Calamos Global Correlations

CHW Fund

USD 6.97 0.01 0.14%

The current 90-days correlation between Calamos Global Dynamic and Calamos Convertible And is 0.57 (i.e., Very weak 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 Dynamic 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 Dynamic 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 Global Dynamic. 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

0.68	VTSMX	Vanguard Total Stock	Pair Corr
0.83	RIV	Rivernorth Opportunities	Pair Corr
0.74	XOM	Exxon Mobil Corp Aggressive Push	Pair Corr
0.76	HPQ	HP Inc	Pair Corr
0.8	GE	GE Aerospace Fiscal Year End 28th of January 2025	Pair Corr
0.62	CSCO	Cisco Systems	Pair Corr
0.61	AXP	American Express Fiscal Year End 24th of January 2025	Pair Corr
0.82	HD	Home Depot	Pair Corr
0.78	MCD	McDonalds Fiscal Year End 3rd of February 2025	Pair Corr
0.66	INTC	Intel Fiscal Year End 23rd of January 2025	Pair Corr

Moving against Calamos Fund

0.36	BA	Boeing Fiscal Year End 29th of January 2025	Pair Corr
0.36	PG	Procter Gamble	Pair Corr
0.36	MRK	Merck Company Fiscal Year End 6th of February 2025	Pair Corr

Related Correlations Analysis

	CHY	CSQ	CCD	CPZ	CHI	CBH	CGO	DTF	GGZ	EVT
CHY		0.93	0.77	0.89	0.95	0.89	0.7	0.49	0.89	0.83	CHY
CSQ	0.93		0.59	0.85	0.9	0.91	0.59	0.45	0.93	0.91	CSQ
CCD	0.77	0.59		0.7	0.69	0.5	0.78	0.26	0.64	0.5	CCD
CPZ	0.89	0.85	0.7		0.8	0.88	0.7	0.39	0.84	0.75	CPZ
CHI	0.95	0.9	0.69	0.8		0.84	0.65	0.52	0.85	0.85	CHI
CBH	0.89	0.91	0.5	0.88	0.84		0.56	0.47	0.85	0.84	CBH
CGO	0.7	0.59	0.78	0.7	0.65	0.56		0.13	0.54	0.47	CGO
DTF	0.49	0.45	0.26	0.39	0.52	0.47	0.13		0.39	0.47	DTF
GGZ	0.89	0.93	0.64	0.84	0.85	0.85	0.54	0.39		0.93	GGZ
EVT	0.83	0.91	0.5	0.75	0.85	0.84	0.47	0.47	0.93		EVT
	CHY	CSQ	CCD	CPZ	CHI	CBH	CGO	DTF	GGZ	EVT

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Risk-Adjusted Indicators

There is a big difference between Calamos Fund performing well and Calamos Global 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
CHY	0.67	0.05	0.01	0.19	0.70	(0.74)	1.76	(1.23)	4.19
CSQ	0.61	0.02	(0.01)	0.12	0.79	(0.65)	1.33	(1.55)	3.77
CCD	0.71	0.03	(0.02)	0.16	0.73	(0.83)	1.88	(1.56)	4.27
CPZ	0.49	0.02	(0.07)	0.16	0.56	(0.57)	1.13	(1.10)	3.44
CHI	0.76	0.06	0.03	0.20	0.70	(0.88)	1.82	(1.56)	3.90
CBH	0.13	0.04	(0.30)	(21.78)	0.00	(0.18)	0.22	(0.22)	0.78
CGO	0.89	0.05	(0.03)	0.37	1.23	(0.94)	1.96	(2.48)	5.91
DTF	0.23	0.01	(0.29)	(0.27)	0.24	(0.28)	0.54	(0.36)	1.96
GGZ	0.65	0.06	0.05	0.17	0.61	(0.74)	1.22	(1.26)	4.71
EVT	0.52	0.02	(0.01)	0.13	0.44	(0.59)	0.97	(0.86)	3.38

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