Calvert Aggressive Correlations

Mutual Funds . USA . 
Fund . Calvert Aggressive Allocation
CAACX Fund  USD 22.89  0.01  0.04%   
The current 90-days correlation between Calvert Aggressive and Calvert Developed Market is -0.23 (i.e., Very good 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

Significant diversification

The correlation between Calvert Aggressive Allocation and DJI is 0.02 (i.e., Significant 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 main economic indicators.

Moving together with Calvert Mutual Fund

  0.64CVMAX Calvert Emerging MarketsPairCorr
  0.65CVMRX Calvert Emerging MarketsPairCorr
  0.65CVMIX Calvert Emerging MarketsPairCorr
  0.64CVMCX Calvert Emerging MarketsPairCorr
  0.78CEYIX Calvert Equity PortfolioPairCorr
  0.78CEYRX Calvert EquityPairCorr
  0.74CFJIX Calvert Large CapPairCorr
  0.74CFJAX Calvert Large CapPairCorr
  0.66CFWCX Calvert Global WaterPairCorr
  1.0CGARX Calvert Responsible IndexPairCorr
  0.76CGJAX Calvert Large CapPairCorr
  0.76CGJIX Calvert Large CapPairCorr
  0.76CGLIX Calvert Global EquityPairCorr
  0.75CGLAX Calvert Global EquityPairCorr
  0.62CYBAX Calvert High YieldPairCorr

Related Correlations Analysis

Click cells to compare fundamentals   Check Volatility   Backtest Portfolio

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  0.66 (0.13) 0.00 (0.13) 0.00 
 0.00 
 1.10 
(1.34)
 3.93 
CDHAX  0.66 (0.13) 0.00 (0.13) 0.00 
 0.00 
 1.11 
(1.33)
 3.93 
CDICX  0.09 (0.01)(0.96)(0.48) 0.07 
(0.12)
 0.19 
(0.13)
 0.64 
CDHRX  0.66 (0.13) 0.00 (0.13) 0.00 
 0.00 
 1.10 
(1.35)
 3.94 
CDSRX  0.10  0.00 (0.99) 0.00  0.00 
(0.13)
 0.19 
(0.13)
 0.76 
CDSIX  0.09  0.00 (0.99) 0.07  0.00 
(0.12)
 0.19 
(0.13)
 0.76 
CVMAX  0.80  0.02 (0.10)(0.17) 0.98 
(0.85)
 1.60 
(1.78)
 5.41 
CVMRX  0.80  0.02 (0.10)(0.20) 0.97 
(0.85)
 1.64 
(1.82)
 5.37 
CVMIX  0.80  0.02 (0.10)(0.18) 0.97 
(0.85)
 1.63 
(1.76)
 5.46 
CVMCX  0.80  0.02 (0.11)(0.14) 0.98 
(0.84)
 1.61 
(1.80)
 5.47 

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