Calvert Moderate Correlations

CLAIX Fund

USD 23.96 0.05 0.21%

The current 90-days correlation between Calvert Moderate All and Value Fund Investor is 0.79 (i.e., 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 0.87 (i.e., Very poor diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Calvert 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 gross domestic product.

Moving together with Calvert Mutual Fund

0.98	CDHIX	Calvert Developed Market	Pair Corr
0.98	CDHAX	Calvert Developed Market	Pair Corr
0.87	CDICX	Calvert Short Duration	Pair Corr
0.98	CDHRX	Calvert International	Pair Corr
0.79	CDSRX	Calvert Short Duration	Pair Corr
0.9	CDSIX	Calvert Short Duration	Pair Corr
0.96	CVMAX	Calvert Emerging Markets	Pair Corr
0.96	CVMRX	Calvert Emerging Markets	Pair Corr
0.96	CVMIX	Calvert Emerging Markets	Pair Corr
0.96	CVMCX	Calvert Emerging Markets	Pair Corr
0.9	CEFAX	Calvert Emerging Markets	Pair Corr
0.93	CEFIX	Congressional Effect	Pair Corr
0.88	CEMCX	Calvert Emerging Markets	Pair Corr
0.89	CEMAX	Calvert Emerging Markets	Pair Corr
0.99	CFAIX	Calvert Conservative	Pair Corr
0.89	CWVIX	Calvert International	Pair Corr
0.89	CWVGX	Calvert International	Pair Corr
0.88	CWVCX	Calvert International	Pair Corr
0.84	CFICX	Calvert Income	Pair Corr
0.89	CFJIX	Calvert Large Cap	Pair Corr
0.85	CFJAX	Calvert Large Cap	Pair Corr
0.65	CFWCX	Calvert Global Water	Pair Corr
0.68	CFWAX	Calvert Global Water	Pair Corr
0.69	CFWIX	Calvert Global Water	Pair Corr
1.0	CGARX	Calvert Responsible Index	Pair Corr
0.96	CGAEX	Calvert Global Energy	Pair Corr
0.87	CGAFX	Calvert Green Bond	Pair Corr
0.96	CGACX	Calvert Global Energy	Pair Corr
0.86	CGBIX	Calvert Green Bond	Pair Corr
0.97	CGJAX	Calvert Large Cap	Pair Corr
0.97	CGJIX	Calvert Large Cap	Pair Corr
0.95	CGLIX	Calvert Global Equity	Pair Corr
0.9	CGLAX	Calvert Global Equity	Pair Corr

Related Correlations Analysis

	TWVLX	BREIX	IALAX	SWMCX	ALVIX	ARTOX	PNSAX	GSHIX	LISOX
TWVLX		0.44	0.43	0.9	0.86	0.75	0.7	0.74	0.59	TWVLX
BREIX	0.44		0.06	0.6	0.53	0.1	0.04	0.37	-0.02	BREIX
IALAX	0.43	0.06		0.59	0.05	0.75	0.75	0.82	0.58	IALAX
SWMCX	0.9	0.6	0.59		0.73	0.79	0.76	0.85	0.62	SWMCX
ALVIX	0.86	0.53	0.05	0.73		0.37	0.36	0.39	0.34	ALVIX
ARTOX	0.75	0.1	0.75	0.79	0.37		0.96	0.87	0.79	ARTOX
PNSAX	0.7	0.04	0.75	0.76	0.36	0.96		0.81	0.77	PNSAX
GSHIX	0.74	0.37	0.82	0.85	0.39	0.87	0.81		0.6	GSHIX
LISOX	0.59	-0.02	0.58	0.62	0.34	0.79	0.77	0.6		LISOX
	TWVLX	BREIX	IALAX	SWMCX	ALVIX	ARTOX	PNSAX	GSHIX	LISOX

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

PNSAX	+ 0.96	ARTOX
SWMCX	+ 0.9	TWVLX
GSHIX	+ 0.87	ARTOX
ALVIX	+ 0.86	TWVLX
GSHIX	+ 0.85	SWMCX
GSHIX	+ 0.82	IALAX

High negative correlations

LISOX

- 0.02

BREIX

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 Deviation	Jensen Alpha	Sortino Ratio	Treynor Ratio	Semi Deviation	Expected Shortfall	Potential Upside	Value @Risk	Maximum Drawdown
TWVLX	0.44	(0.02)	(0.08)	0.06	0.42	(0.58)	0.97	(0.82)	3.44
BREIX	0.74	(0.10)	(0.10)	0.00	0.83	(0.93)	1.85	(1.42)	5.66
IALAX	1.19	0.05	(0.04)	(0.08)	1.73	(1.13)	2.56	(3.10)	7.81
SWMCX	0.60	(0.07)	(0.07)	0.03	0.71	(0.66)	1.41	(1.01)	4.91
ALVIX	0.43	(0.04)	(0.12)	0.04	0.46	(0.55)	0.91	(0.90)	2.70
ARTOX	0.21	(0.01)	(0.21)	0.07	0.16	(0.26)	0.47	(0.39)	1.72
PNSAX	0.92	(0.05)	0.00	0.06	1.03	(1.01)	2.38	(1.95)	5.35
GSHIX	0.12	(0.01)	(0.37)	0.02	0.05	(0.25)	0.35	(0.18)	1.06
LISOX	0.50	(0.06)	(0.12)	0.02	0.61	(0.56)	0.93	(1.19)	3.09

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