Calvert Long Correlations

CLDIX Fund

USD 15.98 0.03 0.19%

The current 90-days correlation between Calvert Long Term and Calvert Developed Market is 0.21 (i.e., Modest diversification). The correlation of Calvert Long 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 Correlation With Market

Significant diversification

The correlation between Calvert Long Term Income and DJI is 0.07 (i.e., Significant 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 gross domestic product.

Moving together with Calvert Mutual Fund

0.68	CFAIX	Calvert Conservative	Pair Corr
0.79	CFICX	Calvert Income	Pair Corr
0.82	CGAFX	Calvert Green Bond	Pair Corr
0.99	CGBIX	Calvert Green Bond	Pair Corr

Related Correlations Analysis

	CDHIX	CDHAX	CDICX	CDHRX	CDSRX	CDSIX	CVMAX	CVMRX	CVMIX	CVMCX
CDHIX		0.91	0.33	1.0	0.7	0.7	0.64	0.77	0.77	0.72	CDHIX
CDHAX	0.91		0.21	0.91	0.68	0.67	0.77	0.73	0.73	0.68	CDHAX
CDICX	0.33	0.21		0.33	0.42	0.44	-0.06	0.02	0.02	0.06	CDICX
CDHRX	1.0	0.91	0.33		0.7	0.7	0.64	0.77	0.77	0.71	CDHRX
CDSRX	0.7	0.68	0.42	0.7		1.0	0.53	0.59	0.59	0.55	CDSRX
CDSIX	0.7	0.67	0.44	0.7	1.0		0.52	0.58	0.58	0.54	CDSIX
CVMAX	0.64	0.77	-0.06	0.64	0.53	0.52		0.87	0.87	0.77	CVMAX
CVMRX	0.77	0.73	0.02	0.77	0.59	0.58	0.87		1.0	0.86	CVMRX
CVMIX	0.77	0.73	0.02	0.77	0.59	0.58	0.87	1.0		0.86	CVMIX
CVMCX	0.72	0.68	0.06	0.71	0.55	0.54	0.77	0.86	0.86		CVMCX
	CDHIX	CDHAX	CDICX	CDHRX	CDSRX	CDSIX	CVMAX	CVMRX	CVMIX	CVMCX

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Correlation Matchups

Over a given time period, the two securities move together when the Correlation Coefficient is positive. Conversely, the two assets move in opposite directions when the Correlation Coefficient is negative. Determining your positions' relationship to each other is valuable for analyzing and projecting your portfolio's future expected return and risk.

High positive correlations

CDHRX	+ 1.0	CDHIX
CDSIX	+ 1.0	CDSRX
CVMIX	+ 1.0	CVMRX
CDHAX	+ 0.91	CDHIX
CDHRX	+ 0.91	CDHAX
CVMRX	+ 0.87	CVMAX

High negative correlations

CVMAX

- 0.06

CDICX

Risk-Adjusted Indicators

There is a big difference between Calvert Mutual Fund performing well and Calvert Long 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'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
CDHIX	0.62	0.09	0.05	0.51	0.78	(0.60)	1.27	(1.37)	3.14
CDHAX	0.63	0.11	0.06	4.32	0.80	(0.61)	1.29	(1.37)	3.15
CDICX	0.07	0.00	(0.50)	0.24	0.00	(0.11)	0.13	(0.13)	0.45
CDHRX	0.62	0.09	0.06	0.50	0.78	(0.60)	1.27	(1.38)	3.14
CDSRX	0.08	0.01	(0.44)	(8.59)	0.00	(0.12)	0.13	(0.06)	0.70
CDSIX	0.08	0.01	(0.44)	(2.77)	0.00	(0.12)	0.13	(0.06)	0.70
CVMAX	0.73	0.10	0.05	3.61	0.85	(0.77)	1.33	(1.19)	4.91
CVMRX	0.71	0.11	0.07	0.79	0.84	(0.75)	1.36	(1.14)	4.93
CVMIX	0.71	0.11	0.07	0.84	0.84	(0.77)	1.32	(1.18)	4.87
CVMCX	0.70	0.06	0.05	0.12	0.86	(0.77)	1.34	(1.19)	4.90

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