Calvert Aggressive Correlations

Mutual Funds . USA . 
Fund . Calvert Aggressive Allocation
CAACX Fund  USD 24.70  0.15  0.61%   
The current 90-days correlation between Calvert Aggressive and Calvert Developed Market is 0.81 (i.e., Very poor diversification). 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 0.87 (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.
  
Check out Trending Equities to better understand how to build diversified portfolios, which includes a position in Calvert Aggressive 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 persons.

Moving together with Calvert Mutual Fund

  0.9CDHIX Calvert Developed MarketPairCorr
  0.88CDHAX Calvert Developed MarketPairCorr
  0.7CDICX Calvert Short DurationPairCorr
  0.9CDHRX Calvert InternationalPairCorr
  0.68CDSIX Calvert Short DurationPairCorr
  0.72CVMAX Calvert Emerging MarketsPairCorr
  0.72CVMRX Calvert Emerging MarketsPairCorr
  0.72CVMIX Calvert Emerging MarketsPairCorr
  0.64CEFAX Calvert Emerging MarketsPairCorr
  0.64CEFIX Congressional EffectPairCorr
  0.87CFAIX Calvert ConservativePairCorr
  0.76CWVIX Calvert InternationalPairCorr
  0.62CWVGX Calvert InternationalPairCorr
  0.72CWVCX Calvert InternationalPairCorr
  0.77CFICX Calvert IncomePairCorr
  1.0CGARX Calvert Responsible IndexPairCorr
  0.66CGAFX Calvert Green BondPairCorr
  0.65CGACX Calvert Global EnergyPairCorr
  0.69CGBIX Calvert Green BondPairCorr
  0.8CGLIX Calvert Global EquityPairCorr
  0.8CGLAX Calvert Global EquityPairCorr
  0.74CYBAX Calvert High YieldPairCorr
  0.74CYBRX Calvert High YieldPairCorr
  0.75CYBIX Calvert High YieldPairCorr

Related Correlations Analysis


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 DeviationJensen AlphaSortino RatioTreynor RatioSemi DeviationExpected ShortfallPotential UpsideValue @RiskMaximum Drawdown
CDHIX  0.69 (0.04)(0.04) 0.01  1.03 
(0.62)
 1.28 
(1.55)
 4.05 
CDHAX  0.72 (0.01)(0.02) 0.04  0.98 
(0.67)
 1.44 
(1.52)
 3.93 
CDICX  0.07  0.00 (0.60) 0.08  0.00 
(0.12)
 0.19 
(0.13)
 0.45 
CDHRX  0.69 (0.04)(0.05) 0.01  1.03 
(0.62)
 1.28 
(1.52)
 4.13 
CDSIX  0.08  0.00 (0.56) 0.49  0.00 
(0.12)
 0.13 
(0.06)
 0.70 
CVMIX  0.72 (0.03)(0.04) 0.02  0.92 
(0.82)
 1.28 
(1.20)
 4.89 
CVMCX  0.70  0.01 (0.04) 0.19  0.90 
(0.80)
 1.30 
(1.18)
 4.89 
CEFAX  0.58  0.01 (0.05)(1.51) 0.79 
(0.59)
 1.13 
(1.17)
 3.73 
CEMCX  0.73 (0.02) 0.00  0.18  0.00 
 0.00 
 1.33 
(1.37)
 5.11 
CEMAX  0.72 (0.01) 0.00  0.16  0.00 
 0.00 
 1.31 
(1.42)
 5.02 

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