Calamos Dynamic Correlations

CCD Fund

USD 22.84 0.25 1.08%

The current 90-days correlation between Calamos Dynamic Conv and Nuveen New York is -0.03 (i.e., Good 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 0.88 (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 services.

Moving together with Calamos Fund

0.87	LSHEX	Kinetics Spin Off Steady Growth	Pair Corr
0.93	EKWDX	Wells Fargo Advantage	Pair Corr
0.91	OEPIX	Oil Equipment Services Steady Growth	Pair Corr
0.91	OEPSX	Oil Equipment Services Steady Growth	Pair Corr
0.93	FHQRX	Franklin High Income	Pair Corr
0.83	SUVAX	Prudential Qma Strategic	Pair Corr
0.92	SEPAX	Stet Pennsylvania	Pair Corr
0.85	RYJTX	Japan 2x Strategy	Pair Corr
0.94	VHCOX	Vanguard Capital Opp	Pair Corr
0.9	TITRX	Tiaa Cref Managed	Pair Corr
0.69	JATSX	Janus Global Technology	Pair Corr
0.8	RRESX	Global Real Estate	Pair Corr
0.8	LGBNX	Loomis Sayles Investment	Pair Corr
0.96	MBAPX	Praxis Genesis Balanced	Pair Corr
0.95	BACPX	Blackrock Conservative	Pair Corr
0.96	TEQAX	Touchstone Sustainability	Pair Corr
0.83	WASAX	Ivy Asset Strategy	Pair Corr
0.93	SZCIX	Deutsche Small Cap	Pair Corr
0.91	IKSTX	American Independence	Pair Corr
0.95	AEDMX	Emerging Markets	Pair Corr
0.91	CRFIX	Calvert Fund	Pair Corr
0.93	OCMGX	Ocm Mutual Fund Steady Growth	Pair Corr
0.9	UJPIX	Ultrajapan Profund	Pair Corr
0.88	APPIX	Appleseed Fund Appleseed	Pair Corr
0.86	FLXIX	Forum Funds	Pair Corr
0.88	ISGAX	Voya Solution Balanced	Pair Corr
0.8	LIGRX	Loomis Sayles Investment	Pair Corr
0.95	CDWCX	American Funds Developing	Pair Corr
0.9	RSDTX	Short Duration Bond	Pair Corr
0.88	JUSMX	Jpmorgan Small Pany	Pair Corr
0.95	FSRIX	Fidelity Advisor Str	Pair Corr
0.95	AATSX	Ancora/thelen Small-mid	Pair Corr
0.96	CWSAX	Carillon Chartwell Small	Pair Corr
0.88	DAIOX	Dunham International	Pair Corr
0.79	FAFPX	Nuveen Missouri Municipal	Pair Corr
0.76	JPDVX	Jpmorgan Diversified	Pair Corr
0.74	TSPIX	Transamerica Small Cap	Pair Corr

Moving against Calamos Fund

0.53

CISGX

Touchstone Sands Capital

Pair Corr

Related Correlations Analysis

	NAN	PFL	WAMVX	HFRO	ACV	BRW	ASG	AFB	JRI
NAN		0.37	0.18	0.71	0.25	-0.64	-0.22	0.79	-0.22	NAN
PFL	0.37		0.82	0.7	0.85	-0.56	0.5	0.67	0.27	PFL
WAMVX	0.18	0.82		0.65	0.92	-0.65	0.53	0.67	0.18	WAMVX
HFRO	0.71	0.7	0.65		0.7	-0.74	0.16	0.84	-0.06	HFRO
ACV	0.25	0.85	0.92	0.7		-0.56	0.64	0.68	0.19	ACV
BRW	-0.64	-0.56	-0.65	-0.74	-0.56		0.16	-0.82	0.38	BRW
ASG	-0.22	0.5	0.53	0.16	0.64	0.16		0.08	0.63	ASG
AFB	0.79	0.67	0.67	0.84	0.68	-0.82	0.08		-0.11	AFB
JRI	-0.22	0.27	0.18	-0.06	0.19	0.38	0.63	-0.11		JRI
	NAN	PFL	WAMVX	HFRO	ACV	BRW	ASG	AFB	JRI

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

ACV	+ 0.92	WAMVX
ACV	+ 0.85	PFL
AFB	+ 0.84	HFRO
WAMVX	+ 0.82	PFL
AFB	+ 0.79	NAN
HFRO	+ 0.71	NAN

High negative correlations

AFB	- 0.82	BRW
BRW	- 0.74	HFRO
BRW	- 0.65	WAMVX
BRW	- 0.64	NAN
BRW	- 0.56	ACV
BRW	- 0.56	PFL

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
NAN	0.26	0.02	(0.10)	0.50	0.26	(0.30)	0.53	(0.53)	1.35
PFL	0.23	0.05	(0.02)	0.44	0.09	(0.28)	0.49	(0.48)	1.49
WAMVX	1.13	0.31	0.29	0.33	0.63	(1.58)	2.60	(1.81)	15.68
HFRO	0.97	(0.06)	0.00	(0.02)	0.00	0.00	1.85	(1.97)	6.32
ACV	0.71	0.12	0.10	0.27	0.74	(0.80)	1.53	(1.22)	5.06
BRW	0.44	(0.11)	0.00	(0.35)	0.00	0.00	0.87	(1.17)	2.82
ASG	0.73	(0.04)	(0.06)	0.01	0.85	(0.79)	1.72	(1.36)	4.09
AFB	0.23	0.03	(0.11)	0.59	0.17	(0.28)	0.55	(0.46)	1.48
JRI	0.55	0.00	(0.04)	0.05	1.01	(0.59)	1.14	(1.16)	6.26

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