Calamos Convertible Opportunities Fund Volatility
| CHI Fund | USD 12.48 -0.13 -1.03% |
Sharpe Ratio = 0.1094
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Calamos Convertible Opportunities's financial profile includes Market Risk Adjusted Performance at 0.2%, Risk close to 1.28, and Total Risk Alpha close to 0.17. At roughly 8% of its observed historical range, the fund is trading within its prior trend boundaries.
Key indicators related to Calamos Convertible's volatility include:90 Days Market Risk | Chance Of Distress | 90 Days Economic Sensitivity |
Key risk metrics for Calamos Convertible (3 Months):
Beta 0.85 | Alpha 0.16 | Risk 1.28 | Sharpe Ratio 0.11 | Expected Return 0.14 |
Assets With Similar Volatility
| 0.97 | CHY | Calamos Convertible And | PairCorr |
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| 0.84 | QNTAX | Quantex Fund Adviser | PairCorr |
| 0.93 | VFFVX | Vanguard Target Retirement | PairCorr |
| 0.9 | VTTVX | Vanguard Target Retirement | PairCorr |
| 0.79 | SBEMX | Segall Bryant Hamill | PairCorr |
| 0.86 | ITRIX | Vy T Rowe | PairCorr |
| 0.85 | GGFRX | Nationwide Growth Fund | PairCorr |
| 0.85 | GGEZX | Growth Equity Investor | PairCorr |
| 0.9 | FFOQX | Fidelity Advisor Technology | PairCorr |
| 0.86 | IRCPX | Voya Retirement Servative | PairCorr |
| 0.84 | FLCGX | Quantex Fund Retail | PairCorr |
| 0.92 | FSWOX | Fidelity Aberdeen Street | PairCorr |
| 0.93 | TVIIX | TIAA Cref Lifecycle Index | PairCorr |
| 0.77 | QCILIX | Cref Inflation Linked Bond | PairCorr |
| 0.9 | BIAGX | Brown Advisory Growth | PairCorr |
| 0.67 | PEXTX | Putnam Tax Exempt | PairCorr |
| 0.87 | VBAIX | Vanguard Balanced Index | PairCorr |
| 0.86 | SCNUX | Invesco Low Volatility | PairCorr |
Sensitivity To Market
Calamos Convertible Opportunities beta of 0.85 quantifies how much of its total volatility (1.28%) is attributable to market-wide factors versus idiosyncratic drivers. Calamos Convertible Opportunities return dispersion over the lookback window shows standard deviation near 1.25% and semi-deviation near 1.11%, providing a baseline for comparison across peer instruments. A fund’s downside behavior depends on what it holds and how correlated those holdings are in stressed markets. Funds with more equity exposure typically show higher volatility than more bond-heavy funds.
3 Months Beta |Calamos Convertible Demand TrendCurrent 90-day Calamos Convertible correlation with market (Dow Jones Industrial)Downside Risk
Calamos daily return dispersion, captured by standard deviation, sets the baseline volatility reading for this instrument. High standard deviation indicates a volatile instrument; low standard deviation indicates a more stable one. Shifting the lookback window for Calamos reveals whether current dispersion is consistent with its longer-term pattern.
Standard Deviation | 1.28 |
An important distinction for Calamos Convertible is between total volatility and downside-only risk. Downside deviation and semi-deviation isolate the loss risk in Calamos Convertible's daily returns from favorable moves. Total dispersion for Calamos Convertible captures both favorable and adverse price swings. Calamos Convertible Opportunities's financial profile includes Downside Deviation at 1.23, Downside Variance close to 1.51, and a Maximum Drawdown of 6.38.
Fund Volatility Analysis
Tracking Calamos Convertible volatility quantifies the degree of price uncertainty over a given period. Highly volatile funds like Calamos Convertible tend to experience wider price swings in both directions. Periods of high volatility for Calamos Convertible present both elevated risk and wider price ranges for traders.
Transformation |
This analysis covers sixty-one data points across the selected time horizon. The Average Price transformation calculates the mean of Calamos Convertible's open, high, low, and close for each trading period. By incorporating all four price components equally, it provides a balanced representation of each period's trading activity. Compared to using the closing price alone, the average price reduces the influence of end-of-day positioning and can serve as a smoother input for other technical indicators.
Projected Return Density Against Market
Over a 90-day investment horizon, Calamos Convertible has a beta of 0.8512 suggesting Calamos Convertible Opportunities market returns are responsive to returns on the market. As the market goes up or down, Calamos Convertible tends to follow.Like most traded instruments, Calamos Convertible reflects both market risk and company or sector-specific developments. Diversifying across uncorrelated assets may reduce specific volatility, but broader fund market fluctuations remain influential. Calamos Convertible Opportunities's financial profile includes Downside Deviation at 1.23, Mean Deviation close to 0.90, and Semi Deviation at 1.11.
Predicted Return Distribution |
| Density |
Fund Risk Measures
Over a 90-day investment horizon, the coefficient of variation of Calamos Convertible is 914.49. The daily returns are distributed with a variance of 1.64 and standard deviation of 1.28. The mean deviation of Calamos Convertible Opportunities is currently at 0.93. For similar time horizon, the selected benchmark (Dow Jones Industrial) has volatility of 0.9
α | Alpha over Dow Jones | 0.16 | |
β | Beta against Dow Jones | 0.85 | |
σ | Overall volatility | 1.28 | |
Ir | Information ratio | 0.13 |
Fund Return Volatility
Calamos Convertible daily volatility tracks how widely fund returns have moved around the mean across the selected time frame. The fund reflects 1.2807% volatility on return distribution over a 90-day horizon. On the other hand, Dow Jones Industrial reported 0.9156% volatility on return distribution over a 90-day investment horizon. Performance |
| Timeline |
Related Correlations Analysis
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Risk-Adjusted Indicators
Return momentum in Calamos Fund is more useful when tested against peer-relative fundamentals and risk. Risk-adjusted metrics help compare Calamos Convertible's efficiency and downside exposure against peers on a like-for-like basis. These indicators are quantitative in nature and measure volatility and risk-adjusted expected returns across different positions.| Mean Deviation | Jensen Alpha | Sortino Ratio | Potential Upside | Value @Risk | Drawdown | ||
|---|---|---|---|---|---|---|---|
| CHY | 0.95 | 0.15 | 0.11 | 2.20 | 5.94 | ||
| NRK | 0.50 | 0.06 | 0.10 | 0.98 | 3.51 | ||
| PCN | 0.54 | -0.12 | 0.00 | 0.99 | 4.89 | ||
| PHK | 0.76 | -0.11 | 0.00 | 1.50 | 5.96 | ||
| EOI | 0.80 | -0.04 | 0.00 | 1.57 | 5.39 | ||
| AWF | 0.61 | -0.06 | 0.00 | 1.35 | 5.03 | ||
| HTD | 0.68 | 0.04 | 0.05 | 1.28 | 4.60 | ||
| NQWFX | 0.21 | 0.01 | 0.06 | 0.40 | 1.10 | ||
| CCD | 1.01 | 0.17 | 0.12 | 2.54 | 6.50 | ||
| MXAPX | 0.71 | 0.05 | 0.05 | 1.54 | 4.05 |
Risk Metrics, Assumptions & Methodology
Volatility regime for Calamos Convertible evaluates whether NAV variability is in a calm, stressed, or transitional phase. Compression regimes can persist, but breakouts from low volatility tend to produce outsized moves.
Calamos Convertible Opportunities analytics rely on fund disclosures and market reference feeds, with quality checks and normalization applied. Volatility and downside metrics are estimated from historical return dispersion.
Editorial review and methodology oversight provided by: Gabriel Shpitalnik, Member of Macroaxis Editorial Board
Volatility Profile Summary
Recent data suggests that Calamos Convertible Opportunities is more volatile than Dow Jones Industrial by approximately 1.39x over the selected horizon. This differential reflects the relative dispersion of returns and frames how the asset responds to broader market conditions. Observed price behavior indicates modest directional movement within the current volatility regime. Across the current 90-day horizon, that places the security below 11% of the broader equity and portfolio universe on a pure volatility basis. This positioning reflects relative dispersion compared to peers rather than extreme instability.Calamos Convertible Opportunities exhibits characteristics that tend to dampen sensitivity to smaller market fluctuations within the current volatility regime. This directional read frames the latest price swing through a simple momentum and follow-through lens. It highlights whether the move looks ordinary, stressed, or unusually speculative for the instrument. a somewhat bearish sentiment with potential for near-term correction. Return distributions derived from historical modeling outline a range of potential outcomes over the selected 90-day horizon. View Calamos Convertible probability analysis.
Poor diversification
Across the chosen horizon, Calamos Convertible and Dow Jones show a correlation of 0.75 and fall into the Poor diversification bucket. In portfolio terms, the overlap shows how much shared movement remains after combining both positions.
Additional Risk Indicators
Risk analysis around Calamos Convertible Opportunities gains depth when secondary indicators confirm, refine, or challenge the basic volatility picture. This is most informative when assessing whether the current opportunity is being compensated with reasonable risk.
| Risk Adjusted Performance | 0.1179 | |||
| Market Risk Adjusted Performance | 0.1858 | |||
| Mean Deviation | 0.9023 | |||
| Semi Deviation | 1.11 | |||
| Downside Deviation | 1.23 | |||
| Coefficient Of Variation | 784.31 | |||
| Standard Deviation | 1.25 |
Calamos Convertible Suggested Diversification Pairs
A paired position built around Calamos Convertible Opportunities reduces directional market exposure while expressing a relative-value view. Pair trading is less about prediction in isolation and more about identifying relative mispricing between related positions.
Pair strategies reduce risk, but not all risk is diversifiable through pairing. Market-level risk for Calamos Convertible persists even in a well-constructed pair. The benefit is in offsetting Calamos Convertible's company-specific risk, which can be meaningfully reduced by selecting a second position that moves independently of Calamos Convertible Opportunities.