Calvert Short Correlations

CDSRX Fund

USD 15.85 -0.03 -0.19%

Current 90-days correlation between Calvert Short Duration and Nuveen Arizona Municipal is 0.62 (i.e., Poor diversification).Because correlations between assets tend to spike during market dislocations, the apparent diversification benefit of holding Calvert Short alongside other equities may be lower in practice than historical averages suggest.

Calvert Short Market Correlation

Average diversification

CDSRX currently posts a 0.15 correlation with DJI, indicating a Average diversification relationship for the active sample. In portfolio terms, the overlap visualization shows how much shared movement remains after both positions are combined.

Trending Equities provides context for diversified portfolio design. Such insight adds context to allocation decisions within a diversified portfolio. This suggests a position in Calvert Short Duration within the allocation view. 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 main economic indicators.

Moving together with Calvert Mutual Fund

0.83	CDHAX	Calvert Developed Market	Pair Corr
0.98	CDICX	Calvert Short Duration	Pair Corr
0.77	CDHRX	Calvert International	Pair Corr
0.92	CDSIX	Calvert Short Duration	Pair Corr
0.79	CVMIX	Calvert Emerging Markets	Pair Corr
0.77	CVMCX	Calvert Emerging Markets	Pair Corr
0.76	CEFAX	Calvert Emerging Markets	Pair Corr
0.76	CEFIX	Congressional Effect Potential Growth	Pair Corr
0.93	CFICX	Calvert Income	Pair Corr
0.74	CFJIX	Calvert Large Cap	Pair Corr
0.74	CFJAX	Calvert Large Cap	Pair Corr
0.76	CFWAX	Calvert Global Water	Pair Corr
0.75	CGAEX	Calvert Global Energy	Pair Corr
0.75	CGACX	Calvert Global Energy	Pair Corr
0.93	CGBIX	Calvert Green Bond	Pair Corr
0.77	CIFCX	Calvert Income	Pair Corr
0.94	CINCX	Calvert Income	Pair Corr
0.83	CLDIX	Calvert Long Term	Pair Corr
0.74	CLDAX	Calvert Long Term	Pair Corr
0.74	CLVRX	Columbia International	Pair Corr

Moving against Calvert Mutual Fund

0.67	CEYIX	Calvert Equity Portfolio	Pair Corr
0.67	CEYRX	Calvert Equity	Pair Corr
0.5	CGJAX	Calvert Large Cap	Pair Corr
0.5	CGJIX	Calvert Large Cap	Pair Corr

Related Correlations Analysis

	JHMXX	TTRBX	LTEFX	TIMTX	FZDXX	FZCCX
JHMXX		0.0	0.0	0.0	0.0	0.0	JHMXX
TTRBX	0.0		0.93	0.93	0.0	0.78	TTRBX
LTEFX	0.0	0.93		1.0	0.0	0.81	LTEFX
TIMTX	0.0	0.93	1.0		0.0	0.82	TIMTX
FZDXX	0.0	0.0	0.0	0.0		0.0	FZDXX
FZCCX	0.0	0.78	0.81	0.82	0.0		FZCCX
	JHMXX	TTRBX	LTEFX	TIMTX	FZDXX	FZCCX

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

TIMTX	+ 1.0	LTEFX
LTEFX	+ 0.93	TTRBX
TIMTX	+ 0.93	TTRBX
FZCCX	+ 0.82	TIMTX
FZCCX	+ 0.81	LTEFX
FZCCX	+ 0.78	TTRBX

High negative correlations

FZCCX	- 0.0	FZDXX
FZDXX	- 0.0	TIMTX
FZDXX	- 0.0	LTEFX
FZDXX	- 0.0	TTRBX
FZCCX	- 0.0	JHMXX
FZDXX	- 0.0	JHMXX

Risk-Adjusted Indicators

Surface-level performance for Calvert Mutual Fund can mask how the business actually stacks up against its competitive set. Without reviewing risk-adjusted indicators, investors may overweight recent returns and underweight the volatility required to achieve them. 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
JHMXX	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00
TTRBX	0.10	-0.01	0.41	-0.38	0.12	-0.15	0.20	-0.30	0.80
LTEFX	0.07	0.01	0.49	0.70	0.00	-0.11	0.19	-0.19	0.70
TIMTX	0.08	0.01	0.39	0.62	0.00	-0.13	0.19	-0.19	0.83
FZDXX	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00
FZCCX	0.09	0.01	0.35	0.31	0.03	-0.14	0.20	-0.20	0.79

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