Calvert Smallcap Correlations

CALRX Fund

USD 31.52 0.02 0.06%

The current 90-days correlation between Calvert Smallcap Fund6 and Ab Discovery Value is 0.92 (i.e., Almost no diversification). The correlation of Calvert Smallcap 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 Smallcap Correlation With Market

Modest diversification

The correlation between Calvert Smallcap Fund6 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 Smallcap Fund6 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 Smallcap Fund6. 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 population.

Moving together with Calvert Mutual Fund

0.93	CEYIX	Calvert Equity Portfolio	Pair Corr
0.81	CFJIX	Calvert Large Cap	Pair Corr
0.82	CFJAX	Calvert Large Cap	Pair Corr
0.67	CFWCX	Calvert Global Water	Pair Corr
0.66	CFWAX	Calvert Global Water	Pair Corr
0.66	CFWIX	Calvert Global Water	Pair Corr

Moving against Calvert Mutual Fund

0.84	CEYRX	Calvert Equity	Pair Corr
0.59	CDSRX	Calvert Short Duration	Pair Corr
0.59	CDSIX	Calvert Short Duration	Pair Corr
0.58	CDICX	Calvert Short Duration	Pair Corr
0.51	CDHAX	Calvert Developed Market	Pair Corr
0.44	CDHIX	Calvert Developed Market	Pair Corr
0.39	CFAIX	Calvert Conservative	Pair Corr
0.62	CFOAX	Calvert Floating Rate	Pair Corr
0.54	CYBAX	Calvert High Yield	Pair Corr
0.52	CYBRX	Calvert High Yield	Pair Corr
0.51	CYBIX	Calvert High Yield	Pair Corr
0.5	CFOIX	Calvert Floating Rate	Pair Corr
0.47	CHBCX	Calvert High Yield	Pair Corr
0.44	CGLIX	Calvert Global Equity	Pair Corr
0.44	CGLAX	Calvert Global Equity	Pair Corr
0.36	CGARX	Calvert Responsible Index	Pair Corr
0.31	CINCX	Calvert Income	Pair Corr

Related Correlations Analysis

	ABSZX	ABSIX	LCGRX	LSSNX	HISGX	HASCX	SAIFX	SINAX	DREVX	INUTX
ABSZX		1.0	0.29	0.28	0.43	0.55	0.36	0.36	0.65	0.88	ABSZX
ABSIX	1.0		0.3	0.29	0.44	0.57	0.36	0.36	0.64	0.88	ABSIX
LCGRX	0.29	0.3		1.0	0.83	0.83	-0.04	-0.04	0.12	0.2	LCGRX
LSSNX	0.28	0.29	1.0		0.83	0.84	-0.04	-0.04	0.11	0.2	LSSNX
HISGX	0.43	0.44	0.83	0.83		0.82	0.09	0.08	0.43	0.45	HISGX
HASCX	0.55	0.57	0.83	0.84	0.82		0.2	0.2	0.28	0.48	HASCX
SAIFX	0.36	0.36	-0.04	-0.04	0.09	0.2		1.0	0.48	0.32	SAIFX
SINAX	0.36	0.36	-0.04	-0.04	0.08	0.2	1.0		0.47	0.32	SINAX
DREVX	0.65	0.64	0.12	0.11	0.43	0.28	0.48	0.47		0.65	DREVX
INUTX	0.88	0.88	0.2	0.2	0.45	0.48	0.32	0.32	0.65		INUTX
	ABSZX	ABSIX	LCGRX	LSSNX	HISGX	HASCX	SAIFX	SINAX	DREVX	INUTX

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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

ABSIX	+ 1.0	ABSZX
LSSNX	+ 1.0	LCGRX
SINAX	+ 1.0	SAIFX
INUTX	+ 0.88	ABSZX
INUTX	+ 0.88	ABSIX
HASCX	+ 0.84	LSSNX

High negative correlations

SINAX	- 0.04	LSSNX
SAIFX	- 0.04	LSSNX
SINAX	- 0.04	LCGRX
SAIFX	- 0.04	LCGRX

Risk-Adjusted Indicators

There is a big difference between Calvert Mutual Fund performing well and Calvert Smallcap 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 Smallcap'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	0.74	(0.11)	0.00	(0.06)	0.00	0.00	1.55	(1.21)	7.88
ABSIX	0.74	(0.11)	0.00	(0.06)	0.00	0.00	1.60	(1.21)	7.72
LCGRX	0.83	(0.04)	(0.02)	0.04	1.16	(0.80)	1.63	(1.80)	4.60
LSSNX	0.83	(0.04)	(0.02)	0.04	1.16	(0.78)	1.63	(1.78)	4.61
HISGX	0.96	(0.04)	(0.02)	0.04	1.28	(0.97)	2.05	(2.14)	5.18
HASCX	0.82	(0.07)	(0.05)	0.02	1.14	(0.83)	2.06	(1.65)	4.81
SAIFX	0.67	(0.11)	0.00	(1.47)	0.00	0.00	1.23	(1.07)	11.22
SINAX	0.66	(0.11)	0.00	(1.20)	0.00	0.00	1.23	(1.02)	11.11
DREVX	0.81	(0.15)	0.00	(0.06)	0.00	0.00	1.21	(1.55)	10.72
INUTX	0.59	(0.06)	0.00	(0.04)	0.00	0.00	1.05	(1.09)	6.68

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