Calamos Glbl (Ireland) Risk Analysis And Volatility Evaluation

F000005G5E -- Ireland Fund  

 17.06  0.14  0.81%

Macroaxis considers Calamos Glbl to be unknown risk. Calamos Glbl Conv secures Sharpe Ratio (or Efficiency) of -0.5774 which signifies that Calamos Glbl Conv had -0.5774% of return per unit of risk over the last 1 month. Macroaxis philosophy towards foreseeing risk of any fund is to look at both systematic and un-systematic factors of the business, including all available market data and technical indicators. Calamos Glbl Conv Opps I USD Acc exposes twenty different technical indicators which can help you to evaluate volatility that cannot be diversified away. Please be advised to confirm Calamos Glbl Conv Coefficient Of Variation of 421.13, Risk Adjusted Performance of 0.0993 and Mean Deviation of 0.3931 to double-check risk estimate we provide.
Horizon     30 Days    Login   to change

Calamos Glbl Market Sensitivity

As returns on market increase, Calamos Glbl returns are expected to increase less than the market. However during bear market, the loss on holding Calamos Glbl will be expected to be smaller as well.
One Month Beta |Analyze Calamos Glbl Conv Demand Trend
Check current 30 days Calamos Glbl correlation with market (DOW)
β = 0.8199
Calamos Glbl Small BetaCalamos Glbl Conv Beta Legend

Calamos Glbl Conv Technical Analysis

Transformation
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Calamos Glbl Projected Return Density Against Market

Assuming 30 trading days horizon, Calamos Glbl has beta of 0.8199 suggesting as returns on market go up, Calamos Glbl average returns are expected to increase less than the benchmark. However during bear market, the loss on holding Calamos Glbl Conv Opps I USD Acc will be expected to be much smaller as well. Moreover, Calamos Glbl Conv Opps I USD Acc has an alpha of 0.1282 implying that it can potentially generate 0.1282% excess return over DOW after adjusting for the inherited market risk (beta).
 Predicted Return Density 
      Returns 
Assuming 30 trading days horizon, the coefficient of variation of Calamos Glbl is -173.21. The daily returns are destributed with a variance of 0.02 and standard deviation of 0.14. The mean deviation of Calamos Glbl Conv Opps I USD Acc is currently at 0.1. For similar time horizon, the selected benchmark (DOW) has volatility of 0.39
α
Alpha over DOW
=0.13
β
Beta against DOW=0.82
σ
Overall volatility
=0.14
Ir
Information ratio =0.12

Calamos Glbl Return Volatility

Calamos Glbl Conv Opps I USD Acc accepts 0.135% volatility on return distribution over the 30 days horizon. DOW inherits 0.3914% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

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Risk-Return Analysis

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Investment Outlook

Calamos Glbl Investment Opportunity

DOW has a standard deviation of returns of 0.39 and is 2.79 times more volatile than Calamos Glbl Conv Opps I USD Acc. 1% of all equities and portfolios are less risky than Calamos Glbl. Compared to the overall equity markets, volatility of historical daily returns of Calamos Glbl Conv Opps I USD Acc is lower than 1 (%) of all global equities and portfolios over the last 30 days. Use Calamos Glbl Conv Opps I USD Acc to protect against small markets fluctuations. The fund experiences moderate downward daily trend and can be a good diversifier. Check odds of Calamos Glbl to be traded at 16.72 in 30 days. As returns on market increase, Calamos Glbl returns are expected to increase less than the market. However during bear market, the loss on holding Calamos Glbl will be expected to be smaller as well.

Calamos Glbl correlation with market

Weak diversification
Overlapping area represents the amount of risk that can be diversified away by holding Calamos Glbl Conv Opps I USD A and equity matching DJI index in the same portfolio.

Calamos Glbl Volatility Indicators

Calamos Glbl Conv Opps I USD Acc Current Risk Indicators

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