Calvert High Correlations

CYBRX Fund

USD 24.63 0.03 0.12%

The current 90-days correlation between Calvert High Yield and Qs Global Equity is -0.04 (i.e., Good 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

Significant diversification

The correlation between Calvert High Yield and DJI is 0.01 (i.e., Significant 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 metropolitan statistical area.

Moving against Calvert Mutual Fund

0.52	PFE	Pfizer Inc Aggressive Push	Pair Corr
0.36	MRK	Merck Company Fiscal Year End 6th of February 2025	Pair Corr
0.34	BA	Boeing Fiscal Year End 29th of January 2025	Pair Corr

Related Correlations Analysis

	SMYIX	MGGNX	SMPIX	APDTX	LIOTX	OPTCX	FSTKX
SMYIX		0.08	0.82	0.97	0.9	0.96	0.97	SMYIX
MGGNX	0.08		-0.27	0.15	0.02	0.1	0.11	MGGNX
SMPIX	0.82	-0.27		0.81	0.72	0.74	0.72	SMPIX
APDTX	0.97	0.15	0.81		0.89	0.94	0.94	APDTX
LIOTX	0.9	0.02	0.72	0.89		0.91	0.95	LIOTX
OPTCX	0.96	0.1	0.74	0.94	0.91		0.98	OPTCX
FSTKX	0.97	0.11	0.72	0.94	0.95	0.98		FSTKX
	SMYIX	MGGNX	SMPIX	APDTX	LIOTX	OPTCX	FSTKX

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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

FSTKX	+ 0.98	OPTCX
APDTX	+ 0.97	SMYIX
FSTKX	+ 0.97	SMYIX
OPTCX	+ 0.96	SMYIX
FSTKX	+ 0.95	LIOTX
OPTCX	+ 0.94	APDTX

High negative correlations

SMPIX

- 0.27

MGGNX

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 Deviation	Jensen Alpha	Sortino Ratio	Treynor Ratio	Semi Deviation	Expected Shortfall	Potential Upside	Value @Risk	Maximum Drawdown
SMYIX	0.56	0.00	(0.04)	0.12	0.71	(0.60)	1.47	(1.30)	3.40
MGGNX	0.20	0.02	(0.38)	0.92	0.13	(0.26)	0.46	(0.34)	1.13
SMPIX	2.61	(0.19)	(0.01)	0.03	3.88	(2.40)	4.26	(6.39)	17.06
APDTX	0.78	0.05	0.02	0.18	1.01	(0.78)	1.73	(1.27)	5.07
LIOTX	0.63	0.07	0.03	0.24	0.69	(0.74)	1.25	(1.28)	3.54
OPTCX	0.15	0.02	(0.43)	0.23	0.00	(0.22)	0.32	(0.21)	1.04
FSTKX	0.52	0.04	0.03	0.18	0.33	(0.62)	1.10	(0.86)	3.60

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