Calamos Market Risk Analysis And Volatility

CVSCX -- USA Fund  

USD 13.64  0.04  0.29%

We consider Calamos Market very steady. Calamos Market Neutral secures Sharpe Ratio (or Efficiency) of 0.0971 which signifies that the fund had 0.0971% 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 Mean Deviation of 0.0802, Downside Deviation of 0.1554 and Risk Adjusted Performance of (0.028307) to double-check if risk estimate we provide are consistent with the epected return of 0.0104%.

90 Days Market Risk

Very steady

Chance of Distress in 24 months

Very Small

90 Days Economic Sensitivity

Barely shadows market
Horizon     30 Days    Login   to change

Calamos Market Market Sensitivity

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.
3 Months Beta |Analyze Calamos Market Neutral Demand Trend
Check current 30 days Calamos Market correlation with market (DOW)
β = 0.0689

Calamos Market Central Daily Price Deviation

Calamos Market Neutral Technical Analysis

Transformation
The output start index for this execution was zero with a total number of output elements of sixty-one. The Median Price line plots median indexes of Calamos Market Neutral price series. View also all equity analysis or get more info about median price price transform indicator.

Calamos Market Projected Return Density Against Market

Assuming 30 trading days horizon, Calamos Market has beta of 0.0689 . This suggests as returns on market go up, Calamos Market average returns are expected to increase less than the benchmark. However during bear market, the loss on holding Calamos Market Neutral Fd Cl C will be expected to be much smaller as well. Additionally, The company has a negative alpha implying that the risk taken by holding this equity is not justified. Calamos Market Neutral is significantly underperforming DOW.
 Predicted Return Density 
      Returns 
Assuming 30 trading days horizon, the coefficient of variation of Calamos Market is 1030.05. The daily returns are destributed with a variance of 0.01 and standard deviation of 0.11. The mean deviation of Calamos Market Neutral Fd Cl C is currently at 0.08. For similar time horizon, the selected benchmark (DOW) has volatility of 0.98
α
Alpha over DOW
=0.0023
β
Beta against DOW=0.07
σ
Overall volatility
=0.11
Ir
Information ratio =0.24

Calamos Market Return Volatility

the fund shows 0.1069% volatility of returns over 30 trading days. the entity inherits 0.9922% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

Calamos Market Investment Opportunity

DOW has a standard deviation of returns of 0.99 and is 9.0 times more volatile than Calamos Market Neutral Fd Cl C. of all equities and portfolios are less risky than Calamos Market. Compared to the overall equity markets, volatility of historical daily returns of Calamos Market Neutral Fd Cl C is lower than 0 () of all global equities and portfolios over the last 30 days. Use Calamos Market Neutral Fd Cl C to protect your portfolios against small markets fluctuations. The fund experiences normal downward trend and little activity. Check odds of Calamos Market to be traded at $13.5 in 30 days. . 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.

Calamos Market correlation with market

correlation synergy
Poor diversification
Overlapping area represents the amount of risk that can be diversified away by holding Calamos Market Neutral Fd Cl C and equity matching DJI index in the same portfolio.

Calamos Market Current Risk Indicators

Calamos Market Suggested Diversification Pairs

Check also Trending Equities. Please also try World Markets Correlation module to find global opportunities by holding instruments from different markets.
Search macroaxis.com