Calamos Market Correlations

CVSCX Fund

USD 15.42 0.04 0.26%

The current 90-days correlation between Calamos Market Neutral and Ivy Natural Resources is 0.48 (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

Poor diversification

The correlation between Calamos Market Neutral and DJI is 0.65 (i.e., Poor 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

0.9	CVSIX	Calamos Market Neutral	Pair Corr
0.99	CVSOX	Calamos Market Neutral	Pair Corr
0.82	CXGCX	Calamos Global Vertible	Pair Corr
0.9	CHYDX	Calamos High Income	Pair Corr
0.89	CIHYX	Calamos High Income	Pair Corr
0.99	CMNIX	Calamos Market Neutral	Pair Corr
0.72	CMRCX	Columbia Marsico Growth	Pair Corr
0.76	CMRAX	Columbia Large Cap	Pair Corr
0.76	CMRGX	Calamos Investment Trust	Pair Corr

Moving against Calamos Mutual Fund

0.52	CVGCX	Calamos Growth	Pair Corr
0.41	CVGRX	Calamos Growth	Pair Corr
0.34	CVLCX	Calamos Global Growth	Pair Corr
0.32	CVACX	Calamos Opportunistic	Pair Corr
0.4	CGEOX	Calamos Global Equity	Pair Corr
0.4	CIGEX	Calamos Global Equity	Pair Corr
0.37	CGRIX	Calamos Growth	Pair Corr
0.48	CAGEX	Calamos Global Equity	Pair Corr

Related Correlations Analysis

	IGNAX	XGNTX	TREIX	TMLAX	FRNRX	IEFCX	FIKAX	ENPSX
IGNAX		0.32	-0.02	0.83	0.88	0.8	0.94	0.78	IGNAX
XGNTX	0.32		0.86	0.56	0.61	0.68	0.4	0.63	XGNTX
TREIX	-0.02	0.86		0.39	0.37	0.49	0.14	0.44	TREIX
TMLAX	0.83	0.56	0.39		0.93	0.92	0.91	0.92	TMLAX
FRNRX	0.88	0.61	0.37	0.93		0.98	0.96	0.97	FRNRX
IEFCX	0.8	0.68	0.49	0.92	0.98		0.92	0.98	IEFCX
FIKAX	0.94	0.4	0.14	0.91	0.96	0.92		0.92	FIKAX
ENPSX	0.78	0.63	0.44	0.92	0.97	0.98	0.92		ENPSX
	IGNAX	XGNTX	TREIX	TMLAX	FRNRX	IEFCX	FIKAX	ENPSX

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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

IEFCX	+ 0.98	FRNRX
ENPSX	+ 0.98	IEFCX
ENPSX	+ 0.97	FRNRX
FIKAX	+ 0.96	FRNRX
FIKAX	+ 0.94	IGNAX
FRNRX	+ 0.93	TMLAX

High negative correlations

TREIX

- 0.02

IGNAX

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
IGNAX	0.96	0.02	0.02	0.00	1.32	(1.00)	1.67	(2.05)	5.39
XGNTX	0.56	0.08	0.13	2.80	0.75	(0.60)	1.26	(1.07)	3.07
TREIX	0.07	0.00	0.28	0.00	0.00	(0.13)	0.20	(0.10)	0.60
TMLAX	1.04	0.12	0.09	0.15	1.31	(1.11)	1.88	(2.24)	6.23
FRNRX	0.85	0.10	0.09	0.12	1.16	(0.91)	1.72	(1.97)	4.96
IEFCX	0.85	0.12	0.10	0.19	1.19	(0.80)	1.54	(2.18)	5.65
FIKAX	1.01	0.10	0.07	0.12	1.52	(0.97)	1.80	(2.57)	6.59
ENPSX	1.49	0.19	0.08	0.19	2.12	(1.39)	3.17	(3.59)	8.59

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