Calvert Moderate Correlations

Mutual Funds . USA . 
Fund . Calvert Moderate Allocation
CMACX Fund  USD 21.32  0.09  0.42%   
The current 90-days correlation between Calvert Moderate All and Calvert Developed Market is 0.8 (i.e., Very poor diversification). The correlation of Calvert Moderate 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 Moderate Correlation With Market

Very poor diversification

The correlation between Calvert Moderate Allocation and DJI is 0.83 (i.e., Very poor diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Calvert Moderate Allocation 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 Moderate 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 main economic indicators.

Moving together with Calvert Mutual Fund

  0.87CEYIX Calvert Equity PortfolioPairCorr
  0.87CEYRX Calvert EquityPairCorr
  0.65CFAIX Calvert ConservativePairCorr
  0.74CFJIX Calvert Large CapPairCorr
  0.75CFJAX Calvert Large CapPairCorr
  0.65CFWCX Calvert Global WaterPairCorr
  0.67CFWAX Calvert Global WaterPairCorr
  0.68CFWIX Calvert Global WaterPairCorr
  0.97CGARX Calvert Responsible IndexPairCorr
  0.75CGJAX Calvert Large CapPairCorr
  0.75CGJIX Calvert Large CapPairCorr
  0.89CGLIX Calvert Global EquityPairCorr
  0.88CGLAX Calvert Global EquityPairCorr
  0.7CYBAX Calvert High YieldPairCorr

Related Correlations Analysis

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Risk-Adjusted Indicators

There is a big difference between Calvert Mutual Fund performing well and Calvert Moderate 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 Moderate'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  0.67 (0.11) 0.00 (0.09) 0.00 
 0.00 
 1.23 
(1.34)
 3.93 
CDHAX  0.67 (0.11) 0.00 (0.09) 0.00 
 0.00 
 1.25 
(1.33)
 3.93 
CDICX  0.09  0.00 (1.01) 0.14  0.05 
(0.12)
 0.26 
(0.13)
 0.64 
CDHRX  0.67 (0.11) 0.00 (0.09) 0.00 
 0.00 
 1.23 
(1.35)
 3.94 
CDSRX  0.10  0.01 (1.05)(0.12) 0.00 
(0.13)
 0.19 
(0.13)
 0.76 
CDSIX  0.10  0.01 (1.04)(0.13) 0.00 
(0.13)
 0.19 
(0.13)
 0.76 
CVMAX  0.77 (0.06)(0.13) 0.00  0.93 
(0.85)
 1.60 
(1.78)
 5.41 
CVMRX  0.77 (0.06)(0.13) 0.01  0.93 
(0.86)
 1.64 
(1.82)
 5.37 
CVMIX  0.76 (0.06)(0.13) 0.01  0.93 
(0.85)
 1.63 
(1.76)
 5.46 
CVMCX  0.77 (0.06)(0.13) 0.00  0.94 
(0.85)
 1.61 
(1.80)
 5.47 

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