Calvert Floating Correlations

CFOIX Fund

USD 8.83 0.01 0.11%

The current 90-days correlation between Calvert Floating Rate and Aqr Global Macro is 0.04 (i.e., Significant diversification). The correlation of Calvert Floating 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 Correlation With Market

Average diversification

The correlation between Calvert Floating Rate Advantag and DJI is 0.17 (i.e., Average 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 gross domestic product.

Moving together with Calvert Mutual Fund

0.98	CFOAX	Calvert Floating Rate	Pair Corr
0.73	CYBAX	Calvert High Yield	Pair Corr
0.72	CYBRX	Calvert High Yield	Pair Corr
0.72	CYBIX	Calvert High Yield	Pair Corr

Moving against Calvert Mutual Fund

0.33	CGACX	Calvert Global Energy	Pair Corr
0.32	CGAEX	Calvert Global Energy	Pair Corr

Related Correlations Analysis

	QGMIX	TBCUX	ANAZX	HRLAX	TEDIX	SGMAX	ANAGX
QGMIX		0.93	0.73	0.91	0.89	0.88	0.74	QGMIX
TBCUX	0.93		0.71	0.91	0.92	0.9	0.72	TBCUX
ANAZX	0.73	0.71		0.65	0.81	0.87	1.0	ANAZX
HRLAX	0.91	0.91	0.65		0.92	0.87	0.67	HRLAX
TEDIX	0.89	0.92	0.81	0.92		0.98	0.81	TEDIX
SGMAX	0.88	0.9	0.87	0.87	0.98		0.88	SGMAX
ANAGX	0.74	0.72	1.0	0.67	0.81	0.88		ANAGX
	QGMIX	TBCUX	ANAZX	HRLAX	TEDIX	SGMAX	ANAGX

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Risk-Adjusted Indicators

There is a big difference between Calvert Mutual Fund performing well and Calvert Floating 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'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
QGMIX	0.37	0.12	0.40	(0.69)	0.10	(0.46)	0.83	(0.63)	2.42
TBCUX	0.57	0.16	0.27	0.36	0.44	(0.68)	1.49	(1.13)	4.33
ANAZX	0.18	0.01	0.22	0.25	0.13	(0.30)	0.44	(0.29)	1.32
HRLAX	0.29	0.13	0.49	0.53	0.00	(0.38)	0.82	(0.45)	1.65
TEDIX	0.50	0.16	0.28	0.21	0.48	(0.57)	1.01	(0.89)	3.31
SGMAX	0.41	0.11	0.27	0.17	0.34	(0.48)	0.95	(0.72)	2.73
ANAGX	0.18	0.01	0.22	0.86	0.14	(0.28)	0.44	(0.30)	1.46

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