Calamos Market Correlations

CVSCX Fund

USD 15.35 0.01 0.07%

The current 90-days correlation between Calamos Market Neutral and Lord Abbett Diversified is 0.54 (i.e., Very weak 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 0.29 (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 main economic indicators.

Moving together with Calamos Mutual Fund

1.0	CVSIX	Calamos Market Neutral	Pair Corr
1.0	CVSOX	Calamos Market Neutral	Pair Corr
0.7	CXGCX	Calamos Global Vertible	Pair Corr
0.89	CHYDX	Calamos High Income	Pair Corr
0.89	CIHYX	Calamos High Income	Pair Corr
1.0	CMNIX	Calamos Market Neutral	Pair Corr

Moving against Calamos Mutual Fund

0.71	CVGCX	Calamos Growth	Pair Corr
0.62	CVLCX	Calamos Global Growth	Pair Corr
0.58	CVLOX	Calamos Global Growth	Pair Corr
0.57	CVACX	Calamos Opportunistic	Pair Corr
0.5	CVAAX	Calamos Opportunistic	Pair Corr
0.49	CVGRX	Calamos Growth	Pair Corr
0.48	CVAIX	Calamos Opportunistic	Pair Corr
0.43	CVTCX	Calamos Growth Income	Pair Corr
0.41	CVTRX	Calamos Growth Income	Pair Corr
0.64	CGEOX	Calamos Global Equity	Pair Corr
0.64	CIGEX	Calamos Global Equity	Pair Corr
0.57	CGCIX	Calamos Global Growth	Pair Corr
0.43	CGIIX	Calamos Growth Income	Pair Corr
0.43	CIGCX	Calamos International	Pair Corr
0.42	CGIOX	Calamos Growth And	Pair Corr
0.36	CIGRX	Calamos International	Pair Corr
0.34	CIGOX	Calamos International	Pair Corr
0.34	CIGIX	Calamos International	Pair Corr
0.65	CAGEX	Calamos Global Equity	Pair Corr

Related Correlations Analysis

	LIXRX	SRDAX	MDBSX	MBLAX	BDVFX	PRDAX
LIXRX		-0.13	0.76	0.88	0.66	0.83	LIXRX
SRDAX	-0.13		-0.14	-0.43	-0.6	-0.49	SRDAX
MDBSX	0.76	-0.14		0.67	0.78	0.54	MDBSX
MBLAX	0.88	-0.43	0.67		0.81	0.93	MBLAX
BDVFX	0.66	-0.6	0.78	0.81		0.71	BDVFX
PRDAX	0.83	-0.49	0.54	0.93	0.71		PRDAX
	LIXRX	SRDAX	MDBSX	MBLAX	BDVFX	PRDAX

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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

PRDAX	+ 0.93	MBLAX
MBLAX	+ 0.88	LIXRX
PRDAX	+ 0.83	LIXRX
BDVFX	+ 0.81	MBLAX
BDVFX	+ 0.78	MDBSX
MDBSX	+ 0.76	LIXRX

High negative correlations

BDVFX	- 0.6	SRDAX
PRDAX	- 0.49	SRDAX
MBLAX	- 0.43	SRDAX
MDBSX	- 0.14	SRDAX
SRDAX	- 0.13	LIXRX

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	Semi Deviation	Expected Shortfall	Potential Upside	Value @Risk	Maximum Drawdown
LIXRX	0.28	0.02	0.05	0.07	0.35	(0.31)	0.55	(0.49)	1.91
SRDAX	0.14	0.02	0.10	2.04	0.00	(0.19)	0.29	(0.37)	0.95
MDBSX	0.23	0.03	0.12	(0.43)	0.11	(0.32)	0.75	(0.38)	1.38
MBLAX	0.23	0.00	0.02	0.01	0.30	(0.27)	0.39	(0.39)	1.65
BDVFX	0.26	0.00	0.01	(0.02)	0.33	(0.31)	0.54	(0.54)	1.91
PRDAX	0.40	(0.02)	0.00	(0.06)	0.00	0.00	0.87	(0.77)	2.74

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