Calamos Convertible Treynor Ratio
| CHI Fund | | | USD 12.48 -0.13 -1.03% |
The Treynor Ratio measures excess return per unit of systematic risk (beta) rather than total risk. It is calculated as (Portfolio Return - Risk-Free Rate) / Beta, isolating how well the asset compensates investors for market exposure that cannot be diversified away. Below is Calamos Convertible's current Treynor Ratio with peer comparisons and related risk metrics.
Current Treynor Ratio Value
A Treynor Ratio of 0.1758 for Calamos Convertible signals positive return per unit of systematic risk. Calamos Convertible has been compensated for its market exposure, though the margin is modest.
Treynor Ratio | = | ER[a] - RFRBETA |
| = | 0.1758 | |
| ER[a] | = | Expected return on investing in Calamos Convertible |
| BETA | = | Beta coefficient between Calamos Convertible and the market |
| RFR | = | Risk Free Rate of return. Typically T-Bill Rate |
Treynor Ratio Peers Comparison
The peer group averages 0.0 for Treynor Ratio, with Calamos Convertible at 0.1758 falling above that level. Readings span -0.2368 (PIMCO Corporate Income) to 0.1604 (Calamos Convertible And). Calamos Convertible has earned more return per unit of systematic risk than the peer average.
Treynor Ratio Relative To Other Indicators
The chart below plots Treynor Ratio against Maximum Drawdown for Calamos Convertible and its peers. Each point represents one equity — position along the horizontal axis shows Treynor Ratio while the vertical axis shows Maximum Drawdown. Equities that cluster in different quadrants carry distinct risk-return profiles. Use the dropdowns to swap in other indicators for either axis.
At
0.18 for Treynor Ratio and
6.38 for Maximum Drawdown, Calamos Convertible's cross-indicator ratio sits almost
36.31 . This indicates Maximum Drawdown substantially exceeds Treynor Ratio for Calamos Convertible.
Methodology, Assumptions & Data Sources
Calamos Convertible has a current Treynor Ratio reading of 0.1758. The Treynor Ratio for Calamos Convertible applies a standardized calculation to daily closing prices and, where applicable, volume data across the selected period. Data sources include daily closing prices from supported exchanges, with standard corporate action adjustments applied. The output reflects the selected calculation window — changing the horizon will produce different readings. This fund metric is provided for analytical reference.
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