Calamos Market Neutral Fund Market Value
| CVSCX Fund | USD 15.30 0.01 0.07% |
| Symbol | Calamos |
Calamos Market 'What if' Analysis
In the world of financial modeling, what-if analysis is part of sensitivity analysis performed to test how changes in assumptions impact individual outputs in a model. When applied to Calamos Market's mutual fund what-if analysis refers to the analyzing how the change in your past investing horizon will affect the profitability against the current market value of Calamos Market.
| 08/29/2024 |
| 11/27/2024 |
If you would invest 0.00 in Calamos Market on August 29, 2024 and sell it all today you would earn a total of 0.00 from holding Calamos Market Neutral or generate 0.0% return on investment in Calamos Market over 90 days. Calamos Market is related to or competes with Ab Select, Barings Active, Nebraska Municipal, Astor Long/short, Federated Short-intermedia, and Transamerica Emerging. The investment seeks high current income consistent with stability of principal More
Calamos Market Upside/Downside Indicators
Understanding different market momentum indicators often help investors to time their next move. Potential upside and downside technical ratios enable traders to measure Calamos Market's mutual fund current market value against overall market sentiment and can be a good tool during both bulling and bearish trends. Here we outline some of the essential indicators to assess Calamos Market Neutral upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 0.1246 | |||
| Information Ratio | (0.98) | |||
| Maximum Drawdown | 0.5315 | |||
| Value At Risk | (0.13) | |||
| Potential Upside | 0.1965 |
Calamos Market Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Calamos Market's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Calamos Market's standard deviation. In reality, there are many statistical measures that can use Calamos Market historical prices to predict the future Calamos Market's volatility.| Risk Adjusted Performance | 0.1409 | |||
| Jensen Alpha | 0.0187 | |||
| Total Risk Alpha | 0.0014 | |||
| Sortino Ratio | (0.82) | |||
| Treynor Ratio | (2.71) |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of Calamos Market's price to converge to an average value over time is called mean reversion. However, historically, high market prices usually discourage investors that believe in mean reversion to invest, while low prices are viewed as an opportunity to buy.
Calamos Market Neutral Backtested Returns
At this stage we consider Calamos Mutual Fund to be very steady. Calamos Market Neutral secures Sharpe Ratio (or Efficiency) of 0.27, which signifies that the fund had a 0.27% return per unit of risk over the last 3 months. We have found twenty-seven technical indicators for Calamos Market Neutral, which you can use to evaluate the volatility of the entity. Please confirm Calamos Market's Risk Adjusted Performance of 0.1409, coefficient of variation of 374.59, and Mean Deviation of 0.079 to double-check if the risk estimate we provide is consistent with the expected return of 0.0279%. The fund shows a Beta (market volatility) of -0.0066, which signifies not very significant fluctuations relative to the market. As returns on the market increase, returns on owning Calamos Market are expected to decrease at a much lower rate. During the bear market, Calamos Market is likely to outperform the market.
Auto-correlation | 0.75 |
Good predictability
Calamos Market Neutral has good predictability. Overlapping area represents the amount of predictability between Calamos Market time series from 29th of August 2024 to 13th of October 2024 and 13th of October 2024 to 27th of November 2024. The more autocorrelation exist between current time interval and its lagged values, the more accurately you can make projection about the future pattern of Calamos Market Neutral price movement. The serial correlation of 0.75 indicates that around 75.0% of current Calamos Market price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.75 | |
| Spearman Rank Test | 0.85 | |
| Residual Average | 0.0 | |
| Price Variance | 0.0 |
Calamos Market Neutral lagged returns against current returns
Autocorrelation, which is Calamos Market mutual fund's lagged correlation, explains the relationship between observations of its time series of returns over different periods of time. The observations are said to be independent if autocorrelation is zero. Autocorrelation is calculated as a function of mean and variance and can have practical application in predicting Calamos Market's mutual fund expected returns. We can calculate the autocorrelation of Calamos Market returns to help us make a trade decision. For example, suppose you find that Calamos Market has exhibited high autocorrelation historically, and you observe that the mutual fund is moving up for the past few days. In that case, you can expect the price movement to match the lagging time series.
Current and Lagged Values |
| Timeline |
Calamos Market regressed lagged prices vs. current prices
Serial correlation can be approximated by using the Durbin-Watson (DW) test. The correlation can be either positive or negative. If Calamos Market mutual fund is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Calamos Market mutual fund is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Calamos Market mutual fund over time.
Current vs Lagged Prices |
| Timeline |
Calamos Market Lagged Returns
When evaluating Calamos Market's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Calamos Market mutual fund have on its future price. Calamos Market autocorrelation represents the degree of similarity between a given time horizon and a lagged version of the same horizon over the previous time interval. In other words, Calamos Market autocorrelation shows the relationship between Calamos Market mutual fund current value and its past values and can show if there is a momentum factor associated with investing in Calamos Market Neutral.
Regressed Prices |
| Timeline |
Also Currently Popular
Analyzing currently trending equities could be an opportunity to develop a better portfolio based on different market momentums that they can trigger. Utilizing the top trending stocks is also useful when creating a market-neutral strategy or pair trading technique involving a short or a long position in a currently trending equity.Other Information on Investing in Calamos Mutual Fund
Calamos Market financial ratios help investors to determine whether Calamos Mutual Fund is cheap or expensive when compared to a particular measure, such as profits or enterprise value. In other words, they help investors to determine the cost of investment in Calamos with respect to the benefits of owning Calamos Market security.
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