Calamos Long/short Correlations

CRLSX Fund

USD 10.19 0.03 0.29%

The current 90-days correlation between Calamos Long/short and Us Government Plus is -0.06 (i.e., Good diversification). The correlation of Calamos Long/short 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 Long/short Correlation With Market

Good diversification

The correlation between Calamos Longshort Fund and DJI is -0.04 (i.e., Good diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Calamos Longshort Fund 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 Longshort Fund. Also, note that the market value of any mutual fund could be closely tied with the direction of predictive economic indicators such as signals in state.

Moving together with Calamos Mutual Fund

0.82	CIGRX	Calamos International	Pair Corr
0.82	CIGOX	Calamos International	Pair Corr
0.82	CIGIX	Calamos International	Pair Corr
0.82	CIGCX	Calamos International	Pair Corr
0.84	CISOX	Calamos International	Pair Corr
0.63	CNWIX	Calamos Evolving World	Pair Corr
0.63	CNWGX	Calamos Evolving World	Pair Corr
0.64	CNWDX	Calamos Evolving World	Pair Corr

Moving against Calamos Mutual Fund

0.39	CTAGX	Calamos Timpani Smid	Pair Corr
0.37	CTASX	Calamos Timpani Small	Pair Corr

Related Correlations Analysis

	GVPIX	RYAQX	FISAX	USGFX	ICAXX	CGTCX	SMAAX	SSAGX
GVPIX		-0.97	0.31	0.98	0.0	0.98	0.78	-0.61	GVPIX
RYAQX	-0.97		-0.31	-0.96	0.0	-0.96	-0.81	0.65	RYAQX
FISAX	0.31	-0.31		0.41	0.0	0.39	0.52	0.45	FISAX
USGFX	0.98	-0.96	0.41		0.0	1.0	0.84	-0.56	USGFX
ICAXX	0.0	0.0	0.0	0.0		0.0	0.0	0.0	ICAXX
CGTCX	0.98	-0.96	0.39	1.0	0.0		0.84	-0.58	CGTCX
SMAAX	0.78	-0.81	0.52	0.84	0.0	0.84		-0.34	SMAAX
SSAGX	-0.61	0.65	0.45	-0.56	0.0	-0.58	-0.34		SSAGX
	GVPIX	RYAQX	FISAX	USGFX	ICAXX	CGTCX	SMAAX	SSAGX

Click cells to compare fundamentals

Check Volatility

Backtest Portfolio

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

CGTCX	+ 1.0	USGFX
USGFX	+ 0.98	GVPIX
CGTCX	+ 0.98	GVPIX
SMAAX	+ 0.84	USGFX
SMAAX	+ 0.84	CGTCX
SMAAX	+ 0.78	GVPIX

High negative correlations

RYAQX	- 0.97	GVPIX
CGTCX	- 0.96	RYAQX
USGFX	- 0.96	RYAQX
SMAAX	- 0.81	RYAQX
SSAGX	- 0.61	GVPIX
SSAGX	- 0.58	CGTCX

Risk-Adjusted Indicators

There is a big difference between Calamos Mutual Fund performing well and Calamos Long/short Mutual 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 Long/short'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
GVPIX	0.83	(0.04)	0.00	0.25	0.00	0.00	1.61	(1.89)	5.20
RYAQX	0.61	0.10	(0.05)	(0.81)	0.65	(0.70)	1.52	(1.27)	5.23
FISAX	0.07	0.00	(0.74)	0.24	0.00	(0.18)	0.13	(0.13)	0.80
USGFX	0.23	(0.02)	0.00	0.41	0.00	0.00	0.34	(0.42)	1.48
ICAXX	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00
CGTCX	0.23	(0.02)	0.00	0.47	0.00	0.00	0.34	(0.51)	1.49
SMAAX	0.11	(0.01)	(0.45)	(0.24)	0.19	(0.16)	0.20	(0.30)	0.99
SSAGX	0.05	0.01	(1.09)	(0.51)	0.00	(0.22)	0.10	(0.10)	0.51

Macroaxis helps investors of all levels and skills to maximize the upside of all their holdings and minimize the risk associated with market volatility, economic swings, and company-specific events. View terms and conditions

Feedback Blog

Made with optimal in San Francisco

2024 Macroaxis LLC