Calvert Floating-rate Correlations

CFOAX Fund

USD 8.66 0.01 0.12%

The current 90-days correlation between Calvert Floating Rate and Guidemark Large Cap is -0.05 (i.e., Good diversification). The correlation of Calvert Floating-rate 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 correlation greater than 0.8 is generally described as strong, whereas a correlation less than 0.5 is generally considered weak. If the correlation is 0, the equities are not correlated; they are entirely random.

Calvert Floating-rate Correlation With Market

Very weak diversification

The correlation between Calvert Floating Rate Advantag and DJI is 0.55 (i.e., Very weak diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Calvert Floating Rate Advantag and DJI in the same portfolio, assuming nothing else is changed.

Check out Trending Equities to better understand how to build diversified portfolios, which includes a position in Calvert Floating Rate Advantage. Also, note that the market value of any mutual fund could be closely tied with the direction of predictive economic indicators such as signals in nation.

Moving together with Calvert Mutual Fund

0.87	OOSYX	Oppenheimer Senior	Pair Corr
0.86	OOSIX	Oppenheimer Senior	Pair Corr
0.81	LFRIX	Floating Rate	Pair Corr
0.81	LARCX	Floating Rate	Pair Corr
0.83	LFRRX	Lord Abbett Inv	Pair Corr
0.84	LFRFX	Floating Rate	Pair Corr
0.83	LRRRX	Floating Rate	Pair Corr
0.82	LRRTX	Floating Rate	Pair Corr
0.81	LRRVX	Floating Rate	Pair Corr
0.84	LRRKX	Floating Rate	Pair Corr

Moving against Calvert Mutual Fund

0.65	PG	Procter Gamble	Pair Corr
0.58	MSFT	Microsoft Earnings Call Tomorrow	Pair Corr
0.4	HPQ	HP Inc	Pair Corr

Related Correlations Analysis

	WILCX	GSVUX	GBAYX	NEAMX	GMLVX
WILCX		0.94	0.9	0.88	0.84	WILCX
GSVUX	0.94		0.91	0.81	0.71	GSVUX
GBAYX	0.9	0.91		0.81	0.68	GBAYX
NEAMX	0.88	0.81	0.81		0.89	NEAMX
GMLVX	0.84	0.71	0.68	0.89		GMLVX
	WILCX	GSVUX	GBAYX	NEAMX	GMLVX

Risk-Adjusted Indicators

There is a big difference between Calvert Mutual Fund performing well and Calvert Floating-rate Mutual Fund doing well as a business compared to the competition. There are so many exceptions to the norm that investors cannot definitively determine what's good or bad unless they analyze Calvert Floating-rate's multiple risk-adjusted performance indicators across the competitive landscape. 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
WILCX	0.48	0.13	0.18	0.29	0.15	(0.57)	0.99	(0.67)	4.64
GSVUX	0.82	0.30	0.31	(4.50)	0.25	(1.02)	1.42	(0.99)	16.60
GBAYX	0.35	0.06	0.05	0.22	0.11	(0.43)	0.62	(0.53)	5.73
NEAMX	0.54	0.09	0.04	0.65	0.53	(0.60)	1.10	(1.20)	2.78
GMLVX	0.61	0.12	0.15	0.27	0.37	(0.78)	1.30	(0.98)	3.10

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