Calamos Global Correlations
| CXGCX Fund | USD 12.73 0.09 0.71% |
The current 90-days correlation between Calamos Global Vertible and Ab Impact Municipal is -0.05 (i.e., Good diversification). The correlation of Calamos Global 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 Global Correlation With Market
Poor diversification
The correlation between Calamos Global Vertible and DJI is 0.67 (i.e., Poor diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Calamos Global Vertible and DJI in the same portfolio, assuming nothing else is changed.
Calamos |
Moving together with Calamos Mutual Fund
| 0.84 | CVSIX | Calamos Market Neutral | PairCorr |
| 0.71 | CVSCX | Calamos Market Neutral | PairCorr |
| 0.71 | CVSOX | Calamos Market Neutral | PairCorr |
| 0.73 | CHYDX | Calamos High Income | PairCorr |
| 0.82 | CIGRX | Calamos International | PairCorr |
| 0.82 | CIGOX | Calamos International | PairCorr |
| 0.86 | CIGIX | Calamos International | PairCorr |
| 0.82 | CIGCX | Calamos International | PairCorr |
| 0.74 | CIHYX | Calamos High Income | PairCorr |
| 0.83 | CMNIX | Calamos Market Neutral | PairCorr |
Related Correlations Analysis
| 0.97 | 0.88 | 0.9 | 0.87 | 0.86 | ABIMX | ||
| 0.97 | 0.93 | 0.94 | 0.92 | 0.92 | PRFHX | ||
| 0.88 | 0.93 | 0.97 | 0.98 | 0.98 | BMBSX | ||
| 0.9 | 0.94 | 0.97 | 0.98 | 0.95 | PATFX | ||
| 0.87 | 0.92 | 0.98 | 0.98 | 0.95 | SNCAX | ||
| 0.86 | 0.92 | 0.98 | 0.95 | 0.95 | LTXFX | ||
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Risk-Adjusted Indicators
There is a big difference between Calamos Mutual Fund performing well and Calamos Global 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 Global'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 | ||
|---|---|---|---|---|---|---|---|---|---|---|
| ABIMX | 0.23 | (0.02) | 0.00 | 0.57 | 0.00 | 0.51 | 1.44 | |||
| PRFHX | 0.19 | (0.02) | 0.00 | 1.35 | 0.00 | 0.37 | 1.27 | |||
| BMBSX | 0.10 | (0.01) | (0.05) | (0.46) | 0.15 | 0.18 | 0.71 | |||
| PATFX | 0.19 | (0.02) | 0.00 | (0.87) | 0.00 | 0.36 | 1.26 | |||
| SNCAX | 0.12 | (0.01) | (0.06) | (0.49) | 0.17 | 0.29 | 0.73 | |||
| LTXFX | 0.10 | 0.00 | (0.03) | (0.43) | 0.12 | 0.26 | 0.65 |