Calvert Small Correlations

CSVIX Fund

USD 31.68 0.12 0.38%

The current 90-days correlation between Calvert Small Cap and Ab Discovery Value is 0.92 (i.e., Almost no 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

Modest diversification

The correlation between Calvert Small Cap and DJI is 0.26 (i.e., Modest 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 gross domestic product.

Moving together with Calvert Mutual Fund

0.76	CEYIX	Calvert Equity Portfolio	Pair Corr
0.75	CIOAX	Calvert International	Pair Corr

Moving against Calvert Mutual Fund

0.43	CEFAX	Calvert Emerging Markets	Pair Corr
0.4	CEYRX	Calvert Equity Steady Growth	Pair Corr
0.38	CDSRX	Calvert Short Duration	Pair Corr
0.38	CDSIX	Calvert Short Duration	Pair Corr
0.37	CVMAX	Calvert Emerging Markets	Pair Corr
0.36	CVMIX	Calvert Emerging Markets	Pair Corr
0.35	CVMRX	Calvert Emerging Markets	Pair Corr
0.34	CVMCX	Calvert Emerging Markets	Pair Corr
0.59	CFOAX	Calvert Floating Rate	Pair Corr
0.46	CFOIX	Calvert Floating Rate	Pair Corr

Related Correlations Analysis

	ABSZX	LSSIX	FSCRX	HSVRX	FIDLX	WGROX	OILGX
ABSZX		0.56	0.56	0.61	-0.15	0.56	0.2	ABSZX
LSSIX	0.56		0.6	0.63	-0.16	0.6	-0.01	LSSIX
FSCRX	0.56	0.6		0.88	-0.58	0.52	-0.34	FSCRX
HSVRX	0.61	0.63	0.88		-0.52	0.39	0.06	HSVRX
FIDLX	-0.15	-0.16	-0.58	-0.52		0.12	0.3	FIDLX
WGROX	0.56	0.6	0.52	0.39	0.12		-0.14	WGROX
OILGX	0.2	-0.01	-0.34	0.06	0.3	-0.14		OILGX
	ABSZX	LSSIX	FSCRX	HSVRX	FIDLX	WGROX	OILGX

Correlation Matchups

Over a given time period, the two securities move together when the Correlation Coefficient is positive. Conversely, the two assets move in opposite directions when the Correlation Coefficient is negative. Determining your positions' relationship to each other is valuable for analyzing and projecting your portfolio's future expected return and risk.

High positive correlations

HSVRX	+ 0.88	FSCRX
HSVRX	+ 0.63	LSSIX
HSVRX	+ 0.61	ABSZX
FSCRX	+ 0.6	LSSIX
WGROX	+ 0.6	LSSIX
LSSIX	+ 0.56	ABSZX

High negative correlations

FIDLX	- 0.58	FSCRX
FIDLX	- 0.52	HSVRX
OILGX	- 0.34	FSCRX
FIDLX	- 0.16	LSSIX
FIDLX	- 0.15	ABSZX
OILGX	- 0.14	WGROX

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
ABSZX	0.78	(0.12)	0.00	(0.08)	0.00	0.00	1.55	(1.21)	7.88
LSSIX	0.86	(0.02)	(0.01)	0.05	1.17	(0.81)	1.77	(1.78)	5.21
FSCRX	0.79	0.08	0.01	(2.06)	1.01	(0.78)	1.81	(1.83)	4.69
HSVRX	0.84	(0.03)	(0.02)	0.04	1.13	(0.87)	2.08	(1.66)	5.53
FIDLX	0.56	0.00	0.00	0.00	0.00	0.00	0.92	(1.56)	8.09
WGROX	0.88	(0.15)	0.00	(0.05)	0.00	0.00	2.03	(1.91)	4.85
OILGX	1.00	(0.14)	0.00	0.50	0.00	0.00	1.79	(2.26)	14.72

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