Calvert Long-term Correlations

Mutual Funds . USA . 
Fund . Calvert Long Term Income
CLDAX Fund  USD 16.06  0.01  0.06%   
The current 90-days correlation between Calvert Long Term and Calvert Emerging Markets is 0.18 (i.e., Average 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

Poor diversification

The correlation between Calvert Long Term Income and DJI is 0.75 (i.e., Poor 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

  0.85CDHIX Calvert Developed MarketPairCorr
  0.83CDHAX Calvert Developed MarketPairCorr
  0.91CDICX Calvert Short DurationPairCorr
  0.85CDHRX Calvert InternationalPairCorr
  0.88CDSRX Calvert Short DurationPairCorr
  0.88CDSIX Calvert Short DurationPairCorr
  0.81CVMAX Calvert Emerging MarketsPairCorr
  0.83CVMRX Calvert Emerging MarketsPairCorr
  0.83CVMIX Calvert Emerging MarketsPairCorr
  0.83CVMCX Calvert Emerging MarketsPairCorr
  0.79CEFAX Calvert Emerging MarketsPairCorr
  0.8CEFIX Congressional EffectPairCorr
  0.82CEMCX Calvert Emerging MarketsPairCorr
  0.82CEMAX Calvert Emerging MarketsPairCorr
  0.83CFAIX Calvert ConservativePairCorr
  0.69CWVIX Calvert InternationalPairCorr
  0.68CWVGX Calvert InternationalPairCorr
  0.68CWVCX Calvert InternationalPairCorr
  0.98CFICX Calvert IncomePairCorr
  0.84CFJIX Calvert Large CapPairCorr
  0.83CFJAX Calvert Large CapPairCorr
  0.85CFWCX Calvert Global WaterPairCorr
  0.85CFWAX Calvert Global WaterPairCorr
  0.85CFWIX Calvert Global WaterPairCorr
  0.75CGARX Calvert Responsible IndexPairCorr
  0.83CGAEX Calvert Global EnergyPairCorr
  0.98CGAFX Calvert Green BondPairCorr
  0.85CGACX Calvert Global EnergyPairCorr
  0.98CGBIX Calvert Green BondPairCorr
  0.67CGLIX Calvert Global EquityPairCorr
  0.67CGLAX Calvert Global EquityPairCorr
  0.76CYBAX Calvert High YieldPairCorr
  0.77CYBRX Calvert High YieldPairCorr
  0.76CYBIX Calvert High YieldPairCorr

Moving against Calvert Mutual Fund

  0.43CEYIX Calvert Equity PortfolioPairCorr

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  0.62  0.15  0.16  0.26  0.51 
(0.69)
 1.51 
(1.34)
 3.42 
CDHAX  0.61  0.19  0.14 (4.49) 0.56 
(0.66)
 1.52 
(1.31)
 3.45 
CDICX  0.06  0.01 (0.77) 0.26  0.00 
(0.10)
 0.13 
(0.06)
 0.38 
CDHRX  0.62  0.15  0.16  0.26  0.51 
(0.69)
 1.52 
(1.32)
 3.43 
CDSRX  0.07  0.01 (0.73)(0.81) 0.00 
(0.12)
 0.19 
(0.06)
 0.51 
CDSIX  0.07  0.01 (0.78)(0.70) 0.00 
(0.12)
 0.19 
(0.06)
 0.57 
CVMAX  0.70  0.21  0.18  24.14  0.48 
(0.82)
 1.56 
(1.16)
 4.25 
CVMRX  0.72  0.20  0.22  0.38  0.41 
(0.85)
 1.97 
(1.16)
 4.27 
CVMIX  0.72  0.20  0.23  0.37  0.41 
(0.87)
 1.96 
(1.19)
 4.30 
CVMCX  0.72  0.19  0.22  0.36  0.42 
(0.90)
 1.90 
(1.17)
 4.29 

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