Calvert Us Correlations

CISIX Fund

USD 53.00 0.28 0.53%

The current 90-days correlation between Calvert Large Cap and Calvert Equity Portfolio is 0.82 (i.e., Very poor 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

Very poor diversification

The correlation between Calvert Large Cap and DJI is 0.86 (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

0.97	CFJIX	Calvert Large Cap	Pair Corr
0.97	CFJAX	Calvert Large Cap	Pair Corr
0.84	CFOIX	Calvert Floating Rate	Pair Corr
0.83	CFOAX	Calvert Floating Rate	Pair Corr
1.0	CGJAX	Calvert Large Cap	Pair Corr
1.0	CGJIX	Calvert Large Cap	Pair Corr
0.63	CGLIX	Calvert Global Equity	Pair Corr
0.62	CGLAX	Calvert Global Equity	Pair Corr
0.63	CYBAX	Calvert High Yield	Pair Corr
0.66	CYBRX	Calvert High Yield	Pair Corr

Moving against Calvert Mutual Fund

0.55	CWVIX	Calvert International	Pair Corr
0.39	CDHIX	Calvert Developed Market	Pair Corr
0.39	CDHAX	Calvert Developed Market	Pair Corr
0.39	CDHRX	Calvert International	Pair Corr
0.39	CEMCX	Calvert Emerging Markets	Pair Corr
0.37	CEMAX	Calvert Emerging Markets	Pair Corr
0.7	CGAFX	Calvert Green Bond	Pair Corr
0.69	CGBIX	Calvert Green Bond	Pair Corr
0.62	CFICX	Calvert Income	Pair Corr
0.56	CWVCX	Calvert International	Pair Corr
0.55	CWVGX	Calvert International	Pair Corr
0.72	CLDIX	Calvert Long Term	Pair Corr
0.72	CLDAX	Calvert Long Term	Pair Corr
0.64	CIFCX	Calvert Income	Pair Corr
0.6	CINCX	Calvert Income	Pair Corr

Related Correlations Analysis

	CSIEX	AQUI	MSTSX	LBHIX	VIASP	RRTLX	OSHDF	70082LAB3	SITKF	RWAYL
CSIEX		0.0	0.56	0.45	-0.07	0.79	0.02	-0.18	0.26	0.2	CSIEX
AQUI	0.0		0.0	0.0	0.0	0.0	0.0	0.0	0.0	0.0	AQUI
MSTSX	0.56	0.0		0.69	-0.11	0.87	-0.02	0.19	0.79	0.55	MSTSX
LBHIX	0.45	0.0	0.69		0.15	0.72	0.26	0.09	0.5	0.75	LBHIX
VIASP	-0.07	0.0	-0.11	0.15		0.0	0.78	0.47	-0.13	0.54	VIASP
RRTLX	0.79	0.0	0.87	0.72	0.0		0.05	0.01	0.51	0.49	RRTLX
OSHDF	0.02	0.0	-0.02	0.26	0.78	0.05		0.35	-0.08	0.62	OSHDF
70082LAB3	-0.18	0.0	0.19	0.09	0.47	0.01	0.35		0.34	0.5	70082LAB3
SITKF	0.26	0.0	0.79	0.5	-0.13	0.51	-0.08	0.34		0.55	SITKF
RWAYL	0.2	0.0	0.55	0.75	0.54	0.49	0.62	0.5	0.55		RWAYL
	CSIEX	AQUI	MSTSX	LBHIX	VIASP	RRTLX	OSHDF	70082LAB3	SITKF	RWAYL

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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

RRTLX	+ 0.87	MSTSX
RRTLX	+ 0.79	CSIEX
SITKF	+ 0.79	MSTSX
OSHDF	+ 0.78	VIASP
RWAYL	+ 0.75	LBHIX
RRTLX	+ 0.72	LBHIX

High negative correlations

70082LAB3	- 0.18	CSIEX
SITKF	- 0.13	VIASP
VIASP	- 0.11	MSTSX
SITKF	- 0.08	OSHDF
VIASP	- 0.07	CSIEX
OSHDF	- 0.02	MSTSX

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
CSIEX	0.48	(0.06)	(0.17)	0.02	0.62	(0.47)	0.90	(0.83)	2.96
AQUI	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00
MSTSX	0.48	(0.04)	(0.13)	0.06	0.50	(0.59)	1.21	(1.02)	2.80
LBHIX	0.11	0.01	(0.41)	0.46	0.00	(0.29)	0.24	(0.24)	0.96
VIASP	0.72	0.00	(0.02)	0.00	1.05	(0.80)	2.28	(1.15)	7.18
RRTLX	0.24	(0.02)	(0.31)	0.05	0.24	(0.27)	0.56	(0.56)	1.37
OSHDF	39.65	20.22	0.00	(24.88)	0.00	0.00	0.00	0.00	1,329
70082LAB3	1.00	0.07	(0.04)	(0.12)	2.25	(1.07)	1.75	(1.69)	24.27
SITKF	5.58	1.06	0.14	3.03	5.02	(8.21)	14.29	(9.09)	32.64
RWAYL	0.13	0.03	(0.46)	2.12	0.00	(0.18)	0.32	(0.20)	1.21

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