Calamos Emerging (Ireland) Risk Analysis And Volatility Evaluation

F00000MCM4 -- Ireland Fund  

USD 9.80  0.16  1.61%

Macroaxis considers Calamos Emerging to be unknown risk. Calamos Emerging Mar secures Sharpe Ratio (or Efficiency) of -0.5774 which signifies that Calamos Emerging Mar 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 Emerging Markets A USD Acc exposes twenty-one different technical indicators which can help you to evaluate volatility that cannot be diversified away. Please be advised to confirm Calamos Emerging Mar Risk Adjusted Performance of 0.06 and Mean Deviation of 0.6668 to double-check risk estimate we provide.
Horizon     30 Days    Login   to change

Calamos Emerging Market Sensitivity

As returns on market increase, Calamos Emerging returns are expected to increase less than the market. However during bear market, the loss on holding Calamos Emerging will be expected to be smaller as well.
One Month Beta |Analyze Calamos Emerging Mar Demand Trend
Check current 30 days Calamos Emerging correlation with market (DOW)
β = 0.4126
Calamos Emerging Small BetaCalamos Emerging Mar Beta Legend

Calamos Emerging Mar Technical Analysis

Transformation
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Calamos Emerging Projected Return Density Against Market

Assuming 30 trading days horizon, Calamos Emerging has beta of 0.4126 suggesting as returns on market go up, Calamos Emerging average returns are expected to increase less than the benchmark. However during bear market, the loss on holding Calamos Emerging Markets A USD Acc will be expected to be much smaller as well. Additionally, Calamos Emerging Markets A USD Acc has a negative alpha implying that the risk taken by holding this equity is not justified. The company is significantly underperforming DOW
 Predicted Return Density 
      Returns 
Assuming 30 trading days horizon, the coefficient of variation of Calamos Emerging is -173.21. The daily returns are destributed with a variance of 1.9 and standard deviation of 1.38. The mean deviation of Calamos Emerging Markets A USD Acc is currently at 1.06. For similar time horizon, the selected benchmark (DOW) has volatility of 0.45
α
Alpha over DOW
=0.25
β
Beta against DOW=0.41
σ
Overall volatility
=1.38
Ir
Information ratio =0.29

Calamos Emerging Return Volatility

Calamos Emerging Markets A USD Acc accepts 1.3801% volatility on return distribution over the 30 days horizon. DOW inherits 0.4208% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

Market Risk Breakdown

Calamos Emerging Volatility Factors

30 Days Market Risk

Unknown risk

Chance of Distress in 24 months

Unknown Distress

30 Days Economic Sensitivity

Unaffected

Investment Outlook

Calamos Emerging Investment Opportunity

Calamos Emerging Markets A USD Acc has a volatility of 1.38 and is 3.29 times more volatile than DOW. 12% of all equities and portfolios are less risky than Calamos Emerging. Compared to the overall equity markets, volatility of historical daily returns of Calamos Emerging Markets A USD Acc is lower than 12 (%) of all global equities and portfolios over the last 30 days. Use Calamos Emerging Markets A USD Acc to protect against small markets fluctuations. The fund experiences somewhat bearish sentiment, but market may correct it shortly. Check odds of Calamos Emerging to be traded at $9.51 in 30 days. As returns on market increase, Calamos Emerging returns are expected to increase less than the market. However during bear market, the loss on holding Calamos Emerging will be expected to be smaller as well.

Calamos Emerging correlation with market

Average diversification
Overlapping area represents the amount of risk that can be diversified away by holding Calamos Emerging Markets A USD and equity matching DJI index in the same portfolio.

Calamos Emerging Volatility Indicators

Calamos Emerging Markets A USD Acc Current Risk Indicators

Additionally see Investing Opportunities. Please also try Price Ceiling Movement module to calculate and plot price ceiling movement for different equity instruments.
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