Calvert Small Correlations

CCVAX Fund

USD 28.50 0.12 0.42%

The current 90-days correlation between Calvert Small Cap and Loomis Sayles Small is 0.38 (i.e., Weak 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 0.24 (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 nation.

Moving together with Calvert Mutual Fund

0.92	CEYIX	Calvert Equity Portfolio	Pair Corr
0.77	CFJIX	Calvert Large Cap	Pair Corr

Moving against Calvert Mutual Fund

0.81	CEYRX	Calvert Equity	Pair Corr
0.59	CDSRX	Calvert Short Duration	Pair Corr
0.58	CDSIX	Calvert Short Duration	Pair Corr
0.57	CDICX	Calvert Short Duration	Pair Corr
0.31	CDHAX	Calvert Developed Market	Pair Corr
0.31	CFAIX	Calvert Conservative	Pair Corr
0.64	CFOIX	Calvert Floating Rate	Pair Corr
0.64	CFOAX	Calvert Floating Rate	Pair Corr
0.49	CYBIX	Calvert High Yield	Pair Corr
0.48	CYBAX	Calvert High Yield	Pair Corr
0.46	CYBRX	Calvert High Yield	Pair Corr
0.43	CHBCX	Calvert High Yield	Pair Corr
0.37	CGLIX	Calvert Global Equity	Pair Corr
0.36	CGLAX	Calvert Global Equity	Pair Corr

Related Correlations Analysis

	LSSNX	LCGRX	ABSIX	ABSZX	HISGX	HASCX	SAIFX	SINAX	DREVX	INUTX
LSSNX		1.0	0.4	0.39	0.83	0.85	0.28	0.28	0.27	0.29	LSSNX
LCGRX	1.0		0.41	0.4	0.82	0.85	0.28	0.28	0.27	0.29	LCGRX
ABSIX	0.4	0.41		1.0	0.48	0.61	0.43	0.22	0.59	0.85	ABSIX
ABSZX	0.39	0.4	1.0		0.48	0.6	0.43	0.22	0.59	0.85	ABSZX
HISGX	0.83	0.82	0.48	0.48		0.81	0.36	0.31	0.54	0.51	HISGX
HASCX	0.85	0.85	0.61	0.6	0.81		0.45	0.4	0.35	0.52	HASCX
SAIFX	0.28	0.28	0.43	0.43	0.36	0.45		0.68	0.51	0.44	SAIFX
SINAX	0.28	0.28	0.22	0.22	0.31	0.4	0.68		0.29	0.23	SINAX
DREVX	0.27	0.27	0.59	0.59	0.54	0.35	0.51	0.29		0.63	DREVX
INUTX	0.29	0.29	0.85	0.85	0.51	0.52	0.44	0.23	0.63		INUTX
	LSSNX	LCGRX	ABSIX	ABSZX	HISGX	HASCX	SAIFX	SINAX	DREVX	INUTX

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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
LSSNX	0.86	(0.02)	0.00	0.04	1.21	(0.78)	1.63	(1.78)	4.61
LCGRX	0.86	(0.02)	(0.01)	0.04	1.21	(0.81)	1.63	(1.80)	4.60
ABSIX	0.75	(0.11)	0.00	(0.07)	0.00	0.00	1.60	(1.21)	7.72
ABSZX	0.74	(0.11)	0.00	(0.07)	0.00	0.00	1.55	(1.21)	7.88
HISGX	0.99	(0.02)	(0.01)	0.04	1.31	(0.99)	2.05	(2.14)	5.18
HASCX	0.83	(0.05)	(0.03)	0.01	1.16	(0.81)	2.06	(1.65)	4.81
SAIFX	0.67	(0.16)	0.00	(0.17)	0.00	0.00	1.23	(1.07)	11.22
SINAX	0.65	(0.13)	0.00	(1.71)	0.00	0.00	1.23	(1.02)	2.70
DREVX	0.83	(0.16)	0.00	(0.08)	0.00	0.00	1.21	(1.55)	10.72
INUTX	0.60	(0.06)	0.00	(0.05)	0.00	0.00	1.05	(1.09)	6.68

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