Calvert Long-term Correlations

CLDAX Fund

USD 15.77 0.02 0.13%

The current 90-days correlation between Calvert Long Term and Eic Value Fund is 0.44 (i.e., Very weak 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

Average diversification

The correlation between Calvert Long Term Income and DJI is 0.13 (i.e., Average 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

0.85	CDHIX	Calvert Developed Market	Pair Corr
0.84	CDHAX	Calvert Developed Market	Pair Corr
0.95	CDICX	Calvert Short Duration	Pair Corr
0.84	CDHRX	Calvert International	Pair Corr
0.94	CDSRX	Calvert Short Duration	Pair Corr
0.92	CDSIX	Calvert Short Duration	Pair Corr
0.61	CVMRX	Calvert Emerging Markets	Pair Corr
0.61	CVMIX	Calvert Emerging Markets	Pair Corr
0.78	CEFAX	Calvert Emerging Markets	Pair Corr
0.8	CEFIX	Congressional Effect	Pair Corr
0.67	CFAIX	Calvert Conservative	Pair Corr
0.79	CWVIX	Calvert International	Pair Corr
0.79	CWVGX	Calvert International	Pair Corr
0.8	CWVCX	Calvert International	Pair Corr
0.96	CFICX	Calvert Income	Pair Corr
0.96	CGAFX	Calvert Green Bond	Pair Corr
1.0	CGBIX	Calvert Green Bond	Pair Corr
0.81	CYBAX	Calvert High Yield	Pair Corr
0.83	CYBRX	Calvert High Yield	Pair Corr
0.83	CYBIX	Calvert High Yield	Pair Corr

Moving against Calvert Mutual Fund

0.55	CEMCX	Calvert Emerging Markets	Pair Corr
0.55	CEMAX	Calvert Emerging Markets	Pair Corr
0.66	CGJAX	Calvert Large Cap	Pair Corr
0.66	CGJIX	Calvert Large Cap	Pair Corr
0.55	CISIX	Calvert Large Cap	Pair Corr
0.32	CGLAX	Calvert Global Equity	Pair Corr
0.31	CGLIX	Calvert Global Equity	Pair Corr

Related Correlations Analysis

	EICVX	CPUCX	XHYIX	PIEQX	CENTX	SGLIX	LOGBX	KMVAX
EICVX		0.8	-0.11	0.9	0.89	-0.04	0.83	-0.17	EICVX
CPUCX	0.8		-0.01	0.87	0.87	0.27	0.75	-0.47	CPUCX
XHYIX	-0.11	-0.01		-0.15	-0.17	0.59	0.3	0.53	XHYIX
PIEQX	0.9	0.87	-0.15		0.99	0.07	0.73	-0.44	PIEQX
CENTX	0.89	0.87	-0.17	0.99		0.11	0.74	-0.45	CENTX
SGLIX	-0.04	0.27	0.59	0.07	0.11		0.38	0.06	SGLIX
LOGBX	0.83	0.75	0.3	0.73	0.74	0.38		0.07	LOGBX
KMVAX	-0.17	-0.47	0.53	-0.44	-0.45	0.06	0.07		KMVAX
	EICVX	CPUCX	XHYIX	PIEQX	CENTX	SGLIX	LOGBX	KMVAX

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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

CENTX	+ 0.99	PIEQX
PIEQX	+ 0.9	EICVX
CENTX	+ 0.89	EICVX
PIEQX	+ 0.87	CPUCX
CENTX	+ 0.87	CPUCX
LOGBX	+ 0.83	EICVX

High negative correlations

KMVAX	- 0.47	CPUCX
KMVAX	- 0.45	CENTX
KMVAX	- 0.44	PIEQX
CENTX	- 0.17	XHYIX
KMVAX	- 0.17	EICVX
PIEQX	- 0.15	XHYIX

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 Deviation	Jensen Alpha	Sortino Ratio	Treynor Ratio	Semi Deviation	Expected Shortfall	Potential Upside	Value @Risk	Maximum Drawdown
EICVX	0.59	0.09	0.16	0.11	0.72	(0.61)	1.21	(1.42)	2.93
CPUCX	0.26	0.01	0.23	0.04	0.26	(0.31)	0.44	(0.54)	1.45
XHYIX	0.16	(0.04)	0.00	1.15	0.00	0.00	0.25	(0.49)	1.31
PIEQX	0.66	0.09	0.19	(0.57)	0.80	(0.74)	1.55	(1.17)	4.73
CENTX	0.48	0.07	0.22	(1.29)	0.49	(0.54)	1.09	(0.87)	3.07
SGLIX	0.81	(0.26)	0.00	(4.87)	0.00	0.00	0.97	(0.97)	18.08
LOGBX	0.51	0.01	0.00	(0.06)	0.00	0.00	0.83	(1.17)	4.19
KMVAX	1.14	(0.01)	0.00	(0.08)	0.00	0.00	1.72	(2.51)	9.45

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