
ETG	0.76	0.04	0.00	(0.01)	0.00	0.00	1.41	(1.55)	4.29
HTD	0.73	0.10	0.15	0.16	0.84	(0.83)	1.68	(1.46)	3.71
ETO	0.61	0.01	0.00	(0.06)	0.00	0.00	1.37	(1.32)	3.23
ETV	0.70	(0.05)	0.00	(0.16)	0.00	0.00	1.50	(1.59)	3.67

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