Calvert Conservative Correlations

CFAIX Fund

USD 18.40 0.06 0.33%

The current 90-days correlation between Calvert Conservative and Calvert Aggressive Allocation is 0.84 (i.e., Very poor diversification). The correlation of Calvert Conservative 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 Conservative Correlation With Market

Poor diversification

The correlation between Calvert Conservative Allocatio and DJI is 0.62 (i.e., Poor diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Calvert Conservative Allocatio 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 Conservative Allocation. 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 gross domestic product.

Moving together with Calvert Mutual Fund

0.63	CDHIX	Calvert Developed Market	Pair Corr
0.63	CDHAX	Calvert Developed Market	Pair Corr
0.76	CDICX	Calvert Short Duration	Pair Corr
0.63	CDHRX	Calvert International	Pair Corr
0.7	CDSRX	Calvert Short Duration	Pair Corr
0.7	CDSIX	Calvert Short Duration	Pair Corr
0.66	CEFAX	Calvert Emerging Markets	Pair Corr
0.66	CEFIX	Congressional Effect	Pair Corr
0.71	CEYIX	Calvert Equity Portfolio	Pair Corr
0.71	CEYRX	Calvert Equity	Pair Corr
0.72	CFICX	Calvert Income	Pair Corr
0.75	CFWCX	Calvert Global Water	Pair Corr
0.75	CFWAX	Calvert Global Water	Pair Corr
0.75	CFWIX	Calvert Global Water	Pair Corr
0.67	CGAFX	Calvert Green Bond	Pair Corr
0.67	CGBIX	Calvert Green Bond	Pair Corr
0.72	CGEIX	Columbia Select Global	Pair Corr
0.73	CGECX	Calvert Fund	Pair Corr

Moving against Calvert Mutual Fund

0.31	CFOIX	Calvert Floating Rate	Pair Corr
0.31	CFOAX	Calvert Floating Rate	Pair Corr

Related Correlations Analysis

	CAGIX	CALCX	CBAIX	CCLAX	CFWIX
CAGIX		0.38	0.92	0.44	0.58	CAGIX
CALCX	0.38		0.11	1.0	0.74	CALCX
CBAIX	0.92	0.11		0.17	0.27	CBAIX
CCLAX	0.44	1.0	0.17		0.75	CCLAX
CFWIX	0.58	0.74	0.27	0.75		CFWIX
	CAGIX	CALCX	CBAIX	CCLAX	CFWIX

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Risk-Adjusted Indicators

There is a big difference between Calvert Mutual Fund performing well and Calvert Conservative 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 Conservative'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
CAGIX	0.47	(0.03)	(0.12)	0.07	0.53	(0.52)	1.06	(0.93)	2.72
CALCX	0.24	(0.02)	(0.37)	0.04	0.26	(0.26)	0.45	(0.50)	1.23
CBAIX	0.39	0.00	(0.11)	0.12	0.43	(0.44)	0.84	(1.08)	2.75
CCLAX	0.24	(0.02)	(0.36)	0.05	0.26	(0.25)	0.44	(0.50)	1.26
CFWIX	0.60	(0.07)	(0.15)	0.02	0.74	(0.59)	1.11	(1.15)	3.31

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