Calvert Us Correlations

Mutual Funds . USA . 
Fund . Calvert Large Cap
CFJAX Fund  USD 34.45  0.15  0.43%   
The current 90-days correlation between Calvert Large Cap and Calvert Developed Market is 0.06 (i.e., Significant 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

Good diversification

The correlation between Calvert Large Cap and DJI is -0.05 (i.e., Good diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Calvert Large 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 Large 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

  0.89CDHIX Calvert Developed MarketPairCorr
  0.94CDHAX Calvert Developed MarketPairCorr
  0.74CDICX Calvert Short DurationPairCorr
  0.93CDHRX Calvert InternationalPairCorr
  0.78CDSRX Calvert Short DurationPairCorr
  0.82CDSIX Calvert Short DurationPairCorr
  0.95CVMAX Calvert Emerging MarketsPairCorr
  0.92CVMRX Calvert Emerging MarketsPairCorr
  0.92CVMIX Calvert Emerging MarketsPairCorr
  0.92CVMCX Calvert Emerging MarketsPairCorr
  0.96CEFAX Calvert Emerging MarketsPairCorr
  0.93CEFIX Congressional EffectPairCorr
  0.85CEMCX Calvert Emerging MarketsPairCorr
  0.89CEMAX Calvert Emerging MarketsPairCorr
  0.97CEYIX Calvert Equity PortfolioPairCorr
  0.92CEYRX Calvert EquityPairCorr
  0.94CFAIX Calvert ConservativePairCorr
  0.88CWVIX Calvert InternationalPairCorr
  0.88CWVGX Calvert InternationalPairCorr
  0.88CWVCX Calvert InternationalPairCorr
  0.82CFICX Calvert IncomePairCorr
  0.93CFJIX Calvert Large CapPairCorr
  0.95CFOAX Calvert Floating RatePairCorr
  0.96CFWCX Calvert Global WaterPairCorr
  0.96CFWAX Calvert Global WaterPairCorr
  0.91CFWIX Calvert Global WaterPairCorr
  0.93CGARX Calvert Responsible IndexPairCorr
  0.95CGAEX Calvert Global EnergyPairCorr
  0.62CGAFX Calvert Green BondPairCorr
  0.92CGACX Calvert Global EnergyPairCorr
  0.64CGBIX Calvert Green BondPairCorr
  0.97CGJAX Calvert Large CapPairCorr
  0.92CGJIX Calvert Large CapPairCorr
  0.92CGLIX Calvert Global EquityPairCorr
  0.96CGLAX Calvert Global EquityPairCorr
  0.95CYBAX Calvert High YieldPairCorr
  0.95CYBRX Calvert High YieldPairCorr
  0.92CYBIX Calvert High YieldPairCorr
  0.95CHBCX 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 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 DeviationJensen AlphaSortino RatioTreynor RatioSemi DeviationExpected ShortfallPotential UpsideValue @RiskMaximum Drawdown
CDHIX  0.80  0.12  0.06  0.26  1.29 
(0.80)
 1.61 
(1.46)
 8.20 
CDHAX  0.82  0.19  0.05 (3.74) 1.30 
(0.81)
 1.62 
(1.43)
 8.16 
CDICX  0.11  0.01 (0.54)(3.81) 0.00 
(0.13)
 0.32 
(0.19)
 0.71 
CDHRX  0.82  0.19  0.05 (3.99) 1.30 
(0.81)
 1.62 
(1.45)
 8.16 
CDSRX  0.13  0.02 (0.45)(3.39) 0.00 
(0.18)
 0.38 
(0.26)
 0.77 
CDSIX  0.12  0.01 (0.54)(0.25) 0.05 
(0.16)
 0.32 
(0.25)
 0.76 
CVMAX  0.87  0.20  0.06 (2.80) 1.14 
(0.92)
 2.64 
(2.14)
 7.61 
CVMRX  0.86  0.14  0.07  0.30  1.13 
(0.93)
 2.69 
(2.11)
 7.62 
CVMIX  0.86  0.14  0.07  0.30  1.13 
(0.87)
 2.68 
(2.16)
 7.66 
CVMCX  0.86  0.14  0.07  0.29  1.15 
(0.93)
 2.63 
(2.15)
 7.60 

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