Calvert Moderate Correlations

Mutual Funds . USA . 
Fund . Calvert Moderate Allocation
CMACX Fund  USD 22.39  0.19  0.86%   
The current 90-days correlation between Calvert Moderate All and Calvert Developed Market is 0.94 (i.e., Almost no 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

Average diversification

The correlation between Calvert Moderate Allocation and DJI is 0.16 (i.e., Average 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 private.

Moving together with Calvert Mutual Fund

  0.97CDHIX Calvert Developed MarketPairCorr
  0.97CDHAX Calvert Developed MarketPairCorr
  0.72CDICX Calvert Short DurationPairCorr
  0.91CDHRX Calvert InternationalPairCorr
  0.68CDSRX Calvert Short DurationPairCorr
  0.68CDSIX Calvert Short DurationPairCorr
  0.9CVMAX Calvert Emerging MarketsPairCorr
  0.89CVMRX Calvert Emerging MarketsPairCorr
  0.89CVMIX Calvert Emerging MarketsPairCorr
  0.89CVMCX Calvert Emerging MarketsPairCorr
  0.88CEFAX Calvert Emerging MarketsPairCorr
  0.8CEFIX Congressional EffectPairCorr
  0.62CEMCX Calvert Emerging MarketsPairCorr
  0.62CEMAX Calvert Emerging MarketsPairCorr
  0.87CFAIX Calvert ConservativePairCorr
  0.85CWVIX Calvert InternationalPairCorr
  0.84CWVGX Calvert InternationalPairCorr
  0.84CWVCX Calvert InternationalPairCorr
  0.83CFICX Calvert IncomePairCorr
  0.68CFJIX Calvert Large CapPairCorr
  0.86CFJAX Calvert Large CapPairCorr
  0.61CFWAX Calvert Global WaterPairCorr
  1.0CGARX Calvert Responsible IndexPairCorr
  0.92CGAEX Calvert Global EnergyPairCorr
  0.82CGAFX Calvert Green BondPairCorr
  0.89CGACX Calvert Global EnergyPairCorr
  0.72CGBIX Calvert Green BondPairCorr
  0.84CGJAX Calvert Large CapPairCorr
  0.9CGJIX Calvert Large CapPairCorr
  0.88CGLIX Calvert Global EquityPairCorr
  0.86CGLAX Calvert Global EquityPairCorr
  0.77CYBAX Calvert High YieldPairCorr
  0.74CYBRX Calvert High YieldPairCorr
  0.79CYBIX Calvert High YieldPairCorr

Related Correlations Analysis


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 DeviationJensen AlphaSortino RatioTreynor RatioSemi DeviationExpected ShortfallPotential UpsideValue @RiskMaximum Drawdown
CDHIX  0.64  0.04 (0.01) 0.41  0.85 
(0.60)
 1.11 
(1.38)
 3.25 
CDHAX  0.64  0.04 (0.01) 0.41  0.86 
(0.60)
 1.13 
(1.38)
 3.28 
CDICX  0.08  0.01 (0.53) 0.30  0.00 
(0.12)
 0.19 
(0.13)
 0.51 
CDHRX  0.65  0.02  0.01  0.07  0.83 
(0.62)
 1.21 
(1.38)
 3.23 
CDSRX  0.08  0.01 (0.53) 3.69  0.00 
(0.13)
 0.13 
(0.06)
 0.63 
CDSIX  0.08  0.01 (0.49)(3.07) 0.00 
(0.12)
 0.13 
(0.13)
 0.69 
CVMAX  0.72  0.11  0.06  1.45  0.87 
(0.79)
 1.34 
(1.21)
 4.94 
CVMRX  0.73  0.09  0.08  0.17  0.85 
(0.79)
 1.32 
(1.16)
 4.95 
CVMIX  0.72  0.09  0.08  0.18  0.83 
(0.79)
 1.28 
(1.20)
 4.89 
CVMCX  0.73  0.09  0.08  0.17  0.87 
(0.79)
 1.30 
(1.18)
 4.89 

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