Calamos Dynamic Correlations

Funds . USA . 
Fund . Calamos Dynamic Convertible
CCD Fund  USD 24.26  0.18  0.75%   
The current 90-days correlation between Calamos Dynamic Conv and Calamos Convertible Opportunities is 0.5 (i.e., Very weak 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

Average diversification

The correlation between Calamos Dynamic Convertible and DJI is 0.12 (i.e., Average 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 main economic indicators.

Moving against Calamos Fund

  0.63NAD Nuveen Dividend AdvantagePairCorr
  0.62NVG Nuveen Amt FreePairCorr
  0.61NEA Nuveen Amt FreePairCorr
  0.4LTMIX Thornburg Limited TermPairCorr
  0.33GSWPX Goldman Sachs SmallmidPairCorr

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   
CHY
+ 0.87
CHI
GGZ
+ 0.83
CHW
EVT
+ 0.8
GGZ
CGO
+ 0.72
CHW
CBH
+ 0.65
CSQ
EVT
+ 0.6
CHW
  
High negative correlations   
CHY
- 0.67
CPZ
CGO
- 0.52
CBH
CPZ
- 0.44
CHI
CGO
- 0.42
CPZ
GGZ
- 0.3
CBH
CBH
- 0.28
CHY

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 DeviationJensen AlphaSortino RatioTreynor RatioSemi DeviationExpected ShortfallPotential UpsideValue @RiskMaximum Drawdown
CHI  0.79 (0.03) 0.00 (0.06) 0.00 
 0.00 
 1.76 
(1.73)
 4.34 
CHW  0.66 (0.06) 0.00 (0.08) 0.00 
 0.00 
 1.29 
(1.43)
 3.89 
CSQ  0.64  0.05  0.00  0.22  0.81 
(0.69)
 1.37 
(1.30)
 5.17 
CPZ  0.63  0.05 (0.04) 0.67  0.61 
(0.70)
 1.37 
(1.09)
 3.39 
CHY  0.74 (0.07) 0.00 (0.34) 0.00 
 0.00 
 1.61 
(1.59)
 4.02 
CBH  0.13  0.03 (0.26) 0.86  0.00 
(0.18)
 0.22 
(0.22)
 0.78 
CGO  0.72 (0.12) 0.00 (9.19) 0.00 
 0.00 
 1.06 
(1.67)
 4.23 
DTF  0.34  0.02 (0.14)(0.25) 0.42 
(0.42)
 0.83 
(0.71)
 2.78 
GGZ  0.68  0.01 (0.04) 0.11  0.95 
(0.69)
 1.55 
(1.42)
 6.37 
EVT  0.56  0.03 (0.06) 0.22  0.62 
(0.63)
 1.06 
(1.01)
 5.21 

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