Calvert Long-term Correlations

Mutual Funds . USA . 
Fund . Calvert Long Term Income
CLDAX Fund  USD 16.00  0.02  0.12%   
The current 90-days correlation between Calvert Long Term and Calvert Emerging Markets is -0.05 (i.e., Good diversification). The correlation of Calvert Long-term 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 Long-term Correlation With Market

Very weak diversification

The correlation between Calvert Long Term Income and DJI is 0.58 (i.e., Very weak diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Calvert Long Term Income 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 Long Term Income. 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

  0.86CDHIX Calvert Developed MarketPairCorr
  0.86CDHAX Calvert Developed MarketPairCorr
  0.89CDICX Calvert Short DurationPairCorr
  0.86CDHRX Calvert InternationalPairCorr
  0.89CDSRX Calvert Short DurationPairCorr
  0.89CDSIX Calvert Short DurationPairCorr
  0.86CVMAX Calvert Emerging MarketsPairCorr
  0.86CVMRX Calvert Emerging MarketsPairCorr
  0.86CVMIX Calvert Emerging MarketsPairCorr
  0.85CVMCX Calvert Emerging MarketsPairCorr
  0.79CEFAX Calvert Emerging MarketsPairCorr
  0.79CEFIX Congressional EffectPairCorr
  0.81CEMCX Calvert Emerging MarketsPairCorr
  0.81CEMAX Calvert Emerging MarketsPairCorr
  0.83CFAIX Calvert ConservativePairCorr
  0.64CWVIX Calvert InternationalPairCorr
  0.64CWVGX Calvert InternationalPairCorr
  0.62CWVCX Calvert InternationalPairCorr
  0.93CFICX Calvert IncomePairCorr
  0.81CFJIX Calvert Large CapPairCorr
  0.81CFJAX Calvert Large CapPairCorr
  0.84CFWCX Calvert Global WaterPairCorr
  0.85CFWAX Calvert Global WaterPairCorr
  0.85CFWIX Calvert Global WaterPairCorr
  0.68CGARX Calvert Responsible IndexPairCorr
  0.88CGAEX Calvert Global EnergyPairCorr
  0.94CGAFX Calvert Green BondPairCorr
  0.87CGACX Calvert Global EnergyPairCorr
  0.99CGBIX Calvert Green BondPairCorr

Moving against Calvert Mutual Fund

  0.74CEYIX Calvert Equity PortfolioPairCorr
  0.57CGJAX Calvert Large CapPairCorr
  0.56CFOAX Calvert Floating RatePairCorr
  0.56CGJIX Calvert Large CapPairCorr
  0.55CFOIX Calvert Floating RatePairCorr

Related Correlations Analysis


Risk-Adjusted Indicators

There is a big difference between Calvert Mutual Fund performing well and Calvert Long-term 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 Long-term'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  0.64  0.13  0.11  0.20  0.90 
(0.66)
 1.46 
(1.37)
 6.12 
CDHAX  0.64  0.16  0.11 (1.04) 0.88 
(0.65)
 1.43 
(1.38)
 4.07 
CDICX  0.06  0.00 (0.33) 0.06  0.00 
(0.10)
 0.13 
(0.13)
 0.57 
CDHRX  0.64  0.13  0.11  0.19  0.89 
(0.66)
 1.44 
(1.37)
 6.11 
CDSRX  0.07  0.01 (0.31)(0.25) 0.00 
(0.12)
 0.19 
(0.13)
 0.63 
CDSIX  0.07  0.01 (0.32)(0.22) 0.00 
(0.12)
 0.19 
(0.06)
 0.69 
CVMAX  0.82  0.19  0.11 (1.53) 1.12 
(0.89)
 2.01 
(1.18)
 4.25 
CVMRX  0.81  0.14  0.10  0.20  1.09 
(0.88)
 1.97 
(1.17)
 8.22 
CVMIX  0.81  0.14  0.10  0.20  1.09 
(0.91)
 1.99 
(1.21)
 8.20 
CVMCX  0.81  0.13  0.10  0.20  1.11 
(0.91)
 1.97 
(1.17)
 8.20 

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