Calvert Ultra Correlations

CULAX Fund

USD 9.93 0.00 0.00%

The current 90-days correlation between Calvert Ultra Short and Pimco Income Strategy is 0.15 (i.e., Average diversification). The correlation of Calvert Ultra 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 Ultra Correlation With Market

Significant diversification

The correlation between Calvert Ultra Short Income and DJI is 0.04 (i.e., Significant diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Calvert Ultra Short 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 Ultra Short 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

0.61	CDHIX	Calvert Developed Market	Pair Corr
0.61	CDHAX	Calvert Developed Market	Pair Corr
0.93	CDICX	Calvert Short Duration	Pair Corr
0.61	CDHRX	Calvert International	Pair Corr
0.81	CDSRX	Calvert Short Duration	Pair Corr
0.96	CDSIX	Calvert Short Duration	Pair Corr
0.68	CEYRX	Calvert Equity	Pair Corr
0.73	CFJIX	Calvert Large Cap	Pair Corr
0.7	CFJAX	Calvert Large Cap	Pair Corr
0.78	CFOIX	Calvert Floating Rate	Pair Corr
0.78	CFOAX	Calvert Floating Rate	Pair Corr
0.82	CYBAX	Calvert High Yield	Pair Corr
0.82	CYBRX	Calvert High Yield	Pair Corr
0.82	CYBIX	Calvert High Yield	Pair Corr

Related Correlations Analysis

	PFN	PBRNX	CFRIX	RPIHX	ERBAX	ERBIX	BPSCX	BPSIX	FAX	EGORX
PFN		-0.2	0.37	0.44	-0.37	-0.37	0.35	0.36	0.52	0.46	PFN
PBRNX	-0.2		0.15	0.21	0.86	0.86	0.12	0.13	0.06	0.11	PBRNX
CFRIX	0.37	0.15		0.94	0.02	0.02	0.65	0.51	0.31	0.71	CFRIX
RPIHX	0.44	0.21	0.94		0.04	0.04	0.61	0.56	0.39	0.7	RPIHX
ERBAX	-0.37	0.86	0.02	0.04		1.0	-0.06	-0.05	-0.12	-0.11	ERBAX
ERBIX	-0.37	0.86	0.02	0.04	1.0		-0.07	-0.05	-0.12	-0.12	ERBIX
BPSCX	0.35	0.12	0.65	0.61	-0.06	-0.07		0.88	0.48	0.93	BPSCX
BPSIX	0.36	0.13	0.51	0.56	-0.05	-0.05	0.88		0.57	0.77	BPSIX
FAX	0.52	0.06	0.31	0.39	-0.12	-0.12	0.48	0.57		0.53	FAX
EGORX	0.46	0.11	0.71	0.7	-0.11	-0.12	0.93	0.77	0.53		EGORX
	PFN	PBRNX	CFRIX	RPIHX	ERBAX	ERBIX	BPSCX	BPSIX	FAX	EGORX

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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

ERBIX	+ 1.0	ERBAX
RPIHX	+ 0.94	CFRIX
EGORX	+ 0.93	BPSCX
BPSIX	+ 0.88	BPSCX
ERBAX	+ 0.86	PBRNX
ERBIX	+ 0.86	PBRNX

High negative correlations

ERBIX	- 0.37	PFN
ERBAX	- 0.37	PFN
PBRNX	- 0.2	PFN
EGORX	- 0.12	ERBIX
FAX	- 0.12	ERBIX
FAX	- 0.12	ERBAX

Risk-Adjusted Indicators

There is a big difference between Calvert Mutual Fund performing well and Calvert Ultra 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 Ultra'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
PFN	0.38	0.01	(0.06)	0.21	0.49	(0.41)	0.96	(0.93)	2.85
PBRNX	0.29	(0.03)	0.00	(0.31)	0.00	0.00	0.56	(0.63)	3.47
CFRIX	0.07	0.01	(0.29)	0.48	0.00	(0.17)	0.11	(0.11)	0.66
RPIHX	0.12	0.00	(0.24)	0.01	0.09	(0.20)	0.23	(0.23)	0.92
ERBAX	0.90	(0.20)	0.00	(0.62)	0.00	0.00	1.13	(1.42)	16.70
ERBIX	0.89	(0.21)	0.00	(0.57)	0.00	0.00	1.13	(1.41)	16.88
BPSCX	0.84	0.11	0.06	0.39	0.87	(0.87)	2.21	(1.63)	7.92
BPSIX	0.71	(0.07)	0.00	(0.01)	0.00	0.00	1.71	(1.63)	4.06
FAX	0.48	(0.02)	0.00	(0.08)	0.00	0.00	1.14	(1.00)	3.14
EGORX	0.76	0.14	0.08	(2.03)	0.81	(0.85)	1.39	(1.43)	8.69

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