Calamos Market Neutral Fund Market Value
| CVSCX Fund | USD 14.63 0.02 0.14% |
| 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.
| 03/24/2024 |
| 04/23/2024 |
If you would invest 0.00 in Calamos Market on March 24, 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 30 days. Calamos Market is related to or competes with The Arbitrage, The Merger, Gateway Fund, Diamond Hill, and Calamos Growth. The fund i invests in equities, convertible securities of U.S 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 | 0.1218 | |||
| Information Ratio | (0.71) | |||
| Maximum Drawdown | 0.4816 | |||
| Value At Risk | (0.14) | |||
| Potential Upside | 0.1375 |
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 | 0.0457 | |||
| Jensen Alpha | (0.0007) | |||
| Total Risk Alpha | (0.01) | |||
| Sortino Ratio | (0.57) | |||
| Treynor Ratio | 0.067 |
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
We consider Calamos Market very steady. Calamos Market Neutral secures Sharpe Ratio (or Efficiency) of 0.14, which signifies that the fund had a 0.14% return per unit of risk over the last 3 months. We have found twenty-six technical indicators for Calamos Market Neutral, which you can use to evaluate the volatility of the entity. Please confirm Calamos Market's Mean Deviation of 0.0746, coefficient of variation of 621.35, and Risk Adjusted Performance of 0.0457 to double-check if the risk estimate we provide is consistent with the expected return of 0.0144%. The fund shows a Beta (market volatility) of 0.0849, which signifies not very significant fluctuations relative to the market. As returns on the market increase, Calamos Market's returns are expected to increase less than the market. However, during the bear market, the loss of holding Calamos Market is expected to be smaller as well.
Auto-correlation | -0.35 |
Poor reverse predictability
Calamos Market Neutral has poor reverse predictability. Overlapping area represents the amount of predictability between Calamos Market time series from 24th of March 2024 to 8th of April 2024 and 8th of April 2024 to 23rd of April 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 -0.35 indicates that nearly 35.0% of current Calamos Market price fluctuation can be explain by its past prices.
| Correlation Coefficient | -0.35 | |
| Spearman Rank Test | -0.52 | |
| 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 |
Some investors attempt to determine whether the market's mood is bullish or bearish by monitoring changes in market sentiment. Unlike more traditional methods such as technical analysis, investor sentiment usually refers to the aggregate attitude towards Calamos Market in the overall investment community. So, suppose investors can accurately measure the market's sentiment. In that case, they can use it for their benefit. For example, some tools to gauge market sentiment could be utilized using contrarian indexes, Calamos Market's short interest history, or implied volatility extrapolated from Calamos Market options trading.
Pair Trading with Calamos Market
One of the main advantages of trading using pair correlations is that every trade hedges away some risk. Because there are two separate transactions required, even if Calamos Market position performs unexpectedly, the other equity can make up some of the losses. Pair trading also minimizes risk from directional movements in the market. For example, if an entire industry or sector drops because of unexpected headlines, the short position in Calamos Market will appreciate offsetting losses from the drop in the long position's value.Moving together with Calamos Mutual Fund
| 0.93 | CVAAX | Calamos Opportunistic | PairCorr |
| 1.0 | CVSIX | Calamos Market Neutral | PairCorr |
| 0.96 | CVTRX | Calamos Growth Me | PairCorr |
| 0.99 | CGCIX | Calamos Global Growth Potential Growth | PairCorr |
| 0.96 | CGIIX | Calamos Growth Me | PairCorr |
The ability to find closely correlated positions to Calamos Market could be a great tool in your tax-loss harvesting strategies, allowing investors a quick way to find a similar-enough asset to replace Calamos Market when you sell it. If you don't do this, your portfolio allocation will be skewed against your target asset allocation. So, investors can't just sell and buy back Calamos Market - that would be a violation of the tax code under the "wash sale" rule, and this is why you need to find a similar enough asset and use the proceeds from selling Calamos Market Neutral to buy it.
The correlation of Calamos Market 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 perfect positive correlation (i.e., a correlation coefficient of +1) implies that as Calamos Market moves, either up or down, the other security will move in the same direction. Alternatively, perfect negative correlation means that if Calamos Market Neutral moves in either direction, the perfectly negatively correlated security will move in the opposite direction. If the correlation is 0, the equities are not correlated; they are entirely random. A correlation greater than 0.8 is generally described as strong, whereas a correlation less than 0.5 is generally considered weak.
Correlation analysis and pair trading evaluation for Calamos Market can also be used as hedging techniques within a particular sector or industry or even over random equities to generate a better risk-adjusted return on your portfolios.Check out Calamos Market Correlation, Calamos Market Volatility and Calamos Market Alpha and Beta module to complement your research on Calamos Market. Note that the Calamos Market Neutral information on this page should be used as a complementary analysis to other Calamos Market's statistical models used to find the right mix of equity instruments to add to your existing portfolios or create a brand new portfolio. You can also try the Idea Analyzer module to analyze all characteristics, volatility and risk-adjusted return of Macroaxis ideas.
Calamos Market technical mutual fund analysis exercises models and trading practices based on price and volume transformations, such as the moving averages, relative strength index, regressions, price and return correlations, business cycles, fund market cycles, or different charting patterns.