Calvert Floating Correlations

CFORX Fund

USD 8.65 0.08 0.92%

The current 90-days correlation between Calvert Floating Rate and Franklin Adjustable Government is -0.11 (i.e., Good 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 metropolitan statistical area.

Moving together with Calvert Mutual Fund

0.94	OOSYX	Oppenheimer Senior	Pair Corr
0.68	OOSIX	Oppenheimer Senior	Pair Corr
0.67	LFRIX	Floating Rate	Pair Corr
0.63	LARCX	Floating Rate	Pair Corr
0.72	LFRRX	Lord Abbett Inv	Pair Corr
0.67	LFRFX	Floating Rate	Pair Corr
0.83	LRRRX	Floating Rate	Pair Corr
0.77	LRRTX	Floating Rate	Pair Corr
0.74	LRRVX	Floating Rate	Pair Corr
0.82	LRRKX	Floating Rate	Pair Corr

Moving against Calvert Mutual Fund

0.47	GAAGX	Gmo Alternative Allo	Pair Corr
0.38	GAAKX	Gmo Alternative Allo	Pair Corr
0.35	GPBFX	Gmo E Plus	Pair Corr
0.52	USERX	Gold And Precious	Pair Corr
0.46	RYAGX	Inverse Mid Cap Steady Growth	Pair Corr
0.55	PBRIX	Federated Prudent Bear	Pair Corr

Related Correlations Analysis

	FCSCX	USGDX	DACGX	RGVCX	USGFX
FCSCX		0.95	0.74	0.61	0.57	FCSCX
USGDX	0.95		0.85	0.68	0.65	USGDX
DACGX	0.74	0.85		0.83	0.81	DACGX
RGVCX	0.61	0.68	0.83		1.0	RGVCX
USGFX	0.57	0.65	0.81	1.0		USGFX
	FCSCX	USGDX	DACGX	RGVCX	USGFX

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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
FCSCX	0.06	0.01	1.21	11.89	0.00	(0.18)	0.13	(0.13)	0.66
USGDX	0.68	0.14	0.41	(1.48)	0.52	(0.84)	1.47	(1.06)	3.93
DACGX	0.22	0.03	0.78	5.12	0.10	(0.26)	0.48	(0.32)	1.22
RGVCX	0.26	0.05	0.75	(1.21)	0.00	(0.32)	0.59	(0.42)	1.38
USGFX	0.28	0.06	0.76	(1.41)	0.00	(0.35)	0.67	(0.43)	1.56

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