Calvert Us Correlations

Mutual Funds USA . 
Fund . Calvert Large Cap
CFJIX Fund  USD 34.55  0.01  0.03%   
The current 90-days correlation between Calvert Large Cap and Calvert Developed Market is 0.89 (i.e., Very poor diversification). The correlation of Calvert Us 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 Us Correlation With Market

Almost no diversification

The correlation between Calvert Large Cap and DJI is 0.97 (i.e., Almost no diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Calvert Large 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 Large 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 gross domestic product.

Moving together with Calvert Mutual Fund

  0.95CDHIX Calvert Developed MarketPairCorr
  0.93CDHAX Calvert Developed MarketPairCorr
  0.75CDICX Calvert Short DurationPairCorr
  0.93CDHRX Calvert InternationalPairCorr
  0.8CDSRX Calvert Short DurationPairCorr
  0.8CDSIX Calvert Short DurationPairCorr
  0.94CVMAX Calvert Emerging MarketsPairCorr
  0.94CVMRX Calvert Emerging MarketsPairCorr
  0.97CVMIX Calvert Emerging MarketsPairCorr
  0.97CVMCX Calvert Emerging MarketsPairCorr
  0.95CEFAX Calvert Emerging MarketsPairCorr
  0.97CEFIX Congressional EffectPairCorr
  0.92CEMCX Calvert Emerging MarketsPairCorr
  0.92CEMAX Calvert Emerging MarketsPairCorr
  0.91CEYIX Calvert Equity PortfolioPairCorr
  0.97CEYRX Calvert EquityPairCorr
  0.98CFAIX Calvert ConservativePairCorr
  0.94CWVIX Calvert InternationalPairCorr
  0.9CWVGX Calvert InternationalPairCorr
  0.94CWVCX Calvert InternationalPairCorr
  0.83CFICX Calvert IncomePairCorr
  0.94CFJAX Calvert Large CapPairCorr
  0.91CFOIX Calvert Floating RatePairCorr
  0.92CFOAX Calvert Floating RatePairCorr
  0.93CFWCX Calvert Global WaterPairCorr
  0.93CFWAX Calvert Global WaterPairCorr
  0.97CFWIX Calvert Global WaterPairCorr
  0.99CGARX Calvert Responsible IndexPairCorr
  0.94CGAEX Calvert Global EnergyPairCorr
  0.97CGACX Calvert Global EnergyPairCorr
  0.62CGBIX Calvert Green BondPairCorr
  0.94CGJAX Calvert Large CapPairCorr
  0.98CGJIX Calvert Large CapPairCorr
  0.93CGLIX Calvert Global EquityPairCorr
  0.94CGLAX Calvert Global EquityPairCorr
  0.94CYBAX Calvert High YieldPairCorr
  0.95CYBRX Calvert High YieldPairCorr
  0.96CYBIX 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 Us 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 Us' 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  0.83  0.12  0.06  0.23  1.29 
(0.81)
 1.61 
(1.46)
 8.20 
CDHAX  0.82  0.18  0.06 (3.83) 1.29 
(0.81)
 1.62 
(1.43)
 8.16 
CDICX  0.11  0.00 (0.44)(0.59) 0.08 
(0.13)
 0.19 
(0.19)
 0.58 
CDHRX  0.82  0.18  0.06 (4.13) 1.29 
(0.81)
 1.62 
(1.45)
 8.16 
CDSRX  0.12  0.01 (0.35)(2.35) 0.00 
(0.18)
 0.32 
(0.26)
 0.77 
CDSIX  0.12  0.01 (0.39)(0.27) 0.04 
(0.17)
 0.32 
(0.25)
 0.76 
CVMAX  0.89  0.18  0.07 (2.67) 1.18 
(0.93)
 2.64 
(2.14)
 7.61 
CVMRX  0.89  0.19  0.07 (2.95) 1.18 
(0.95)
 2.69 
(2.11)
 7.62 
CVMIX  0.89  0.13  0.07  0.26  1.20 
(0.89)
 2.68 
(2.16)
 7.66 
CVMCX  0.89  0.13  0.07  0.25  1.20 
(0.95)
 2.63 
(2.15)
 7.60 

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