Calamos Dynamic Correlations

CCD Fund

USD 22.92 0.07 0.31%

The current 90-days correlation between Calamos Dynamic Conv and Calamos Global Dynamic is 0.68 (i.e., Poor diversification). The correlation of Calamos Dynamic 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.

Calamos Dynamic Correlation With Market

Very poor diversification

The correlation between Calamos Dynamic Convertible and DJI is 0.85 (i.e., Very poor diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Calamos Dynamic Convertible 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 Dynamic Convertible. Also, note that the market value of any fund could be closely tied with the direction of predictive economic indicators such as signals in unemployment.

Moving together with Calamos Fund

0.71	ECLP	Eclipsys Corp	Pair Corr
0.72	NEA	Nuveen Amt Free	Pair Corr
0.68	NVG	Nuveen Amt Free	Pair Corr
0.88	FLEOX	Fidelity Advisor Lev	Pair Corr
0.77	TSHIX	Transamerica Strategic	Pair Corr
0.86	PARBX	Trowe Price Retirement	Pair Corr
0.9	CPXIX	Cohen Steers Prfrd	Pair Corr
0.7	JDMNX	Janus Enterprise	Pair Corr
0.84	FDPACX	Fdpacx Steady Growth	Pair Corr
0.71	JHQAX	Jpmorgan Hedged Equity	Pair Corr
0.94	FHSNX	Fidelity Health Savings	Pair Corr
0.93	VSMGX	Vanguard Lifestrategy	Pair Corr
0.67	TSIIX	Thornburg Strategic	Pair Corr
0.8	VSMCX	Invesco Small Cap	Pair Corr
0.79	BIAHX	Brown Advisory	Pair Corr
0.83	MLMIX	Global E Portfolio	Pair Corr
0.85	THMGX	Thornburg Investment	Pair Corr
0.68	NGDAX	Neuberger Berman Guardian	Pair Corr
0.94	APHEX	Artisan Emerging Markets	Pair Corr
0.91	ETNDX	Eventide Global Dividend	Pair Corr
0.93	NESIX	Needham Small Cap	Pair Corr
0.89	TISBX	Tiaa-cref Small-cap	Pair Corr
0.84	GCRTX	Goldman Sachs Absolute	Pair Corr
0.73	JACNX	Janus Contrarian	Pair Corr
0.73	SWANX	Schwab E Equity	Pair Corr
0.88	HRVIX	Heartland Value Plus	Pair Corr
0.68	GGOAX	Goldman Sachs Growth	Pair Corr
0.81	WHGSX	Westwood Smallcap Value	Pair Corr
0.92	GPARX	Guidepath Absolute Return	Pair Corr
0.67	PRFRX	T Rowe Price	Pair Corr
0.85	NAARX	American Funds Retirement	Pair Corr
0.81	DFARX	Dimensional 2070 Target	Pair Corr
0.89	FSCIX	Fidelity Advisor Small	Pair Corr
0.82	PYVSX	Payden Equity Income	Pair Corr
0.77	BXMDX	Blackstone Alternative	Pair Corr
0.94	GEMNX	Gmo Emerging Markets	Pair Corr

Related Correlations Analysis

	CHW	NKX	ASGI	ETJ	AAIEX	WIW	NCV	LDP	DSU	HRAAX
CHW		0.47	0.31	0.83	0.78	-0.04	0.93	0.58	0.74	0.72	CHW
NKX	0.47		-0.18	0.29	0.2	0.24	0.41	0.28	0.35	0.1	NKX
ASGI	0.31	-0.18		0.38	0.71	-0.56	0.44	-0.13	0.56	0.65	ASGI
ETJ	0.83	0.29	0.38		0.76	0.01	0.88	0.63	0.79	0.73	ETJ
AAIEX	0.78	0.2	0.71	0.76		-0.46	0.81	0.29	0.83	0.93	AAIEX
WIW	-0.04	0.24	-0.56	0.01	-0.46		-0.07	0.33	-0.3	-0.56	WIW
NCV	0.93	0.41	0.44	0.88	0.81	-0.07		0.61	0.8	0.74	NCV
LDP	0.58	0.28	-0.13	0.63	0.29	0.33	0.61		0.3	0.19	LDP
DSU	0.74	0.35	0.56	0.79	0.83	-0.3	0.8	0.3		0.83	DSU
HRAAX	0.72	0.1	0.65	0.73	0.93	-0.56	0.74	0.19	0.83		HRAAX
	CHW	NKX	ASGI	ETJ	AAIEX	WIW	NCV	LDP	DSU	HRAAX

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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

NCV	+ 0.93	CHW
HRAAX	+ 0.93	AAIEX
NCV	+ 0.88	ETJ
ETJ	+ 0.83	CHW
DSU	+ 0.83	AAIEX
HRAAX	+ 0.83	DSU

High negative correlations

HRAAX	- 0.56	WIW
WIW	- 0.56	ASGI
WIW	- 0.46	AAIEX
DSU	- 0.3	WIW
ASGI	- 0.18	NKX
LDP	- 0.13	ASGI

Risk-Adjusted Indicators

There is a big difference between Calamos Fund performing well and Calamos Dynamic 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 Dynamic'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
CHW	0.67	0.09	0.08	0.17	0.77	(0.70)	1.37	(1.48)	3.14
NKX	0.34	0.02	(0.04)	0.13	0.56	(0.33)	0.56	(0.78)	3.53
ASGI	0.73	0.15	0.10	0.44	0.94	(0.76)	1.62	(1.95)	4.76
ETJ	0.49	(0.01)	(0.05)	0.03	0.54	(0.56)	1.04	(1.15)	2.57
AAIEX	0.56	0.11	0.14	0.22	0.42	(0.68)	1.47	(0.99)	3.37
WIW	0.32	(0.04)	0.00	(0.10)	0.00	0.00	0.58	(0.80)	2.31
NCV	0.65	0.08	0.07	0.18	0.68	(0.70)	1.48	(1.31)	3.41
LDP	0.34	(0.01)	(0.10)	0.02	0.40	(0.38)	0.82	(0.68)	2.92
DSU	0.30	0.01	(0.09)	0.10	0.28	(0.41)	0.69	(0.58)	1.86
HRAAX	0.57	0.21	0.23	1.50	0.22	(0.66)	0.97	(0.94)	10.68

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