Calamos Convertible Correlations

CHI Fund

USD 11.54 0.09 0.79%

The current 90-days correlation between Calamos Convertible and Calamos Dynamic Convertible is 0.5 (i.e., Very weak diversification). The correlation of Calamos Convertible 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 Convertible Correlation With Market

Average diversification

The correlation between Calamos Convertible Opportunit and DJI is 0.17 (i.e., Average diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Calamos Convertible Opportunit 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 Convertible Opportunities. Also, note that the market value of any fund could be closely tied with the direction of predictive economic indicators such as signals in rate.

Moving together with Calamos Fund

0.69	ASG	Liberty All Star	Pair Corr
0.72	ETV	Eaton Vance Tax	Pair Corr
0.7	ETY	Eaton Vance Tax	Pair Corr
0.67	FTXNX	Fuller Thaler Behavioral	Pair Corr
0.71	ADNAX	American Beacon Ark	Pair Corr
0.62	HILFX	Hennessy Large Cap Steady Growth	Pair Corr
0.68	ADNPX	Amer Beacon Ark	Pair Corr
0.71	ADNIX	Amer Beacon Ark	Pair Corr
0.73	AIO	Virtus Allianzgi Art	Pair Corr
0.66	AAIZX	Alger Ai Enablers	Pair Corr
0.68	MSEGX	Growth Portfolio Class	Pair Corr
0.67	CTIGX	Calamos Timpani Smid	Pair Corr
0.62	FDEGX	Fidelity Growth Stra	Pair Corr

Moving against Calamos Fund

0.38	JCRAX	Alps/corecommodity	Pair Corr
0.32	VCMDX	Vanguard Commodity	Pair Corr

Related Correlations Analysis

	CCD	CHW	CSQ	CPZ	CHY	EVT	CBH	CGO	DTF	GGZ
CCD		0.08	-0.13	-0.18	0.13	-0.41	-0.05	0.24	-0.35	-0.46	CCD
CHW	0.08		0.27	-0.1	0.43	0.48	-0.46	0.81	0.21	0.7	CHW
CSQ	-0.13	0.27		0.17	0.68	0.59	0.62	-0.1	0.16	0.49	CSQ
CPZ	-0.18	-0.1	0.17		-0.35	0.18	0.27	-0.27	0.18	-0.04	CPZ
CHY	0.13	0.43	0.68	-0.35		0.46	0.24	0.27	0.11	0.52	CHY
EVT	-0.41	0.48	0.59	0.18	0.46		-0.03	0.15	0.39	0.82	EVT
CBH	-0.05	-0.46	0.62	0.27	0.24	-0.03		-0.58	0.02	-0.21	CBH
CGO	0.24	0.81	-0.1	-0.27	0.27	0.15	-0.58		0.11	0.44	CGO
DTF	-0.35	0.21	0.16	0.18	0.11	0.39	0.02	0.11		0.42	DTF
GGZ	-0.46	0.7	0.49	-0.04	0.52	0.82	-0.21	0.44	0.42		GGZ
	CCD	CHW	CSQ	CPZ	CHY	EVT	CBH	CGO	DTF	GGZ

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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

GGZ	+ 0.82	EVT
CGO	+ 0.81	CHW
GGZ	+ 0.7	CHW
CHY	+ 0.68	CSQ
CBH	+ 0.62	CSQ
EVT	+ 0.59	CSQ

High negative correlations

CGO	- 0.58	CBH
CBH	- 0.46	CHW
GGZ	- 0.46	CCD
EVT	- 0.41	CCD
CHY	- 0.35	CPZ
DTF	- 0.35	CCD

Risk-Adjusted Indicators

There is a big difference between Calamos Fund performing well and Calamos Convertible 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 Convertible'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
CCD	0.74	(0.05)	0.00	(0.29)	0.00	0.00	1.79	(1.79)	4.87
CHW	0.66	(0.08)	0.00	(0.24)	0.00	0.00	1.29	(1.55)	3.89
CSQ	0.61	0.05	0.04	0.16	0.79	(0.66)	1.37	(1.27)	5.17
CPZ	0.62	0.03	0.02	0.55	0.63	(0.70)	1.37	(1.09)	3.39
CHY	0.74	(0.04)	0.00	(0.21)	0.00	0.00	1.70	(1.54)	4.57
EVT	0.56	0.01	(0.01)	0.06	0.68	(0.62)	1.05	(1.01)	5.21
CBH	0.13	0.04	0.08	2.47	0.00	(0.18)	0.22	(0.22)	0.78
CGO	0.83	(0.08)	0.00	1.67	0.00	0.00	1.47	(2.46)	5.80
DTF	0.34	0.00	(0.04)	(0.05)	0.44	(0.44)	0.83	(0.71)	2.78
GGZ	0.66	(0.04)	0.00	(0.09)	0.00	0.00	0.97	(1.42)	6.37

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