Calvert Us Correlations

CMJAX Fund

USD 44.60 0.08 0.18%

The current 90-days correlation between Calvert Mid Cap and Calvert Large Cap is 0.88 (i.e., Very poor diversification). The correlation of Calvert Us 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 Us Correlation With Market

Almost no diversification

The correlation between Calvert Mid Cap and DJI is 0.91 (i.e., Almost no diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Calvert Mid Cap 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 Mid Cap. 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 nation.

Moving together with Calvert Mutual Fund

0.61	CEYIX	Calvert Equity Portfolio	Pair Corr
0.61	CEYRX	Calvert Equity	Pair Corr
0.99	CFJIX	Calvert Large Cap	Pair Corr
0.99	CFJAX	Calvert Large Cap	Pair Corr
0.83	CFOIX	Calvert Floating Rate	Pair Corr
0.83	CFOAX	Calvert Floating Rate	Pair Corr
0.96	CGJAX	Calvert Large Cap	Pair Corr
0.96	CGJIX	Calvert Large Cap	Pair Corr
0.72	CYBAX	Calvert High Yield	Pair Corr
0.75	CYBRX	Calvert High Yield	Pair Corr
0.75	CYBIX	Calvert High Yield	Pair Corr
0.66	CHBCX	Calvert High Yield	Pair Corr
0.98	CISIX	Calvert Large Cap	Pair Corr

Moving against Calvert Mutual Fund

0.64	CGAFX	Calvert Green Bond	Pair Corr
0.63	CGBIX	Calvert Green Bond	Pair Corr
0.59	CWVIX	Calvert International	Pair Corr
0.59	CWVGX	Calvert International	Pair Corr
0.55	CFICX	Calvert Income	Pair Corr
0.47	CEMAX	Calvert Emerging Markets	Pair Corr
0.43	CDHAX	Calvert Developed Market	Pair Corr
0.42	CDHIX	Calvert Developed Market	Pair Corr
0.42	CDHRX	Calvert International	Pair Corr
0.34	CDICX	Calvert Short Duration	Pair Corr
0.32	CEFAX	Calvert Emerging Markets	Pair Corr
0.31	CEFIX	Congressional Effect	Pair Corr
0.64	CLDIX	Calvert Long Term	Pair Corr
0.57	CIFCX	Calvert Income	Pair Corr
0.55	CIOAX	Calvert International	Pair Corr
0.55	COIIX	Calvert International	Pair Corr
0.46	CMERX	Calvert Emerging Markets	Pair Corr

Related Correlations Analysis

	CSXAX	CDHAX	CCVAX	BSMAX	CFJAX
CSXAX		-0.45	0.93	0.97	0.97	CSXAX
CDHAX	-0.45		-0.52	-0.48	-0.48	CDHAX
CCVAX	0.93	-0.52		0.98	0.96	CCVAX
BSMAX	0.97	-0.48	0.98		0.98	BSMAX
CFJAX	0.97	-0.48	0.96	0.98		CFJAX
	CSXAX	CDHAX	CCVAX	BSMAX	CFJAX

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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

BSMAX	+ 0.98	CCVAX
CFJAX	+ 0.98	BSMAX
BSMAX	+ 0.97	CSXAX
CFJAX	+ 0.97	CSXAX
CFJAX	+ 0.96	CCVAX
CCVAX	+ 0.93	CSXAX

High negative correlations

CCVAX	- 0.52	CDHAX
CFJAX	- 0.48	CDHAX
BSMAX	- 0.48	CDHAX
CDHAX	- 0.45	CSXAX

Risk-Adjusted Indicators

There is a big difference between Calvert Mutual Fund performing well and Calvert Us 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 Us' 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
CSXAX	0.59	0.01	0.00	0.14	0.67	(0.66)	1.16	(1.34)	4.16
CDHAX	0.67	(0.11)	0.00	(0.09)	0.00	0.00	1.25	(1.33)	3.93
CCVAX	0.79	(0.01)	0.03	0.12	0.66	(0.89)	1.63	(1.29)	6.44
BSMAX	0.76	0.00	0.04	0.13	0.76	(0.84)	1.70	(1.33)	5.64
CFJAX	0.57	0.02	0.01	0.15	0.33	(0.66)	1.21	(0.84)	4.09

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