Calamos Dynamic Convertible Fund Volatility
| CCD Fund | USD 21.85 0.13 0.60% |
Over the designated horizon, Calamos Dynamic Convertible maintains a very low volatility profile. Its Sharpe Ratio (Efficiency) stands at 0.0952, suggesting positive return efficiency over the last 3 months. Current risk dynamics are supported by 30 technical indicators.
Sharpe Ratio = 0.0952
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Calamos Dynamic Convertible reported a Market Risk Adjusted Performance of 0.1%, a Risk of 1.06, and a Risk Adjusted Performance of 0.1%. Monthly moving average analysis places Calamos Dynamic at roughly 7% of its prior performance bandwidth. Its effect inside a well-diversified portfolio would be influenced by cross-asset correlation.
Key indicators related to Calamos Dynamic's volatility include:90 Days Market Risk | Chance Of Distress | 90 Days Economic Sensitivity |
Calamos Dynamic's volatility is most commonly measured using the annualized standard deviation of daily returns. This statistical measure reflects the magnitude of Calamos Dynamic's typical price swings and is a primary input in options pricing models.
Calamos |
Volatility Strategy
Calamos Dynamic Convertible return fluctuations can modify its marginal contribution to total portfolio variance. Allocation size and correlation determine overall impact. Current statistical measures show total volatility near 1.06% with a beta coefficient of 0.75, indicating sensitivity relative to the broader market benchmark. Risk-adjusted efficiency, represented by a Sharpe ratio of 0.0952, evaluates return per unit of total risk. An alpha value of 0.0971 reflects performance relative to systematic market exposure. Expected return estimates near 0.1% are derived from historical distribution modeling and help frame forward-looking return assumptions within a portfolio context. Volatility effects depend on underlying market structure and exposure characteristics.
Main indicators related to Calamos Dynamic's market risk premium analysis include:
Beta 0.75 | Alpha 0.0971 | Risk 1.06 | Sharpe Ratio 0.0952 | Expected Return 0.1 |
Moving together with Calamos Fund
| 0.94 | SCD | Lmp Capital And | PairCorr |
| 0.82 | ACV | Allianzgi Diversified | PairCorr |
| 0.7 | ETO | Eaton Vance Tax | PairCorr |
| 0.79 | EMO | Clearbridge Energy Mlp | PairCorr |
| 0.73 | WMT | Walmart Common Stock | PairCorr |
| 0.76 | HD | Home Depot | PairCorr |
| 0.75 | KO | Coca Cola | PairCorr |
| 0.87 | DD | Dupont De Nemours | PairCorr |
| 0.76 | PG | Procter Gamble | PairCorr |
| 0.82 | MRK | Merck Company | PairCorr |
| 0.79 | CVX | Chevron Corp | PairCorr |
| 0.86 | CAT | Caterpillar | PairCorr |
| 0.76 | PFE | Pfizer Inc | PairCorr |
| 0.7 | BA | Boeing | PairCorr |
Moving against Calamos Fund
| 0.89 | HPQ | HP Inc | PairCorr |
| 0.74 | MSFT | Microsoft | PairCorr |
| 0.6 | IBM | International Business | PairCorr |
| 0.57 | AXP | American Express | PairCorr |
| 0.48 | BAC | Bank of America | PairCorr |
| 0.44 | DIS | Walt Disney | PairCorr |
Sensitivity To Market
Calamos Dynamic Convertible exhibits a beta of 0.75, representing its market-relative sensitivity based on regression modeling. Beta quantifies systematic risk by measuring the slope of asset returns against benchmark returns. Overall return volatility is approximately 1.06%.Volatility metrics for Calamos Dynamic Convertible describe how stable or unstable returns have been over the selected window. Current downside deviation is about 1.0%. A fund’s volatility level is shaped by diversification, sector concentration, and the mix of assets held.
3 Months Beta |Analyze Calamos Dynamic Demand TrendCheck current 90 days Calamos Dynamic correlation with market (Dow Jones Industrial)Downside Risk
The standard deviation of Calamos measures how widely its daily prices are dispersed around the mean for a given time period. Highly volatile instruments have large standard deviations; stable instruments have small ones.
Standard Deviation | 1.06 |
Standard deviation captures both upside and downside movement in Calamos Dynamic. However, investors specifically concerned with loss potential should use downside deviation or semi-deviation of Calamos Dynamic's returns. Calamos Dynamic Convertible reported a Downside Deviation of 1.00, a Downside Variance of 1.00, and a Maximum Drawdown of 5.28.
Fund Volatility Analysis
Calamos Dynamic fund volatility is a measure of the speed and extent of Calamos Dynamic's price movements. High volatility generally means the fund price moves dramatically up or down in a short period of time. Low volatility means Calamos Dynamic's price does not fluctuate dramatically and tends to be more predictable.
Transformation |
This analysis covers sixty-one data points across the selected time horizon. Calamos Dynamic Average Price is the average of the sum of open, high, low and close daily prices of a bar. It can be used to smooth an indicator that normally takes just the closing price as input.
Projected Return Density Against Market
Considering the 90-day investment horizon Calamos Dynamic has a beta of 0.7534 suggesting as returns on the market go up, Calamos Dynamic's average returns are expected to increase less than the benchmark. However, during a bear market, the loss from holding Calamos Dynamic Convertible is expected to be smaller as well.Investors in Calamos Dynamic face systematic risk from overall fund market trends and unsystematic risk from company or sector-specific developments. Diversification reduces specific exposure, but macro-driven volatility persists. Beta remains a common sensitivity metric. Calamos Dynamic Convertible reported a Downside Deviation of 1.00, a Mean Deviation of 0.74, and a Semi Deviation of 0.89.
Predicted Return Density |
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What Drives Calamos Dynamic's Price Volatility?
Several factors can influence Calamos Dynamic's market volatility:Industry Dynamics
Sector-level events can directly affect Calamos Dynamic's price stability. Regulatory changes, supply disruptions, or shifts in demand within Calamos Dynamic's industry may create volatility even when the broader market is calm. Competitive dynamics and industry consolidation can also amplify price swings for companies like Calamos Dynamic.Political and Economic Environment
Macroeconomic conditions and policy decisions shape the backdrop for Calamos Dynamic's price movements. Interest rate changes, trade policy shifts, and fiscal legislation can all alter investor sentiment toward Calamos Dynamic. During periods of economic expansion, Calamos Dynamic's price tends to benefit from broader market optimism, while downturns can amplify selling pressure.Calamos Dynamic's Company-Specific Factors
Volatility can also stem from events unique to Calamos Dynamic. Earnings surprises, management changes, product launches, or legal developments may trigger sharp price reactions in Calamos Dynamic's stock. Conversely, operational setbacks, guidance revisions, or data breaches can weigh on Calamos Dynamic's share price.Fund Risk Measures
Considering the 90-day investment horizon the coefficient of variation of Calamos Dynamic is 1050.07. The daily returns are distributed with a variance of 1.11 and standard deviation of 1.06. The mean deviation of Calamos Dynamic Convertible is currently at 0.76. For similar time horizon, the selected benchmark (Dow Jones Industrial) has volatility of 0.8
α | Alpha over Dow Jones | 0.1 | |
β | Beta against Dow Jones | 0.75 | |
σ | Overall volatility | 1.06 | |
Ir | Information ratio | 0.10 |
Fund Return Volatility
Calamos Dynamic return volatility captures the typical daily swing in fund returns relative to the mean over the selected period. The fund has volatility of 1.0556% on return distribution over a 90-day investment horizon. Meanwhile, Dow Jones Industrial has volatility of 0.7855% on return distribution over a 90-day investment horizon. Performance |
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Related Correlations Analysis
Correlation Matchups
Over a given time period, the two securities move together when the Correlation Coefficient is positive. Conversely, the two assets move in opposite directions when the Correlation Coefficient is negative. Determining your positions' relationship to each other is valuable for analyzing and projecting your portfolio's future expected return and risk.High positive correlations
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Risk-Adjusted Indicators
Evaluating Calamos Fund requires separating price momentum from underlying business quality relative to competitors. Without reviewing risk-adjusted indicators, investors may overweight recent returns and underweight the volatility required to achieve them. These indicators are quantitative in nature and help investors forecast volatility and risk-adjusted expected returns across various positions.| Mean Deviation | Jensen Alpha | Sortino Ratio | Treynor Ratio | Semi Deviation | Expected Shortfall | Potential Upside | Value @Risk | Maximum Drawdown | ||
|---|---|---|---|---|---|---|---|---|---|---|
| CHW | 0.78 | 0.07 | 0.07 | 0.04 | 1.05 | 1.49 | 4.44 | |||
| NKX | 0.37 | 0.03 | 0.10 | 0.14 | 0.56 | 0.70 | 3.57 | |||
| ASGI | 1.10 | 0.16 | 0.10 | 0.27 | 1.59 | 2.17 | 8.55 | |||
| ETJ | 0.47 | -0.03 | 0.00 | 4.45 | 0.00 | 1.04 | 3.51 | |||
| AAIEX | 0.66 | 0.04 | 0.05 | 0.01 | 1.09 | 1.23 | 5.20 | |||
| WIW | 0.27 | -0.01 | 0.00 | -0.11 | 0.00 | 0.48 | 1.73 | |||
| NCV | 0.75 | 0.03 | 0.05 | 0.01 | 1.01 | 1.74 | 5.40 | |||
| LDP | 0.31 | -0.03 | 0.00 | -0.17 | 0.00 | 0.64 | 2.37 | |||
| DSU | 0.36 | -0.04 | 0.00 | -0.26 | 0.00 | 0.71 | 2.23 | |||
| HRAAX | 0.61 | 0.15 | 0.23 | 0.23 | 0.52 | 0.93 | 10.68 |
Risk Metrics, Assumptions & Methodology
Volatility for Calamos Dynamic reflects NAV dispersion and exposure stability across disclosure periods. Observed drawdowns appear relatively moderate compared with broader market swings.
For Calamos Dynamic Convertible, this section uses fund disclosures and market reference feeds with Macroaxis normalization rules applied to keep cross-asset comparisons consistent. Intraday timing differences may exist. Volatility and downside metrics are estimated from historical return dispersion.
This content is curated and reviewed by:
Gabriel Shpitalnik - Member of Macroaxis Editorial BoardCalamos Dynamic Investment Opportunity
Calamos Dynamic Convertible currently shows materially higher return volatility than Dow Jones Industrial, with a relative multiple of about 1.34. Investors typically want to know whether the additional volatility is buying them more upside or simply more noise.You can use Calamos Dynamic Convertible to enhance the returns of your portfolios. This directional read frames the latest price swing through a simple momentum and follow-through lens. It is most useful when combined with broader risk controls and position-sizing discipline. a moderate upward volatility. Check odds of Calamos Dynamic to be traded at $24.04 in 90 days.Very weak diversification
Across the chosen horizon, CCD and DJI show a correlation of 0.54 and fall into the Very weak diversification bucket. This matters because lower overlap can improve diversification, while higher overlap leaves more of the same risk inside the portfolio.
Calamos Dynamic Additional Risk Indicators
Risk analysis around Calamos Dynamic Convertible becomes more useful when investors review secondary indicators that can confirm, refine, or challenge the basic volatility picture. A disciplined risk review helps investors decide whether exposure should be maintained, reduced, or offset elsewhere in the portfolio.
| Risk Adjusted Performance | 0.0587 | |||
| Market Risk Adjusted Performance | 0.0941 | |||
| Mean Deviation | 0.7437 | |||
| Semi Deviation | 0.8924 | |||
| Downside Deviation | 0.9983 | |||
| Coefficient Of Variation | 1408.89 | |||
| Standard Deviation | 1.03 |
Calamos Dynamic Suggested Diversification Pairs
A pair strategy built around Calamos Dynamic Convertible is useful when investors want to reduce directional market exposure while still expressing a relative-value idea. The advantage is that adverse movement in one leg may be partly offset by the other when correlation and thesis alignment hold.
While pairing positions reduces portfolio risk, some forms of risk persist no matter which instruments are combined. No matter how well a pair is constructed around Calamos Dynamic, market-wide risk remains. What pair trading can address is Calamos Dynamic's unsystematic risk - the portion driven by company or sector-specific factors rather than broad market forces.