Calvert Aggressive Correlations
| CAAAX Fund | USD 28.18 0.14 0.49% |
The current 90-days correlation between Calvert Aggressive and Calvert Moderate Allocation is 0.99 (i.e., No risk reduction). The correlation of Calvert Aggressive 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 Aggressive Correlation With Market
Very poor diversification
The correlation between Calvert Aggressive Allocation and DJI is 0.8 (i.e., Very poor diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Calvert Aggressive Allocation and DJI in the same portfolio, assuming nothing else is changed.
Calvert |
Moving together with Calvert Mutual Fund
| 0.72 | CEYIX | Calvert Equity Portfolio | PairCorr |
| 0.72 | CEYRX | Calvert Equity | PairCorr |
| 0.84 | CFJIX | Calvert Large Cap | PairCorr |
| 0.84 | CFJAX | Calvert Large Cap | PairCorr |
| 0.92 | CGARX | Calvert Responsible Index | PairCorr |
| 0.83 | CGJAX | Calvert Large Cap | PairCorr |
| 0.87 | CGJIX | Calvert Large Cap | PairCorr |
| 0.88 | CGLIX | Calvert Global Equity | PairCorr |
| 0.87 | CGLAX | Calvert Global Equity | PairCorr |
| 0.74 | CYBAX | Calvert High Yield | PairCorr |
Moving against Calvert Mutual Fund
Related Correlations Analysis
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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
| High negative correlations
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Risk-Adjusted Indicators
There is a big difference between Calvert Mutual Fund performing well and Calvert Aggressive 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 Aggressive'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 | ||
|---|---|---|---|---|---|---|---|---|---|---|
| CMAAX | 0.33 | 0.00 | (0.16) | 0.11 | 0.29 | 0.75 | 1.97 | |||
| CDHCX | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | |||
| CDHAX | 0.61 | (0.06) | 0.00 | (0.03) | 0.00 | 1.25 | 3.93 | |||
| CDHYX | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | |||
| CDHRX | 0.61 | (0.06) | 0.00 | (0.03) | 0.00 | 1.23 | 3.94 | |||
| CMIIX | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | |||
| CMICX | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | |||
| CMJCX | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | |||
| CMJAX | 0.57 | 0.03 | 0.04 | 0.15 | 0.44 | 1.33 | 3.76 |