Calvert Large Correlations

CFJIX Fund

USD 35.51 0.44 1.25%

The current 90-days correlation between Calvert Large Cap and Balanced Fund Retail is 0.76 (i.e., Poor diversification). The correlation of Calvert Large 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 Large Correlation With Market

Very poor diversification

The correlation between Calvert Large Cap and DJI is 0.87 (i.e., Very poor 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

0.9	CDHIX	Calvert Developed Market	Pair Corr
0.82	CDHAX	Calvert Developed Market	Pair Corr
0.87	CDICX	Calvert Short Duration	Pair Corr
0.9	CDHRX	Calvert International	Pair Corr
0.86	CDSRX	Calvert Short Duration	Pair Corr
0.86	CDSIX	Calvert Short Duration	Pair Corr
0.63	CVMRX	Calvert Emerging Markets	Pair Corr
0.63	CVMIX	Calvert Emerging Markets	Pair Corr
0.62	CVMCX	Calvert Emerging Markets	Pair Corr
0.86	CEYRX	Calvert Equity	Pair Corr
0.92	CFAIX	Calvert Conservative	Pair Corr
0.84	CWVIX	Calvert International	Pair Corr
0.8	CWVGX	Calvert International	Pair Corr
0.82	CWVCX	Calvert International	Pair Corr
0.74	CFICX	Calvert Income	Pair Corr
0.94	CFJAX	Calvert Large Cap	Pair Corr
0.75	CFWCX	Calvert Global Water	Pair Corr
0.67	CFWAX	Calvert Global Water	Pair Corr
0.76	CFWIX	Calvert Global Water	Pair Corr
0.89	CYBAX	Calvert High Yield	Pair Corr
0.92	CYBRX	Calvert High Yield	Pair Corr
0.92	CYBIX	Calvert High Yield	Pair Corr

Moving against Calvert Mutual Fund

0.39	CEMCX	Calvert Emerging Markets	Pair Corr
0.39	CEMAX	Calvert Emerging Markets	Pair Corr

Related Correlations Analysis

	FLDFX	TOIIX	AUUIX	QLENX	MSTFX	CSPFX
FLDFX		0.95	0.97	0.9	0.83	0.92	FLDFX
TOIIX	0.95		0.96	0.96	0.77	0.82	TOIIX
AUUIX	0.97	0.96		0.93	0.8	0.87	AUUIX
QLENX	0.9	0.96	0.93		0.75	0.78	QLENX
MSTFX	0.83	0.77	0.8	0.75		0.89	MSTFX
CSPFX	0.92	0.82	0.87	0.78	0.89		CSPFX
	FLDFX	TOIIX	AUUIX	QLENX	MSTFX	CSPFX

Risk-Adjusted Indicators

There is a big difference between Calvert Mutual Fund performing well and Calvert Large 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 Large'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
FLDFX	0.48	0.02	0.00	0.11	0.48	(0.53)	0.93	(0.95)	3.74
TOIIX	0.68	0.09	0.08	0.19	0.82	(0.71)	1.33	(1.28)	8.41
AUUIX	0.60	0.07	0.08	0.16	0.57	(0.66)	1.23	(0.99)	7.96
QLENX	0.31	0.09	0.07	0.41	0.00	(0.38)	0.77	(0.39)	1.55
MSTFX	0.80	0.21	0.17	0.60	0.63	(0.93)	1.34	(1.21)	15.62
CSPFX	0.81	0.05	0.06	0.13	0.76	(0.90)	1.51	(1.21)	5.89

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