Calvert Us Correlations

CFJIX Fund

USD 33.93 0.29 0.86%

The current 90-days correlation between Calvert Large Cap and Ab Bond Inflation is 0.31 (i.e., Weak diversification). The correlation of Calvert Us 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 Us Correlation With Market

Average diversification

The correlation between Calvert Large Cap and DJI is 0.16 (i.e., Average diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Calvert Large 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 Large 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 gross domestic product.

Moving together with Calvert Mutual Fund

0.69	CEMCX	Calvert Emerging Markets	Pair Corr
0.69	CEMAX	Calvert Emerging Markets	Pair Corr
0.93	CEYIX	Calvert Equity Portfolio	Pair Corr
0.93	CEYRX	Calvert Equity	Pair Corr
0.71	CFAIX	Calvert Conservative	Pair Corr
0.63	CFICX	Calvert Income	Pair Corr
1.0	CFJAX	Calvert Large Cap	Pair Corr
0.84	CFWCX	Calvert Global Water	Pair Corr
0.84	CFWAX	Calvert Global Water	Pair Corr
0.84	CFWIX	Calvert Global Water	Pair Corr
0.77	CGARX	Calvert Responsible Index	Pair Corr
0.63	CGAEX	Calvert Global Energy	Pair Corr
0.76	CGAFX	Calvert Green Bond	Pair Corr
0.63	CGACX	Calvert Global Energy	Pair Corr
0.76	CGBIX	Calvert Green Bond	Pair Corr
0.71	CGLIX	Calvert Global Equity	Pair Corr
0.66	CGLAX	Calvert Global Equity	Pair Corr

Moving against Calvert Mutual Fund

0.39	CFOIX	Calvert Floating Rate	Pair Corr
0.37	CFOAX	Calvert Floating Rate	Pair Corr

Related Correlations Analysis

	ANBIX	PRVBX	GHVIX	ABNCX	ACITX	ABNTX	TTRBX
ANBIX		0.82	0.84	0.97	0.88	1.0	0.79	ANBIX
PRVBX	0.82		0.84	0.74	0.63	0.83	0.61	PRVBX
GHVIX	0.84	0.84		0.72	0.55	0.84	0.67	GHVIX
ABNCX	0.97	0.74	0.72		0.96	0.97	0.77	ABNCX
ACITX	0.88	0.63	0.55	0.96		0.88	0.74	ACITX
ABNTX	1.0	0.83	0.84	0.97	0.88		0.79	ABNTX
TTRBX	0.79	0.61	0.67	0.77	0.74	0.79		TTRBX
	ANBIX	PRVBX	GHVIX	ABNCX	ACITX	ABNTX	TTRBX

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Risk-Adjusted Indicators

There is a big difference between Calvert Mutual Fund performing well and Calvert Us 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 Us' 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
ANBIX	0.13	0.01	(0.39)	(0.48)	0.10	(0.18)	0.29	(0.29)	0.78
PRVBX	0.10	0.00	(0.73)	0.49	0.00	(0.13)	0.26	(0.20)	0.58
GHVIX	0.15	0.02	(0.25)	2.39	0.06	(0.17)	0.36	(0.36)	0.96
ABNCX	0.14	0.00	(0.44)	(0.09)	0.12	(0.18)	0.20	(0.30)	0.70
ACITX	0.19	0.00	(0.34)	(0.08)	0.21	(0.23)	0.48	(0.48)	1.15
ABNTX	0.13	0.01	(0.40)	(0.54)	0.10	(0.18)	0.30	(0.30)	0.79
TTRBX	0.15	0.00	(0.44)	0.08	0.12	(0.20)	0.41	(0.30)	1.01

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