Calvert Small/mid-cap Correlations
| CMPAX Fund | 24.90 0.05 0.20% |
The current 90-days correlation between Calvert Small/mid-cap and Franklin California High is -0.01 (i.e., Good diversification). The correlation of Calvert Small/mid-cap 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/mid-cap Correlation With Market
Poor diversification
The correlation between Calvert Smallmid Cap A and DJI is 0.77 (i.e., Poor diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Calvert Smallmid Cap A and DJI in the same portfolio, assuming nothing else is changed.
Calvert |
Related Correlations Analysis
Risk-Adjusted Indicators
There is a big difference between Calvert Mutual Fund performing well and Calvert Small/mid-cap 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/mid-cap'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 | ||
|---|---|---|---|---|---|---|---|---|---|---|
| FCQAX | 0.18 | 0.04 | (0.18) | 2.80 | 0.00 | 0.53 | 1.05 | |||
| TRRJX | 0.32 | 0.08 | 0.00 | (0.99) | 0.16 | 0.79 | 1.82 | |||
| PARKX | 0.32 | 0.03 | (0.01) | 0.13 | 0.14 | 0.80 | 1.83 | |||
| DMHIX | 0.22 | 0.05 | (0.12) | 3.41 | 0.00 | 0.63 | 1.25 | |||
| PARJX | 0.23 | 0.03 | (0.07) | 0.14 | 0.00 | 0.56 | 1.41 | |||
| CAYCX | 0.18 | 0.03 | (0.22) | 0.83 | 0.00 | 0.43 | 0.96 | |||
| AGDZX | 0.11 | 0.03 | (0.33) | (0.59) | 0.00 | 0.28 | 1.00 | |||
| MFHVX | 0.13 | 0.03 | (0.18) | (0.56) | 0.00 | 0.24 | 0.61 |