Calvert Floating-rate Correlations
CFOAX Fund | USD 9.00 0.01 0.11% |
The current 90-days correlation between Calvert Floating Rate and Calvert Developed Market is -0.02 (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
Significant diversification
The correlation between Calvert Floating Rate Advantag and DJI is 0.09 (i.e., Significant 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.
Calvert |
Moving together with Calvert Mutual Fund
0.85 | CFJIX | Calvert Large Cap | PairCorr |
0.85 | CFJAX | Calvert Large Cap | PairCorr |
1.0 | CFOIX | Calvert Floating Rate | PairCorr |
0.82 | CGJAX | Calvert Large Cap | PairCorr |
0.82 | CGJIX | Calvert Large Cap | PairCorr |
0.7 | CYBAX | Calvert High Yield | PairCorr |
0.74 | CYBRX | Calvert High Yield | PairCorr |
Moving against Calvert Mutual Fund
0.73 | CWVIX | Calvert International | PairCorr |
0.73 | CWVGX | Calvert International | PairCorr |
0.67 | CEMCX | Calvert Emerging Markets | PairCorr |
0.65 | CDHAX | Calvert Developed Market | PairCorr |
0.65 | CEMAX | Calvert Emerging Markets | PairCorr |
0.64 | CDHIX | Calvert Developed Market | PairCorr |
0.64 | CDHRX | Calvert International | PairCorr |
0.59 | CEFAX | Calvert Emerging Markets | PairCorr |
0.58 | CEFIX | Congressional Effect | PairCorr |
0.32 | CFAIX | Calvert Conservative | PairCorr |
0.74 | CWVCX | Calvert International | PairCorr |
0.71 | CGAFX | Calvert Green Bond | PairCorr |
0.7 | CGBIX | Calvert Green Bond | PairCorr |
0.61 | CFICX | Calvert Income | PairCorr |
0.79 | CIOAX | Calvert International | PairCorr |
0.73 | CIESX | Calvert International | PairCorr |
Related Correlations Analysis
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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 | ||
---|---|---|---|---|---|---|---|---|---|---|
CDHIX | 0.68 | (0.12) | 0.00 | (0.09) | 0.00 | 1.41 | 3.93 | |||
CDHAX | 0.68 | (0.12) | 0.00 | (0.09) | 0.00 | 1.43 | 3.93 | |||
CDICX | 0.09 | 0.00 | (0.98) | 0.32 | 0.07 | 0.19 | 0.64 | |||
CDHRX | 0.68 | (0.12) | 0.00 | (0.09) | 0.00 | 1.41 | 3.94 | |||
CDSRX | 0.10 | 0.00 | (1.01) | (0.04) | 0.00 | 0.19 | 0.76 | |||
CDSIX | 0.09 | 0.00 | (1.00) | 0.01 | 0.00 | 0.19 | 0.76 | |||
CVMAX | 0.80 | (0.05) | (0.10) | 0.03 | 0.98 | 1.60 | 5.41 | |||
CVMRX | 0.80 | (0.05) | (0.11) | 0.03 | 0.97 | 1.64 | 5.37 | |||
CVMIX | 0.80 | (0.05) | (0.11) | 0.03 | 0.97 | 1.63 | 5.46 | |||
CVMCX | 0.80 | (0.05) | (0.11) | 0.02 | 0.98 | 1.61 | 5.47 |