Calvert Smallcap Correlations

Mutual Funds . USA . 
Fund . Calvert Smallcap Fund6
CALRX Fund  USD 36.61  0.28  0.77%   
The current 90-days correlation between Calvert Smallcap Fund6 and Columbia Dividend Income is 0.88 (i.e., Very poor diversification). The correlation of Calvert Smallcap 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 Smallcap Correlation With Market

Very poor diversification

The correlation between Calvert Smallcap Fund6 and DJI is 0.88 (i.e., Very poor diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Calvert Smallcap Fund6 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 Smallcap Fund6. 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 metropolitan statistical area.

Moving together with Calvert Mutual Fund

  0.82CDHAX Calvert Developed MarketPairCorr
  0.82CDHRX Calvert InternationalPairCorr
  0.67CDSRX Calvert Short DurationPairCorr
  0.67CDSIX Calvert Short DurationPairCorr
  0.85CVMAX Calvert Emerging MarketsPairCorr
  0.87CVMRX Calvert Emerging MarketsPairCorr
  0.87CVMIX Calvert Emerging MarketsPairCorr
  0.87CVMCX Calvert Emerging MarketsPairCorr
  0.83CEFAX Calvert Emerging MarketsPairCorr
  0.83CEFIX Congressional EffectPairCorr
  0.77CEMCX Calvert Emerging MarketsPairCorr
  0.77CEMAX Calvert Emerging MarketsPairCorr
  0.86CEYIX Calvert Equity PortfolioPairCorr
  0.9CEYRX Calvert EquityPairCorr
  0.83CFAIX Calvert ConservativePairCorr
  0.87CWVIX Calvert InternationalPairCorr
  0.81CWVGX Calvert InternationalPairCorr
  0.81CWVCX Calvert InternationalPairCorr
  0.69CFICX Calvert IncomePairCorr
  0.87CFJAX Calvert Large CapPairCorr
  0.83CFOIX Calvert Floating RatePairCorr
  0.85CFOAX Calvert Floating RatePairCorr
  0.85CFWCX Calvert Global WaterPairCorr
  0.85CFWAX Calvert Global WaterPairCorr
  0.9CGARX Calvert Responsible IndexPairCorr
  0.83CGAEX Calvert Global EnergyPairCorr
  0.86CGACX Calvert Global EnergyPairCorr
  0.86CGJAX Calvert Large CapPairCorr
  0.89CGJIX Calvert Large CapPairCorr
  0.9CGLIX Calvert Global EquityPairCorr
  0.86CGLAX Calvert Global EquityPairCorr
  0.83CYBRX Calvert High YieldPairCorr
  0.84CYBIX 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 Smallcap 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 Smallcap'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
CDDYX  0.46  0.03 (0.05) 0.24  0.20 
(0.56)
 1.32 
(0.72)
 3.42 
CEYRX  0.57  0.01 (0.02) 0.22  0.47 
(0.64)
 1.25 
(1.02)
 3.80 
CDHIX  0.52  0.20 (0.05)(0.97) 0.44 
(0.57)
 1.22 
(1.00)
 3.42 
CDHAX  0.54  0.23  0.03 (3.33) 0.31 
(0.60)
 1.61 
(1.01)
 3.38 
CDICX  0.09  0.01 (1.53) 1.17  0.00 
(0.13)
 0.26 
(0.19)
 0.58 
CDHRX  0.54  0.24  0.03 (3.36) 0.29 
(0.60)
 1.60 
(1.00)
 3.40 
CDSRX  0.10  0.02 (1.38) 2.63  0.00 
(0.16)
 0.26 
(0.19)
 0.77 
CDSIX  0.10  0.01 (1.31) 1.97  0.00 
(0.15)
 0.26 
(0.19)
 0.77 
CVMAX  0.57  0.27  0.11  11.20  0.00 
(0.72)
 1.94 
(0.67)
 4.79 
CVMRX  0.55  0.12  0.06  0.41  0.11 
(0.70)
 1.72 
(0.67)
 4.80 

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