Calvert Small Correlations

CCVAX Fund

USD 33.42 0.08 0.24%

The current 90-days correlation between Calvert Small Cap and Calvert International Equity is 0.58 (i.e., Very weak diversification). The correlation of Calvert Small 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 Small Correlation With Market

Poor diversification

The correlation between Calvert Small Cap and DJI is 0.79 (i.e., Poor diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Calvert Small Cap 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 Small Cap. 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 nation.

Moving together with Calvert Mutual Fund

0.77	VSMAX	Vanguard Small Cap	Pair Corr
0.77	VSCIX	Vanguard Small Cap	Pair Corr
0.77	VSCPX	Vanguard Small Cap	Pair Corr
0.77	NAESX	Vanguard Small Cap	Pair Corr
0.74	FSSNX	Fidelity Small Cap	Pair Corr
0.78	DFSTX	Us Small Cap	Pair Corr
0.91	PRVIX	T Rowe Price	Pair Corr
0.77	TRZVX	T Rowe Price	Pair Corr
0.64	PFN	Pimco Income Strategy	Pair Corr
0.61	CIF	Mfs Intermediate High	Pair Corr
0.61	PCF	Putnam High Income	Pair Corr
0.62	AA	Alcoa Corp	Pair Corr

Moving against Calvert Mutual Fund

0.54	XNBHX	Neuberger Berman Int	Pair Corr
0.49	XDSMX	Dreyfus Strategic	Pair Corr
0.31	XNXJX	Nuveen New Jersey	Pair Corr

Related Correlations Analysis

	CWVGX	CSIEX	CCAFX	CSXAX	CSIBX
CWVGX		0.95	0.81	0.88	0.53	CWVGX
CSIEX	0.95		0.86	0.92	0.56	CSIEX
CCAFX	0.81	0.86		0.86	0.35	CCAFX
CSXAX	0.88	0.92	0.86		0.68	CSXAX
CSIBX	0.53	0.56	0.35	0.68		CSIBX
	CWVGX	CSIEX	CCAFX	CSXAX	CSIBX

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Risk-Adjusted Indicators

There is a big difference between Calvert Mutual Fund performing well and Calvert Small 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 Small'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
CWVGX	0.60	(0.04)	(0.13)	0.17	0.60	(0.69)	1.14	(1.26)	4.23
CSIEX	0.58	(0.05)	(0.13)	0.18	0.56	(0.64)	1.25	(1.01)	3.80
CCAFX	0.62	(0.05)	(0.12)	0.16	0.61	(0.69)	1.41	(1.05)	4.51
CSXAX	0.54	0.05	0.00	0.29	0.23	(0.65)	1.32	(0.81)	5.22
CSIBX	0.23	0.00	(0.76)	0.46	0.21	(0.29)	0.49	(0.41)	1.25

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