Calamos Market Backtesting

CVSCX -- USA Fund  

USD 13.71  0.01  0.07%

With this equity back-testing module your can estimate the performance of a buy and hold strategy of Calamos Market Neutral Fd Cl C and determine expected loss or profit from investing in Calamos Market over given investment horizon. Check also Calamos Market Hype Analysis, Calamos Market Correlation, Portfolio Optimization, Calamos Market Volatility as well as analyze Calamos Market Alpha and Beta and Calamos Market Performance.
Horizon     30 Days    Login   to change

Calamos Market 'What if' Analysis

August 21, 2019
No Change 0.00  0.0 
In 3 months and 1 day
November 19, 2019
If you would invest  0.00  in Calamos Market on August 21, 2019 and sell it all today you would earn a total of 0.00 from holding Calamos Market Neutral Fd Cl C or generate 0.0% return on investment in Calamos Market over 90 days. Calamos Market is related to or competes with Invesco All, AC Alternatives, Westwood Market, Westwood Market, Causeway Global, Putnam PanAgora, and Guggenheim Market. The investment seeks high current income consistent with stability of principal

Calamos Market Upside/Downside Indicators

Downside Deviation0.1588
Information Ratio(0.85)
Maximum Drawdown0.513
Value At Risk(0.15)
Potential Upside0.1472

Calamos Market Market Premium Indicators

Risk Adjusted Performance(0.003969)
Jensen Alpha(0.011112)
Total Risk Alpha(0.016773)
Sortino Ratio(0.60)
Treynor Ratio(0.022824)

Calamos Market Neutral Backtested Returns

We consider Calamos Market very steady. Calamos Market Neutral secures Sharpe Ratio (or Efficiency) of 0.0812 which signifies that the fund had 0.0812% of return per unit of risk over the last 3 months. Our philosophy towards foreseeing volatility of a fund is to use all available market data together with fund specific technical indicators that cannot be diversified away. We have found twenty-one technical indicators for Calamos Market Neutral Fd Cl C which you can use to evaluate future volatility of the entity. Please confirm Calamos Market Neutral Downside Deviation of 0.1588, Mean Deviation of 0.0802 and Risk Adjusted Performance of (0.003969) to double-check if risk estimate we provide are consistent with the epected return of 0.0092%. The organization shows Beta (market volatility) of 0.0956 which signifies that as returns on market increase, Calamos Market returns are expected to increase less than the market. However during bear market, the loss on holding Calamos Market will be expected to be smaller as well. Although it is extremely important to respect Calamos Market Neutral historical returns, it is better to be realistic regarding the information on equity current trending patterns. The philosophy towards foreseeing future performance of any fund is to evaluate the business as a whole together with its past performance including all available fundamental and technical indicators. By analyzing Calamos Market Neutral technical indicators you can presently evaluate if the expected return of 0.0092% will be sustainable into the future.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation 0.36 
correlation synergy

Below average predictability

Calamos Market Neutral Fd Cl C has below average predictability. Overlapping area represents the amount of predictability between Calamos Market time series from August 21, 2019 to October 5, 2019 and October 5, 2019 to November 19, 2019. 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 0.36 indicates that just about 36.0% of current Calamos Market price fluctuation can be explain by its past prices.
Correlation Coefficient0.36
Spearman Rank Test0.11
Residual Average0.0
Price Variance0.0

Calamos Market Neutral lagged returns against current returns

 Current and Lagged Values 

Calamos Market regressed lagged prices vs. current prices

 Current vs Lagged Prices 

Calamos Market Lagged Returns

 Regressed Prices 

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Calamos Market Pair Correlation

Equities Pair Trading Analysis

Correlation analysis and pair trading evaluation for Calamos Market and Invesco All Cap. Pair trading can be used as a hedging technique within a particular sector or industry or even over random equities to generate better risk-adjusted return
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Check also Calamos Market Hype Analysis, Calamos Market Correlation, Portfolio Optimization, Calamos Market Volatility as well as analyze Calamos Market Alpha and Beta and Calamos Market Performance. Please also try Price Transformation module to use price transformation models to analyze depth of different equity instruments across global markets.