Calvert Conservative Correlations

CFAIX Fund

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The current 90-days correlation between Calvert Conservative and Matthews Asia Esg is 0.62 (i.e., Poor diversification). The correlation of Calvert Conservative 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 Conservative Correlation With Market

Almost no diversification

The correlation between Calvert Conservative Allocatio and DJI is 0.95 (i.e., Almost no diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Calvert Conservative Allocatio 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 Conservative 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 gross domestic product.

Moving together with Calvert Mutual Fund

0.95	CDHIX	Calvert Developed Market	Pair Corr
0.89	CDICX	Calvert Short Duration	Pair Corr
0.96	CGARX	Calvert Responsible Index	Pair Corr
0.91	CYBAX	Calvert High Yield	Pair Corr
0.96	CMACX	Calvert Moderate All	Pair Corr
0.88	CMERX	Calvert Emerging Markets	Pair Corr
0.89	CMPAX	Calvert Small/mid-cap	Pair Corr
1.0	CAARX	Calvert Conservative	Pair Corr
0.83	CAEIX	Calvert Global Energy	Pair Corr
0.8	CSBCX	Calvert Bond Portfolio	Pair Corr
0.89	VWIAX	Vanguard Wellesley Income	Pair Corr
0.94	VWINX	Vanguard Wellesley Income	Pair Corr
0.97	BKMIX	Blackrock Multi Asset	Pair Corr
0.89	HBLTX	Hartford Balanced	Pair Corr
0.89	HBLRX	Hartford Balanced	Pair Corr
0.89	HBLSX	Hartford Balanced	Pair Corr
0.89	HBLVX	Hartford Balanced	Pair Corr
0.89	HBLFX	Hartford Balanced	Pair Corr
0.89	HBLYX	Hartford Balanced	Pair Corr
0.89	HBLCX	Hartford Balanced	Pair Corr
0.83	EKWDX	Wells Fargo Advantage	Pair Corr
0.85	PMPIX	Precious Metals Ultr	Pair Corr
0.85	PMPSX	Precious Metals Ultr	Pair Corr
0.92	DXRLX	Direxion Monthly Small	Pair Corr
0.9	GLRIX	James Balanced Golden	Pair Corr
0.93	TSINX	T Rowe Price	Pair Corr
0.79	PDI	Pimco Dynamic Income	Pair Corr
0.77	SCHLX	Deutsche Health And	Pair Corr
0.92	THPGX	Thompson Largecap	Pair Corr
0.89	SCSCX	Sentinel Mon Stock	Pair Corr
0.86	NWKEX	Nationwide Highmark Small	Pair Corr
0.74	WAINX	Wasatch Emerging India	Pair Corr
0.81	ACIHX	American Century Growth	Pair Corr
0.89	FPUIX	New Hampshire Higher	Pair Corr
0.95	TRROX	T Rowe Price	Pair Corr
0.81	GSSQX	Goldman Sachs Equity	Pair Corr
0.71	VENAX	Vanguard Energy Index	Pair Corr
0.89	UNWPX	World Precious Minerals	Pair Corr
0.84	CNEYX	Alger Concentrated Equity	Pair Corr

Related Correlations Analysis

	BWLAX	ADNRX	DNMDX	DSCVX	LVOLX	FIFNX	SECEX	HGLB	MASGX
BWLAX		-0.06	0.9	0.88	0.84	0.67	0.67	-0.72	0.62	BWLAX
ADNRX	-0.06		-0.26	0.16	-0.1	0.58	0.33	0.42	0.29	ADNRX
DNMDX	0.9	-0.26		0.86	0.82	0.52	0.56	-0.83	0.42	DNMDX
DSCVX	0.88	0.16	0.86		0.83	0.76	0.67	-0.61	0.63	DSCVX
LVOLX	0.84	-0.1	0.82	0.83		0.64	0.59	-0.66	0.69	LVOLX
FIFNX	0.67	0.58	0.52	0.76	0.64		0.8	-0.26	0.73	FIFNX
SECEX	0.67	0.33	0.56	0.67	0.59	0.8		-0.26	0.55	SECEX
HGLB	-0.72	0.42	-0.83	-0.61	-0.66	-0.26	-0.26		-0.29	HGLB
MASGX	0.62	0.29	0.42	0.63	0.69	0.73	0.55	-0.29		MASGX
	BWLAX	ADNRX	DNMDX	DSCVX	LVOLX	FIFNX	SECEX	HGLB	MASGX

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

DNMDX	+ 0.9	BWLAX
DSCVX	+ 0.88	BWLAX
DSCVX	+ 0.86	DNMDX
LVOLX	+ 0.84	BWLAX
LVOLX	+ 0.83	DSCVX
LVOLX	+ 0.82	DNMDX

High negative correlations

HGLB	- 0.83	DNMDX
HGLB	- 0.72	BWLAX
HGLB	- 0.66	LVOLX
HGLB	- 0.61	DSCVX
MASGX	- 0.29	HGLB
HGLB	- 0.26	SECEX

Risk-Adjusted Indicators

There is a big difference between Calvert Mutual Fund performing well and Calvert Conservative 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 Conservative'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
BWLAX	0.93	0.18	0.07	0.46	1.79	(1.03)	1.60	(1.11)	15.75
ADNRX	1.54	(0.27)	0.00	(0.12)	0.00	0.00	3.25	(3.62)	8.65
DNMDX	0.05	0.02	(0.39)	0.53	0.00	(0.08)	0.14	(0.10)	0.31
DSCVX	0.81	0.07	0.08	0.11	0.80	(0.92)	2.29	(1.69)	4.23
LVOLX	0.72	0.10	0.05	0.26	1.29	(0.81)	1.21	(0.88)	10.29
FIFNX	0.59	(0.02)	(0.03)	0.02	0.93	(0.57)	1.16	(1.86)	3.90
SECEX	0.56	0.03	(0.01)	0.52	0.76	(0.55)	1.13	(1.34)	3.80
HGLB	1.02	(0.20)	0.00	(0.16)	0.00	0.00	2.07	(2.32)	7.91
MASGX	0.78	0.12	0.12	0.22	0.68	(0.94)	1.75	(1.42)	4.31

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