Calvert Moderate Correlations

CMACX Fund

USD 22.53 0.17 0.75%

The current 90-days correlation between Calvert Moderate All and Qs International Equity is 0.86 (i.e., Very 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 0.83 (i.e., Very poor diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Calvert 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 world development indicators.

Moving together with Calvert Mutual Fund

0.66	CDHIX	Calvert Developed Market	Pair Corr
0.66	CDHRX	Calvert International	Pair Corr
0.79	CFAIX	Calvert Conservative	Pair Corr
0.65	CWVIX	Calvert International	Pair Corr
0.64	CWVCX	Calvert International	Pair Corr
0.87	CGARX	Calvert Responsible Index	Pair Corr
0.67	CGLIX	Calvert Global Equity	Pair Corr
0.82	CYBAX	Calvert High Yield	Pair Corr
0.68	CYBRX	Calvert High Yield	Pair Corr
0.69	CYBIX	Calvert High Yield	Pair Corr
0.88	CIESX	Calvert International	Pair Corr

Related Correlations Analysis

	LMEAX	SMYIX	AUUIX	LMGEX	SMNIX	QLENX	ARTNX
LMEAX		0.83	0.8	1.0	0.03	0.62	0.79	LMEAX
SMYIX	0.83		0.83	0.82	0.4	0.84	0.83	SMYIX
AUUIX	0.8	0.83		0.79	0.31	0.84	0.95	AUUIX
LMGEX	1.0	0.82	0.79		0.01	0.6	0.78	LMGEX
SMNIX	0.03	0.4	0.31	0.01		0.67	0.34	SMNIX
QLENX	0.62	0.84	0.84	0.6	0.67		0.89	QLENX
ARTNX	0.79	0.83	0.95	0.78	0.34	0.89		ARTNX
	LMEAX	SMYIX	AUUIX	LMGEX	SMNIX	QLENX	ARTNX

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
LMEAX	0.62	0.01	(0.01)	0.08	0.77	(0.62)	1.25	(1.33)	2.85
SMYIX	0.53	0.00	(0.01)	0.08	0.80	(0.51)	1.16	(1.16)	3.28
AUUIX	0.57	0.07	0.08	0.14	0.54	(0.61)	1.23	(0.99)	7.96
LMGEX	0.61	0.01	(0.01)	0.08	0.76	(0.62)	1.22	(1.30)	2.88
SMNIX	0.41	0.07	(0.05)	(0.14)	0.40	(0.44)	0.85	(0.72)	2.63
QLENX	0.30	0.10	0.12	0.41	0.00	(0.38)	0.73	(0.41)	1.66
ARTNX	0.61	0.09	0.11	0.17	0.49	(0.68)	1.28	(0.97)	4.70

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Calvert Moderate Correlations

Calvert Moderate Correlation With Market

Very poor diversification

Moving together with Calvert Mutual Fund

Related Correlations Analysis

Risk-Adjusted Indicators

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