Calamos SAMPP Expected Short fall
| CPSJ ETF | | | 27.45 -0.03 -0.11% |
Expected shortfall (or ES) is a risk measure that evaluates the market risk of an equity instrument. It is an alternative to value at risk that is more sensitive to the shape of the loss distribution in the tail of the distribution. The expected shortfall at a particular level is the expected return on the portfolio in the worst percent of the cases. Expected shortfall is also called conditional value at risk (CVaR), average value at risk (AVaR), and expected tail loss (ETL). Below is Calamos SAMPP's current Expected Short fall with peer comparisons and related risk metrics.
Current Expected Short fall Value
Calamos SAMPP's Expected Short fall of
-0.18 reflects its current reading on this measure. This reflects Calamos SAMPP's positioning relative to its own recent range within ETF.
Expected Shortfall | = | Conditional VAR |
| = | -0.18 | |
Expected Short fall Peers Comparison
Calamos SAMPP falls above the -0.43 peer average for Expected Short fall. leads at 0.0 while SGI Enhanced Nasdaq 100 registers the lowest at -1.1008.
Expected Short fall Relative To Other Indicators
The chart below plots Expected Short fall against Maximum Drawdown for Calamos SAMPP and its peers. Each point represents one equity — position along the horizontal axis shows Expected Short fall 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.
Compare Calamos SAMPP to PeersMethodology, Assumptions & Data Sources
Calamos SAMPP's Expected Short fall currently stands at -0.18. Calamos SAMPP's Expected Short fall is computed from historical closing prices over the selected time horizon, applying the indicator's defined mathematical transformation to raw price data. Inputs are drawn from end-of-day closing prices reported by supported exchanges, adjusted for splits and dividends where applicable. Results are based on historical returns and do not predict future performance. This indicator is provided for informational purposes.
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