Calvert High Correlations

Mutual Funds . USA . 
Fund . Calvert High Yield
CYBRX Fund  USD 24.69  0.01  0.04%   
The current 90-days correlation between Calvert High Yield and Calvert Developed Market is 0.45 (i.e., Very weak diversification). The correlation of Calvert High 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 High Correlation With Market

Very weak diversification

The correlation between Calvert High Yield and DJI is 0.49 (i.e., Very weak diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Calvert High Yield 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 High Yield. 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 real.

Moving together with Calvert Mutual Fund

  0.72CDHIX Calvert Developed MarketPairCorr
  0.68CDHAX Calvert Developed MarketPairCorr
  0.74CDHRX Calvert InternationalPairCorr
  0.8CDSRX Calvert Short DurationPairCorr
  0.79CDSIX Calvert Short DurationPairCorr
  0.7CVMAX Calvert Emerging MarketsPairCorr
  0.75CVMRX Calvert Emerging MarketsPairCorr
  0.7CVMIX Calvert Emerging MarketsPairCorr
  0.7CVMCX Calvert Emerging MarketsPairCorr
  0.63CEFAX Calvert Emerging MarketsPairCorr
  0.63CEFIX Congressional EffectPairCorr
  0.69CEMCX Calvert Emerging MarketsPairCorr
  0.72CEMAX Calvert Emerging MarketsPairCorr
  0.83CFAIX Calvert ConservativePairCorr
  0.64CWVIX Calvert InternationalPairCorr
  0.63CWVCX Calvert InternationalPairCorr
  0.81CFICX Calvert IncomePairCorr
  0.72CFJIX Calvert Large CapPairCorr
  0.68CFJAX Calvert Large CapPairCorr
  0.63CFOIX Calvert Floating RatePairCorr
  0.61CFOAX Calvert Floating RatePairCorr
  0.73CGARX Calvert Responsible IndexPairCorr
  0.65CGAEX Calvert Global EnergyPairCorr
  0.77CGAFX Calvert Green BondPairCorr
  0.69CGACX Calvert Global EnergyPairCorr
  0.77CGBIX Calvert Green BondPairCorr
  0.75CGJAX Calvert Large CapPairCorr
  0.75CGJIX Calvert Large CapPairCorr
  0.73CGLIX Calvert Global EquityPairCorr
  0.68CGLAX Calvert Global EquityPairCorr
  0.87CYBAX Calvert High YieldPairCorr
  1.0CYBIX Calvert High YieldPairCorr

Related Correlations Analysis


Risk-Adjusted Indicators

There is a big difference between Calvert Mutual Fund performing well and Calvert High 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 High'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 (0.02)(0.04) 0.01  0.89 
(0.57)
 0.95 
(1.38)
 3.25 
CDHAX  0.65  0.00 (0.04)(0.10) 0.91 
(0.59)
 1.00 
(1.38)
 3.83 
CDICX  0.08  0.01 (0.37)(1.06) 0.00 
(0.12)
 0.19 
(0.13)
 0.51 
CDHRX  0.66  0.00 (0.01) 0.04  0.89 
(0.62)
 1.28 
(1.38)
 3.78 
CDSRX  0.08  0.01 (0.31) 0.79  0.00 
(0.13)
 0.25 
(0.06)
 0.63 
CDSIX  0.09  0.01 (0.29) 1.10  0.00 
(0.12)
 0.25 
(0.13)
 0.69 
CVMAX  0.71  0.12  0.08  24.46  0.85 
(0.76)
 1.34 
(1.21)
 4.94 
CVMRX  0.72  0.08  0.07  0.15  0.84 
(0.78)
 1.32 
(1.16)
 4.96 
CVMIX  0.71  0.12  0.08  11.82  0.84 
(0.75)
 1.28 
(1.20)
 4.89 
CVMCX  0.71  0.12  0.07  25.35  0.85 
(0.78)
 1.30 
(1.18)
 4.90 

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