Calvert High Yield Fund Market Value
| CYBAX Fund | USD 24.19 0.07 0.29% |
| Symbol | Calvert |
Calvert High 'What if' Analysis
In the world of financial modeling, what-if analysis is part of sensitivity analysis performed to test how changes in assumptions impact individual outputs in a model. When applied to Calvert High's mutual fund what-if analysis refers to the analyzing how the change in your past investing horizon will affect the profitability against the current market value of Calvert High.
| 03/26/2024 |
| 04/25/2024 |
If you would invest 0.00 in Calvert High on March 26, 2024 and sell it all today you would earn a total of 0.00 from holding Calvert High Yield or generate 0.0% return on investment in Calvert High over 30 days. Calvert High is related to or competes with Morningstar Unconstrained, and SPACE. Under normal circumstances, the fund invests at least 80 percent of its net assets in high-yield, high-risk bonds, also ... More
Calvert High Upside/Downside Indicators
Understanding different market momentum indicators often help investors to time their next move. Potential upside and downside technical ratios enable traders to measure Calvert High's mutual fund current market value against overall market sentiment and can be a good tool during both bulling and bearish trends. Here we outline some of the essential indicators to assess Calvert High Yield upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 0.2123 | |||
| Information Ratio | (0.42) | |||
| Maximum Drawdown | 0.9445 | |||
| Value At Risk | (0.29) | |||
| Potential Upside | 0.2902 |
Calvert High Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Calvert High's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Calvert High's standard deviation. In reality, there are many statistical measures that can use Calvert High historical prices to predict the future Calvert High's volatility.| Risk Adjusted Performance | 0.0295 | |||
| Jensen Alpha | (0.01) | |||
| Total Risk Alpha | (0.02) | |||
| Sortino Ratio | (0.37) | |||
| Treynor Ratio | 0.0312 |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of Calvert High's price to converge to an average value over time is called mean reversion. However, historically, high market prices usually discourage investors that believe in mean reversion to invest, while low prices are viewed as an opportunity to buy.
Calvert High Yield Backtested Returns
We consider Calvert High very steady. Calvert High Yield secures Sharpe Ratio (or Efficiency) of 0.0497, which signifies that the fund had a 0.0497% return per unit of risk over the last 3 months. We have found twenty-eight technical indicators for Calvert High Yield, which you can use to evaluate the volatility of the entity. Please confirm Calvert High's Risk Adjusted Performance of 0.0295, downside deviation of 0.2123, and Mean Deviation of 0.1415 to double-check if the risk estimate we provide is consistent with the expected return of 0.0095%. The fund shows a Beta (market volatility) of 0.19, which signifies not very significant fluctuations relative to the market. As returns on the market increase, Calvert High's returns are expected to increase less than the market. However, during the bear market, the loss of holding Calvert High is expected to be smaller as well.
Auto-correlation | 0.15 |
Insignificant predictability
Calvert High Yield has insignificant predictability. Overlapping area represents the amount of predictability between Calvert High time series from 26th of March 2024 to 10th of April 2024 and 10th of April 2024 to 25th of April 2024. The more autocorrelation exist between current time interval and its lagged values, the more accurately you can make projection about the future pattern of Calvert High Yield price movement. The serial correlation of 0.15 indicates that less than 15.0% of current Calvert High price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.15 | |
| Spearman Rank Test | 0.52 | |
| Residual Average | 0.0 | |
| Price Variance | 0.01 |
Calvert High Yield lagged returns against current returns
Autocorrelation, which is Calvert High mutual fund's lagged correlation, explains the relationship between observations of its time series of returns over different periods of time. The observations are said to be independent if autocorrelation is zero. Autocorrelation is calculated as a function of mean and variance and can have practical application in predicting Calvert High's mutual fund expected returns. We can calculate the autocorrelation of Calvert High returns to help us make a trade decision. For example, suppose you find that Calvert High has exhibited high autocorrelation historically, and you observe that the mutual fund is moving up for the past few days. In that case, you can expect the price movement to match the lagging time series.
Current and Lagged Values |
| Timeline |
Calvert High regressed lagged prices vs. current prices
Serial correlation can be approximated by using the Durbin-Watson (DW) test. The correlation can be either positive or negative. If Calvert High mutual fund is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Calvert High mutual fund is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Calvert High mutual fund over time.
Current vs Lagged Prices |
| Timeline |
Calvert High Lagged Returns
When evaluating Calvert High's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Calvert High mutual fund have on its future price. Calvert High autocorrelation represents the degree of similarity between a given time horizon and a lagged version of the same horizon over the previous time interval. In other words, Calvert High autocorrelation shows the relationship between Calvert High mutual fund current value and its past values and can show if there is a momentum factor associated with investing in Calvert High Yield.
Regressed Prices |
| Timeline |
Pair Trading with Calvert High
One of the main advantages of trading using pair correlations is that every trade hedges away some risk. Because there are two separate transactions required, even if Calvert High position performs unexpectedly, the other equity can make up some of the losses. Pair trading also minimizes risk from directional movements in the market. For example, if an entire industry or sector drops because of unexpected headlines, the short position in Calvert High will appreciate offsetting losses from the drop in the long position's value.Moving together with Calvert Mutual Fund
| 0.83 | CDHIX | Calvert Developed Market | PairCorr |
| 0.83 | CDHAX | Calvert Developed Market | PairCorr |
| 0.83 | CDICX | Calvert Short Duration | PairCorr |
| 0.83 | CDHRX | Calvert International | PairCorr |
| 0.89 | CDSIX | Calvert Short Duration | PairCorr |
The ability to find closely correlated positions to Calvert High could be a great tool in your tax-loss harvesting strategies, allowing investors a quick way to find a similar-enough asset to replace Calvert High when you sell it. If you don't do this, your portfolio allocation will be skewed against your target asset allocation. So, investors can't just sell and buy back Calvert High - that would be a violation of the tax code under the "wash sale" rule, and this is why you need to find a similar enough asset and use the proceeds from selling Calvert High Yield to buy it.
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 perfect positive correlation (i.e., a correlation coefficient of +1) implies that as Calvert High moves, either up or down, the other security will move in the same direction. Alternatively, perfect negative correlation means that if Calvert High Yield moves in either direction, the perfectly negatively correlated security will move in the opposite direction. If the correlation is 0, the equities are not correlated; they are entirely random. A correlation greater than 0.8 is generally described as strong, whereas a correlation less than 0.5 is generally considered weak.
Correlation analysis and pair trading evaluation for Calvert High can also be used as hedging techniques within a particular sector or industry or even over random equities to generate a better risk-adjusted return on your portfolios.Check out Calvert High Correlation, Calvert High Volatility and Calvert High Alpha and Beta module to complement your research on Calvert High. Note that the Calvert High Yield information on this page should be used as a complementary analysis to other Calvert High's statistical models used to find the right mix of equity instruments to add to your existing portfolios or create a brand new portfolio. You can also try the Commodity Directory module to find actively traded commodities issued by global exchanges.
Calvert High technical mutual fund analysis exercises models and trading practices based on price and volume transformations, such as the moving averages, relative strength index, regressions, price and return correlations, business cycles, fund market cycles, or different charting patterns.