Calamos Strategic Correlations

CSQ Fund

USD 19.16 0.40 2.13%

The current 90-days correlation between Calamos Strategic Total and BlackRock Credit Allocation is 0.41 (i.e., Very weak diversification). The correlation of Calamos Strategic 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 Strategic Correlation With Market

Very poor diversification

The correlation between Calamos Strategic Total and DJI is 0.89 (i.e., Very poor diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Calamos Strategic Total 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 Strategic Total. 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 together with Calamos Fund

0.79	CCD	Calamos Dynamic Conv	Pair Corr
0.84	LAGIX	Ladenburg Aggressive	Pair Corr
0.84	VGIAX	Vanguard Growth And	Pair Corr
0.66	EEMPX	Mfs Emerging Markets	Pair Corr
0.83	FTCWX	Fidelity Asset Manager	Pair Corr
0.79	USWGX	World Growth	Pair Corr
0.9	FAITX	American Funds 2050	Pair Corr
0.78	FCCTX	American Funds 2020	Pair Corr
0.85	TRRMX	T Rowe Price	Pair Corr
0.82	MAGMX	Mfs Growth Allocation	Pair Corr
0.62	AIDYX	Diversified Municipal	Pair Corr
0.72	EKWYX	Wells Fargo Advantage	Pair Corr
0.9	AAOTX	American Funds 2065	Pair Corr
0.67	HLDRX	Hartford Emerging	Pair Corr
0.62	PCRIX	Commodityrealreturn	Pair Corr
0.84	VHYLX	Valic Company I	Pair Corr
0.77	GACIX	Gabelli Small	Pair Corr
0.61	JAFLX	Flexible Bond Portfolio	Pair Corr
0.75	AWTAX	Allianzgi Global Water	Pair Corr
0.87	JVTAX	Janus Venture	Pair Corr
0.85	JSIZX	Jpmorgan Smartretirement	Pair Corr
0.94	GWPFX	American Funds Growth	Pair Corr
0.68	ACCWX	Invesco Porate Bond	Pair Corr
0.86	LINIX	Blackrock Lifepath Idx	Pair Corr
0.81	SZCCX	Deutsche Small Cap	Pair Corr
0.68	ASDAX	Aamhimco Short Duration	Pair Corr
0.7	TEOJX	Transamerica Emerging	Pair Corr
0.84	VQNPX	Vanguard Growth And	Pair Corr
0.88	MSSCX	Amg Frontier Small	Pair Corr
0.77	AABTX	American Funds 2015	Pair Corr
0.81	SNWCX	Snow Capital Small	Pair Corr

Moving against Calamos Fund

0.42	CUBA	Herzfeld Caribbean Basin Symbol Change	Pair Corr
0.4	HGLB	Highland Global Allo	Pair Corr

Related Correlations Analysis

	BTZ	FFC	PML	WHGSX	FPF	BAEIX	BEGIX	UOPIX	HNTVX	OAKWX
BTZ		0.06	0.29	-0.42	-0.13	-0.4	-0.4	-0.18	-0.39	-0.47	BTZ
FFC	0.06		0.16	0.66	0.8	0.53	0.53	0.55	0.69	0.63	FFC
PML	0.29	0.16		-0.36	0.18	-0.5	-0.5	-0.34	-0.3	-0.35	PML
WHGSX	-0.42	0.66	-0.36		0.75	0.92	0.92	0.8	0.97	0.96	WHGSX
FPF	-0.13	0.8	0.18	0.75		0.62	0.62	0.76	0.82	0.74	FPF
BAEIX	-0.4	0.53	-0.5	0.92	0.62		1.0	0.78	0.9	0.91	BAEIX
BEGIX	-0.4	0.53	-0.5	0.92	0.62	1.0		0.78	0.9	0.91	BEGIX
UOPIX	-0.18	0.55	-0.34	0.8	0.76	0.78	0.78		0.9	0.83	UOPIX
HNTVX	-0.39	0.69	-0.3	0.97	0.82	0.9	0.9	0.9		0.96	HNTVX
OAKWX	-0.47	0.63	-0.35	0.96	0.74	0.91	0.91	0.83	0.96		OAKWX
	BTZ	FFC	PML	WHGSX	FPF	BAEIX	BEGIX	UOPIX	HNTVX	OAKWX

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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

BEGIX	+ 1.0	BAEIX
HNTVX	+ 0.97	WHGSX
OAKWX	+ 0.96	WHGSX
OAKWX	+ 0.96	HNTVX
BAEIX	+ 0.92	WHGSX
BEGIX	+ 0.92	WHGSX

High negative correlations

BEGIX	- 0.5	PML
BAEIX	- 0.5	PML
OAKWX	- 0.47	BTZ
WHGSX	- 0.42	BTZ
BEGIX	- 0.4	BTZ
BAEIX	- 0.4	BTZ

Risk-Adjusted Indicators

There is a big difference between Calamos Fund performing well and Calamos Strategic 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 Strategic'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
BTZ	0.31	(0.05)	0.00	(0.23)	0.00	0.00	0.57	(0.65)	2.25
FFC	0.34	0.00	(0.15)	0.09	0.37	(0.41)	0.75	(0.79)	2.00
PML	0.37	(0.02)	0.00	(0.19)	0.00	0.00	0.79	(0.64)	2.22
WHGSX	0.88	0.19	0.22	0.27	0.54	(1.16)	2.76	(1.33)	6.30
FPF	0.28	0.00	(0.12)	0.09	0.34	(0.31)	0.61	(0.76)	2.00
BAEIX	1.29	0.55	0.95	0.44	0.00	(1.67)	1.31	(0.99)	39.63
BEGIX	1.29	0.55	0.93	0.43	0.00	(1.63)	1.36	(1.06)	39.34
UOPIX	1.92	0.03	0.04	0.09	2.25	(2.04)	4.25	(4.11)	26.61
HNTVX	0.98	0.30	0.33	0.34	0.50	(1.17)	2.91	(1.52)	10.11
OAKWX	0.59	0.08	0.07	0.19	0.52	(0.66)	1.47	(1.13)	4.05

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