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.
  
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

  0.85CFJIX Calvert Large CapPairCorr
  0.85CFJAX Calvert Large CapPairCorr
  1.0CFOIX Calvert Floating RatePairCorr
  0.82CGJAX Calvert Large CapPairCorr
  0.82CGJIX Calvert Large CapPairCorr
  0.7CYBAX Calvert High YieldPairCorr
  0.74CYBRX Calvert High YieldPairCorr

Moving against Calvert Mutual Fund

  0.73CWVIX Calvert InternationalPairCorr
  0.73CWVGX Calvert InternationalPairCorr
  0.67CEMCX Calvert Emerging MarketsPairCorr
  0.65CDHAX Calvert Developed MarketPairCorr
  0.65CEMAX Calvert Emerging MarketsPairCorr
  0.64CDHIX Calvert Developed MarketPairCorr
  0.64CDHRX Calvert InternationalPairCorr
  0.59CEFAX Calvert Emerging MarketsPairCorr
  0.58CEFIX Congressional EffectPairCorr
  0.32CFAIX Calvert ConservativePairCorr
  0.74CWVCX Calvert InternationalPairCorr
  0.71CGAFX Calvert Green BondPairCorr
  0.7CGBIX Calvert Green BondPairCorr
  0.61CFICX Calvert IncomePairCorr
  0.79CIOAX Calvert InternationalPairCorr
  0.73CIESX Calvert InternationalPairCorr

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 DeviationJensen AlphaSortino RatioTreynor RatioSemi DeviationExpected ShortfallPotential UpsideValue @RiskMaximum 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