Calvert Income Correlations
| CINCX Fund | USD 15.48 0.02 0.13% |
The current 90-days correlation between Calvert Income and The National Tax Free is -0.24 (i.e., Very good diversification). The correlation of Calvert Income 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 Income Correlation With Market
Average diversification
The correlation between Calvert Income Fund and DJI is 0.18 (i.e., Average diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Calvert Income Fund and DJI in the same portfolio, assuming nothing else is changed.
Calvert |
Moving together with Calvert Mutual Fund
| 0.67 | CDICX | Calvert Short Duration | PairCorr |
| 0.66 | CYBAX | Calvert High Yield | PairCorr |
| 0.65 | CSBCX | Calvert Bond Portfolio | PairCorr |
| 0.78 | PTTPX | Pimco Total Return | PairCorr |
| 0.78 | PTRRX | Total Return | PairCorr |
| 0.78 | PTTRX | Total Return | PairCorr |
| 0.7 | PDBSX | Prudential Total Return | PairCorr |
| 0.78 | CFSTX | Short Term | PairCorr |
| 0.65 | MSJAX | Morgan Stanley Global | PairCorr |
| 0.77 | EIHIX | Eaton Vance High | PairCorr |
| 0.81 | PPIAX | Deutsche Short Duration | PairCorr |
| 0.76 | VGWIX | Vanguard Global Wellesley | PairCorr |
Related Correlations Analysis
Risk-Adjusted Indicators
There is a big difference between Calvert Mutual Fund performing well and Calvert Income 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 Income'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 | ||
|---|---|---|---|---|---|---|---|---|---|---|
| CFNLX | 0.06 | 0.01 | (0.48) | 4.17 | 0.00 | 0.11 | 0.48 | |||
| OWMBX | 0.05 | 0.01 | (0.54) | (1.48) | 0.00 | 0.09 | 0.26 | |||
| GCMFX | 0.06 | 0.01 | (0.27) | (7.35) | 0.00 | 0.21 | 0.62 | |||
| PRFHX | 0.09 | 0.01 | (0.27) | (2.49) | 0.00 | 0.18 | 0.81 | |||
| FCMAX | 0.07 | 0.01 | (0.37) | (4.07) | 0.00 | 0.24 | 0.57 | |||
| PBCAX | 0.06 | 0.01 | (0.43) | 1.01 | 0.00 | 0.20 | 0.40 | |||
| TIMTX | 0.07 | 0.02 | (0.28) | (1.53) | 0.00 | 0.19 | 0.56 |