Calvert Floating-rate Correlations

CFORX Fund

USD 8.64 0.01 0.12%

The current 90-days correlation between Calvert Floating Rate and Multisector Bond Sma is -0.15 (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

Poor diversification

The correlation between Calvert Floating Rate Advantag and DJI is 0.65 (i.e., Poor 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 real.

Moving together with Calvert Mutual Fund

0.91	OOSYX	Oppenheimer Senior	Pair Corr
0.9	OOSIX	Oppenheimer Senior	Pair Corr
0.9	LFRIX	Floating Rate	Pair Corr
0.9	LARCX	Floating Rate	Pair Corr
0.91	LFRRX	Lord Abbett Inv	Pair Corr
0.92	LFRFX	Floating Rate	Pair Corr
0.92	LRRRX	Floating Rate	Pair Corr
0.9	LRRTX	Floating Rate	Pair Corr
0.9	LRRVX	Floating Rate	Pair Corr
0.91	LRRKX	Floating Rate	Pair Corr
0.65	ABSZX	Ab Discovery Value	Pair Corr
0.68	ARBNX	The Arbitrage	Pair Corr
0.76	ENGAX	Cboe Vest Sp	Pair Corr
0.64	FICGX	First Investors Select	Pair Corr
0.68	RBERX	Rbc Bluebay Emerging	Pair Corr
0.82	DLTRX	Delaware Limited Term	Pair Corr
0.66	BOSVX	Omni Small Cap	Pair Corr
0.72	MBINX	Mainstay Balanced	Pair Corr

Moving against Calvert Mutual Fund

0.79	TCTGX	Transamerica Cleartrack	Pair Corr
0.79	TDKTX	Cleartrack 2015 Class	Pair Corr
0.79	TCTJX	Transamerica Cleartrack	Pair Corr
0.79	TCSUX	Cleartrack 2020 Class	Pair Corr
0.6	UIPIX	Ultrashort Mid Cap	Pair Corr
0.55	CESGX	Coho Relative Value	Pair Corr

Related Correlations Analysis

	PCEMX	STABX	LOGBX	SPMIX	PIEFX	MSTBX	MBSAX
PCEMX		0.78	0.9	0.76	0.94	0.71	0.8	PCEMX
STABX	0.78		0.87	0.91	0.66	0.89	0.86	STABX
LOGBX	0.9	0.87		0.91	0.81	0.88	0.94	LOGBX
SPMIX	0.76	0.91	0.91		0.67	0.9	0.87	SPMIX
PIEFX	0.94	0.66	0.81	0.67		0.57	0.66	PIEFX
MSTBX	0.71	0.89	0.88	0.9	0.57		0.91	MSTBX
MBSAX	0.8	0.86	0.94	0.87	0.66	0.91		MBSAX
	PCEMX	STABX	LOGBX	SPMIX	PIEFX	MSTBX	MBSAX

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
PCEMX	0.61	0.24	0.26	1.67	0.27	(0.76)	1.62	(0.86)	3.39
STABX	0.06	0.00	(0.47)	0.00	0.00	(0.19)	0.11	(0.11)	0.57
LOGBX	0.51	0.09	0.10	0.26	0.40	(0.60)	1.02	(0.89)	3.89
SPMIX	0.78	0.10	0.11	0.16	0.64	(0.90)	1.81	(1.36)	6.89
PIEFX	0.78	0.16	0.16	0.29	0.61	(0.92)	1.77	(1.21)	3.80
MSTBX	0.05	0.00	(0.52)	0.03	0.00	(0.11)	0.10	(0.10)	0.31
MBSAX	0.21	0.02	(0.12)	0.22	0.10	(0.26)	0.37	(0.44)	2.24

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