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.
Calamos |
Moving together with Calamos Fund
0.93 | VSTSX | Vanguard Total Stock | PairCorr |
0.99 | VSMPX | Vanguard Total Stock | PairCorr |
0.99 | VITSX | Vanguard Total Stock | PairCorr |
0.98 | VFFSX | Vanguard 500 Index | PairCorr |
0.91 | VFIAX | Vanguard 500 Index | PairCorr |
0.97 | VINIX | Vanguard Institutional | PairCorr |
0.93 | VTSAX | Vanguard Total Stock | PairCorr |
Moving against Calamos Fund
0.98 | RYUHX | Inverse Sp 500 | PairCorr |
0.59 | WATCX | Western Asset Interm | PairCorr |
0.59 | ACCSX | Access Capital Munity | PairCorr |
0.56 | GIGGX | Deutsche Gnma | PairCorr |
0.45 | REMVX | Rbc Emerging Markets | PairCorr |
0.41 | CCLFX | Cliffwater Corporate | PairCorr |
0.4 | VMSAX | Vanguard Multi Sector | PairCorr |
0.35 | VTISX | Vanguard Total Inter | PairCorr |
0.35 | VTSNX | Vanguard Total Inter | PairCorr |
0.35 | VTPSX | Vanguard Total Inter | PairCorr |
0.64 | ASBFX | Short Term Bond | PairCorr |
0.64 | SNGYX | Sit Government Securities | PairCorr |
0.6 | FLRRX | Franklin Low Duration | PairCorr |
0.59 | HIMZX | Virtus Low Duration | PairCorr |
0.56 | NWJJX | Nationwide Highmark Bond | PairCorr |
0.54 | NECRX | Loomis Sayles E | PairCorr |
0.53 | FXIDX | Fixed Income Shares | PairCorr |
0.49 | PDINX | Putnam Diversified Income | PairCorr |
0.47 | UTDIX | My529 International Value | PairCorr |
0.43 | PUGCX | Putnam Global Equity | PairCorr |
Related Correlations Analysis
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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
| High negative correlations
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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 | 1.79 | 4.88 | |||
CCD | 0.78 | (0.07) | 0.00 | (0.24) | 0.00 | 1.47 | 7.13 | |||
CHW | 0.73 | (0.03) | 0.00 | (0.13) | 0.00 | 1.38 | 4.80 | |||
CPZ | 0.56 | 0.08 | 0.24 | 0.95 | 0.49 | 1.13 | 3.45 | |||
CHY | 0.75 | (0.19) | 0.00 | (0.58) | 0.00 | 1.32 | 3.76 | |||
ETG | 0.76 | 0.04 | 0.00 | (0.01) | 0.00 | 1.41 | 4.29 | |||
HTD | 0.73 | 0.10 | 0.15 | 0.16 | 0.84 | 1.68 | 3.71 | |||
ETO | 0.61 | 0.01 | 0.00 | (0.06) | 0.00 | 1.37 | 3.23 | |||
ETV | 0.70 | (0.05) | 0.00 | (0.16) | 0.00 | 1.50 | 3.67 |