Calvert Ultra-short Correlations

CULRX Fund

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The current 90-days correlation between Calvert Ultra Short and Calvert Developed Market is 0.11 (i.e., Average diversification). The correlation of Calvert Ultra-short 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-short Correlation With Market

Significant diversification

The correlation between Calvert Ultra Short Duration 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 Ultra Short Duration 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 Duration. 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 metropolitan statistical area.

Moving together with Calvert Mutual Fund

0.86	CFOIX	Calvert Floating Rate	Pair Corr
0.93	CFOAX	Calvert Floating Rate	Pair Corr
0.71	CGJAX	Calvert Large Cap	Pair Corr
0.71	CGJIX	Calvert Large Cap	Pair Corr
0.64	CYBAX	Calvert High Yield	Pair Corr

Moving against Calvert Mutual Fund

0.79	CVMCX	Calvert Emerging Markets	Pair Corr
0.75	CVMAX	Calvert Emerging Markets	Pair Corr
0.75	CVMRX	Calvert Emerging Markets	Pair Corr
0.75	CVMIX	Calvert Emerging Markets	Pair Corr
0.68	CWVCX	Calvert International	Pair Corr
0.67	CEMCX	Calvert Emerging Markets	Pair Corr
0.67	CEMAX	Calvert Emerging Markets	Pair Corr
0.67	CWVGX	Calvert International	Pair Corr
0.66	CWVIX	Calvert International	Pair Corr
0.56	CDHAX	Calvert Developed Market	Pair Corr
0.55	CDHIX	Calvert Developed Market	Pair Corr
0.55	CDHRX	Calvert International	Pair Corr
0.72	CGACX	Calvert Global Energy	Pair Corr
0.7	CGAEX	Calvert Global Energy	Pair Corr
0.49	CGRRX	Calamos Growth	Pair Corr
0.48	CGEIX	Columbia Select Global	Pair Corr
0.48	CGRAX	Calvert Global Real	Pair Corr
0.43	CFWCX	Calvert Global Water	Pair Corr
0.41	CFWAX	Calvert Global Water	Pair Corr
0.41	CFWIX	Calvert Global Water	Pair Corr
0.36	CGAFX	Calvert Green Bond	Pair Corr
0.36	CGBIX	Calvert Green Bond	Pair Corr

Related Correlations Analysis

	CDHIX	CDHAX	CDICX	CDHRX	CDSRX	CDSIX	CVMAX	CVMRX	CVMIX	CVMCX
CDHIX		1.0	0.48	1.0	-0.01	0.46	0.84	0.85	0.85	0.79	CDHIX
CDHAX	1.0		0.48	1.0	-0.01	0.46	0.85	0.86	0.86	0.79	CDHAX
CDICX	0.48	0.48		0.48	0.55	0.59	0.17	0.18	0.18	0.13	CDICX
CDHRX	1.0	1.0	0.48		-0.01	0.46	0.84	0.85	0.85	0.79	CDHRX
CDSRX	-0.01	-0.01	0.55	-0.01		0.8	-0.18	-0.18	-0.18	-0.25	CDSRX
CDSIX	0.46	0.46	0.59	0.46	0.8		0.27	0.28	0.28	0.19	CDSIX
CVMAX	0.84	0.85	0.17	0.84	-0.18	0.27		1.0	1.0	0.96	CVMAX
CVMRX	0.85	0.86	0.18	0.85	-0.18	0.28	1.0		1.0	0.96	CVMRX
CVMIX	0.85	0.86	0.18	0.85	-0.18	0.28	1.0	1.0		0.96	CVMIX
CVMCX	0.79	0.79	0.13	0.79	-0.25	0.19	0.96	0.96	0.96		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

CDHAX	+ 1.0	CDHIX
CDHRX	+ 1.0	CDHIX
CDHRX	+ 1.0	CDHAX
CVMRX	+ 1.0	CVMAX
CVMIX	+ 1.0	CVMAX
CVMIX	+ 1.0	CVMRX

High negative correlations

CVMCX	- 0.25	CDSRX
CVMIX	- 0.18	CDSRX
CVMRX	- 0.18	CDSRX
CVMAX	- 0.18	CDSRX
CDSRX	- 0.01	CDHRX
CDSRX	- 0.01	CDHAX

Risk-Adjusted Indicators

There is a big difference between Calvert Mutual Fund performing well and Calvert Ultra-short 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-short'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	Treynor Ratio	Potential Upside	Value @Risk	Maximum Drawdown
CDHIX	0.59	(0.15)	(5.09)	0.82	(1.34)	4.55
CDHAX	0.58	(0.15)	(3.97)	0.83	(1.33)	4.38
CDICX	0.07	(0.01)	(0.72)	0.13	(0.13)	0.58
CDHRX	0.59	(0.15)	(5.23)	0.82	(1.35)	4.65
CDSRX	0.09	(0.02)	(1.10)	0.19	(0.13)	0.83
CDSIX	0.08	(0.02)	(1.51)	0.13	(0.13)	0.64
CVMAX	0.65	(0.13)	(1.32)	1.28	(1.70)	3.65
CVMRX	0.66	(0.13)	(1.34)	1.33	(1.69)	3.73
CVMIX	0.65	(0.14)	(1.40)	1.27	(1.68)	3.72
CVMCX	0.64	(0.13)	(0.77)	1.28	(1.66)	3.69

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