Calvert Aggressive Correlations

Mutual Funds . USA . 
Fund . Calvert Aggressive Allocation
CAAAX Fund  USD 30.58  0.22  0.72%   
The current 90-days correlation between Calvert Aggressive and Calvert Emerging Markets is 0.67 (i.e., Poor diversification). The correlation of Calvert Aggressive 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 Aggressive Correlation With Market

Almost no diversification

The correlation between Calvert Aggressive Allocation and DJI is 0.92 (i.e., Almost no diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Calvert Aggressive Allocation 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 Aggressive Allocation. 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

  0.92CDHIX Calvert Developed MarketPairCorr
  0.9CDHAX Calvert Developed MarketPairCorr
  0.88CDICX Calvert Short DurationPairCorr
  0.92CDHRX Calvert InternationalPairCorr
  0.88CDSRX Calvert Short DurationPairCorr
  0.88CDSIX Calvert Short DurationPairCorr
  0.88CVMAX Calvert Emerging MarketsPairCorr
  0.9CVMRX Calvert Emerging MarketsPairCorr
  0.9CVMIX Calvert Emerging MarketsPairCorr
  0.9CVMCX Calvert Emerging MarketsPairCorr
  0.91CEFAX Calvert Emerging MarketsPairCorr
  0.91CEFIX Congressional EffectPairCorr
  0.91CEMCX Calvert Emerging MarketsPairCorr
  0.91CEMAX Calvert Emerging MarketsPairCorr
  0.67CEYRX Calvert EquityPairCorr
  0.96CFAIX Calvert ConservativePairCorr
  0.94CWVIX Calvert InternationalPairCorr
  0.94CWVGX Calvert InternationalPairCorr
  0.94CWVCX Calvert InternationalPairCorr
  0.82CFICX Calvert IncomePairCorr
  0.92CFJIX Calvert Large CapPairCorr
  0.92CFJAX Calvert Large CapPairCorr
  0.91CFWCX Calvert Global WaterPairCorr
  0.9CFWAX Calvert Global WaterPairCorr
  0.91CFWIX Calvert Global WaterPairCorr
  1.0CGARX Calvert Responsible IndexPairCorr
  0.83CGAEX Calvert Global EnergyPairCorr
  0.74CGAFX Calvert Green BondPairCorr
  0.85CGACX Calvert Global EnergyPairCorr
  0.75CGBIX Calvert Green BondPairCorr
  0.97CGLIX Calvert Global EquityPairCorr
  0.95CGLAX Calvert Global EquityPairCorr
  0.94CYBAX Calvert High YieldPairCorr
  0.95CYBRX Calvert High YieldPairCorr
  0.95CYBIX Calvert High YieldPairCorr

Related Correlations Analysis


Risk-Adjusted Indicators

There is a big difference between Calvert Mutual Fund performing well and Calvert Aggressive 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 Aggressive'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 DeviationJensen AlphaSortino RatioTreynor RatioSemi DeviationExpected ShortfallPotential UpsideValue @RiskMaximum Drawdown
CDHIX  0.60  0.18  0.20  0.33  0.38 
(0.70)
 1.51 
(1.17)
 3.42 
CDHAX  0.61  0.23  0.15 (1.30) 0.48 
(0.68)
 1.52 
(1.16)
 3.45 
CDICX  0.06  0.01 (0.97) 0.36  0.00 
(0.10)
 0.13 
(0.06)
 0.38 
CDHRX  0.60  0.18  0.20  0.33  0.38 
(0.70)
 1.52 
(1.20)
 3.43 
CDSRX  0.07  0.01 (1.02)(0.65) 0.00 
(0.12)
 0.19 
(0.06)
 0.51 
CDSIX  0.07  0.01 (1.08)(0.57) 0.00 
(0.12)
 0.19 
(0.06)
 0.57 
CVMAX  0.73  0.25  0.18 (1.66) 0.48 
(0.85)
 1.94 
(1.18)
 4.25 
CVMRX  0.74  0.22  0.23  0.41  0.38 
(0.88)
 1.97 
(1.17)
 4.27 
CVMIX  0.74  0.22  0.23  0.40  0.41 
(0.90)
 1.99 
(1.21)
 4.30 
CVMCX  0.74  0.21  0.23  0.40  0.40 
(0.93)
 1.97 
(1.17)
 4.29 

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