Calamos Strategic Correlations

CSQ Fund

USD 18.14 0.09 0.50%

The current 90-days correlation between Calamos Strategic Total and Eaton Vance Tax is 0.84 (i.e., Very poor 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

Poor diversification

The correlation between Calamos Strategic Total and DJI is 0.7 (i.e., 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 state.

Moving together with Calamos Fund

0.71	EXG	Eaton Vance Tax	Pair Corr
0.77	GAB	Gabelli Equity Trust	Pair Corr
0.98	USA	Liberty All Star	Pair Corr
0.99	MLMAX	Global E Portfolio	Pair Corr
0.94	SAGAX	Ridgeworth Innovative	Pair Corr
0.94	AMGIX	Income Growth	Pair Corr
0.62	LIGYX	Loomis Sayles Intern	Pair Corr
0.99	AMEIX	Equity Growth	Pair Corr
0.91	GAPIX	Goldman Sachs Equity	Pair Corr
0.81	HPQ	HP Inc	Pair Corr
0.8	TRV	The Travelers Companies Fiscal Year End 17th of January 2025	Pair Corr
0.97	CSCO	Cisco Systems Sell-off Trend	Pair Corr
0.86	CAT	Caterpillar Fiscal Year End 3rd of February 2025	Pair Corr
0.86	BAC	Bank of America Aggressive Push	Pair Corr
0.84	WMT	Walmart Aggressive Push	Pair Corr
0.8	JPM	JPMorgan Chase Sell-off Trend	Pair Corr
0.88	CVX	Chevron Corp Sell-off Trend	Pair Corr
0.89	INTC	Intel Fiscal Year End 23rd of January 2025	Pair Corr
0.93	AXP	American Express Fiscal Year End 24th of January 2025	Pair Corr
0.82	HD	Home Depot	Pair Corr

Moving against Calamos Fund

0.33	FAX	Aberdeen Asia Pacific	Pair Corr
0.68	BA	Boeing Fiscal Year End 29th of January 2025	Pair Corr
0.65	PFE	Pfizer Inc Aggressive Push	Pair Corr

Related Correlations Analysis

	CHI	CCD	CHW	CPZ	CHY	ETG	ETO	ETV
CHI		0.46	0.64	0.77	0.95	0.73	0.6	0.91	CHI
CCD	0.46		0.82	0.54	0.58	0.71	0.68	0.34	CCD
CHW	0.64	0.82		0.72	0.73	0.86	0.85	0.57	CHW
CPZ	0.77	0.54	0.72		0.86	0.78	0.7	0.82	CPZ
CHY	0.95	0.58	0.73	0.86		0.8	0.68	0.92	CHY
ETG	0.73	0.71	0.86	0.78	0.8		0.93	0.75	ETG
ETO	0.6	0.68	0.85	0.7	0.68	0.93		0.62	ETO
ETV	0.91	0.34	0.57	0.82	0.92	0.75	0.62		ETV
	CHI	CCD	CHW	CPZ	CHY	ETG	ETO	ETV

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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
CHI	0.73	0.07	0.01	0.25	0.67	(0.87)	1.82	(1.56)	3.90
CCD	0.75	(0.01)	(0.08)	0.11	0.90	(0.81)	1.88	(1.68)	4.88
CHW	0.66	(0.05)	(0.08)	0.06	0.94	(0.64)	1.43	(1.58)	3.70
CPZ	0.50	0.03	(0.10)	0.22	0.56	(0.57)	1.13	(1.10)	3.36
CHY	0.63	0.06	0.00	0.25	0.65	(0.70)	1.20	(1.23)	4.19
ETG	0.59	(0.05)	(0.10)	0.06	0.81	(0.59)	1.10	(1.30)	3.62
ETO	0.56	(0.04)	(0.09)	0.06	0.85	(0.49)	1.13	(1.49)	3.50
ETV	0.55	0.08	0.02	0.29	0.58	(0.63)	1.26	(1.03)	3.77

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