Calvert Capital Correlations

CCAFX Fund

USD 37.78 0.02 0.05%

The current 90-days correlation between Calvert Capital Accu and Ab Bond Inflation is 0.07 (i.e., Significant diversification). The correlation of Calvert Capital 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 Capital Correlation With Market

Good diversification

The correlation between Calvert Capital Accumulation and DJI is -0.07 (i.e., Good diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Calvert Capital Accumulation 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 Capital Accumulation. 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 census.

Moving together with Calvert Mutual Fund

0.73	CDHAX	Calvert Developed Market	Pair Corr
0.73	CDHRX	Calvert International	Pair Corr
0.87	CVMAX	Calvert Emerging Markets	Pair Corr
0.76	CVMRX	Calvert Emerging Markets	Pair Corr
0.76	CVMIX	Calvert Emerging Markets	Pair Corr
0.87	CVMCX	Calvert Emerging Markets	Pair Corr
0.74	CEYIX	Calvert Equity Portfolio	Pair Corr
0.91	CEYRX	Calvert Equity	Pair Corr
0.82	CFAIX	Calvert Conservative	Pair Corr
0.74	CWVIX	Calvert International	Pair Corr
0.86	CWVGX	Calvert International	Pair Corr
0.86	CWVCX	Calvert International	Pair Corr
0.91	CFJIX	Calvert Large Cap	Pair Corr
0.91	CFJAX	Calvert Large Cap	Pair Corr
0.84	CFOIX	Calvert Floating Rate	Pair Corr
0.86	CFOAX	Calvert Floating Rate	Pair Corr
0.76	CFWCX	Calvert Global Water	Pair Corr
0.88	CFWAX	Calvert Global Water	Pair Corr
0.88	CFWIX	Calvert Global Water	Pair Corr
0.78	CGAEX	Calvert Global Energy	Pair Corr
0.87	CGACX	Calvert Global Energy	Pair Corr
0.61	CGJAX	Calvert Large Cap	Pair Corr
0.89	CGJIX	Calvert Large Cap	Pair Corr
0.82	CYBIX	Calvert High Yield	Pair Corr

Related Correlations Analysis

	ABNCX	ABNTX	TTRBX	PRVBX	MSTBX	ARTFX	SNCAX
ABNCX		0.99	0.82	0.9	0.92	0.72	0.82	ABNCX
ABNTX	0.99		0.87	0.93	0.95	0.78	0.86	ABNTX
TTRBX	0.82	0.87		0.91	0.96	0.94	0.95	TTRBX
PRVBX	0.9	0.93	0.91		0.95	0.79	0.86	PRVBX
MSTBX	0.92	0.95	0.96	0.95		0.86	0.93	MSTBX
ARTFX	0.72	0.78	0.94	0.79	0.86		0.94	ARTFX
SNCAX	0.82	0.86	0.95	0.86	0.93	0.94		SNCAX
	ABNCX	ABNTX	TTRBX	PRVBX	MSTBX	ARTFX	SNCAX

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Risk-Adjusted Indicators

There is a big difference between Calvert Mutual Fund performing well and Calvert Capital 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 Capital'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
ABNCX	0.14	0.02	(0.37)	(2.69)	0.09	(0.17)	0.30	(0.39)	1.09
ABNTX	0.14	0.03	(0.41)	(2.05)	0.00	(0.17)	0.29	(0.29)	1.08
TTRBX	0.16	0.03	(0.50)	0.74	0.00	(0.21)	0.40	(0.20)	0.82
PRVBX	0.09	0.02	(0.72)	0.83	0.00	(0.10)	0.20	(0.17)	0.63
MSTBX	0.10	0.01	(0.82)	1.34	0.00	(0.14)	0.21	(0.21)	0.41
ARTFX	0.14	0.05	(0.38)	0.54	0.00	(0.23)	0.56	(0.11)	0.90
SNCAX	0.09	0.01	(0.68)	0.58	0.00	(0.13)	0.22	(0.15)	0.89

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Calvert Capital Correlations

Calvert Capital Correlation With Market

Good diversification

Moving together with Calvert Mutual Fund

Related Correlations Analysis

Risk-Adjusted Indicators

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