Calvert Us Correlations

CFJIX Fund

USD 35.93 0.17 0.48%

The current 90-days correlation between Calvert Large Cap and Ab All Market is 0.62 (i.e., 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

Very poor diversification

The correlation between Calvert Large Cap 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 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 various price indices.

Moving together with Calvert Mutual Fund

0.89	FWWMX	American Funds Washington	Pair Corr
0.89	FWMMX	American Funds Washington	Pair Corr
0.89	AWSHX	Washington Mutual	Pair Corr
0.88	WSHCX	Washington Mutual	Pair Corr
0.89	WSHFX	Washington Mutual	Pair Corr
0.87	VVIAX	Vanguard Value Index	Pair Corr
0.88	RWMAX	Washington Mutual	Pair Corr
0.89	CWMAX	Washington Mutual	Pair Corr
0.89	RWMGX	Washington Mutual	Pair Corr
0.88	CWMCX	Washington Mutual	Pair Corr

Moving against Calvert Mutual Fund

0.71	USPSX	Profunds Ultrashort Downward Rally	Pair Corr
0.7	USPIX	Profunds Ultrashort Downward Rally	Pair Corr
0.44	UIPIX	Ultrashort Mid Cap	Pair Corr
0.39	T	ATT Inc	Pair Corr

Related Correlations Analysis

	AMTOX	SEDAX	AUERX	XMHFX	SGICX	MFTTX	REMVX
AMTOX		0.86	0.69	0.74	0.71	0.81	0.88	AMTOX
SEDAX	0.86		0.47	0.65	0.56	0.56	0.82	SEDAX
AUERX	0.69	0.47		0.71	0.84	0.64	0.73	AUERX
XMHFX	0.74	0.65	0.71		0.59	0.74	0.85	XMHFX
SGICX	0.71	0.56	0.84	0.59		0.6	0.69	SGICX
MFTTX	0.81	0.56	0.64	0.74	0.6		0.79	MFTTX
REMVX	0.88	0.82	0.73	0.85	0.69	0.79		REMVX
	AMTOX	SEDAX	AUERX	XMHFX	SGICX	MFTTX	REMVX

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
AMTOX	0.45	0.05	0.06	0.11	0.57	(0.49)	0.97	(1.04)	3.23
SEDAX	0.19	0.06	0.18	0.90	0.00	(0.26)	0.45	(0.33)	1.09
AUERX	0.80	0.08	0.08	0.10	0.95	(0.89)	1.72	(1.72)	4.33
XMHFX	0.15	0.03	0.03	1.25	0.00	(0.22)	0.29	(0.15)	1.45
SGICX	0.39	0.01	0.00	0.03	0.50	(0.42)	0.87	(0.92)	2.54
MFTTX	1.06	0.11	0.07	0.86	1.16	(1.29)	2.91	(1.80)	6.72
REMVX	0.65	0.12	0.12	0.20	0.71	(0.73)	1.38	(0.83)	4.64

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