Calvert Moderate Correlations

CMAAX Fund

USD 23.90 0.01 0.04%

The current 90-days correlation between Calvert Moderate All and Vanguard Market Neutral is -0.19 (i.e., Good diversification). The correlation of Calvert Moderate 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 Moderate Correlation With Market

Poor diversification

The correlation between Calvert Moderate Allocation and DJI is 0.76 (i.e., Poor diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Calvert Moderate Allocation 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 Moderate 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 nation.

Moving together with Calvert Mutual Fund

0.75	ABALX	American Balanced	Pair Corr
0.91	BALCX	American Balanced	Pair Corr
0.81	BALFX	American Balanced	Pair Corr
0.9	FBONX	American Funds American	Pair Corr
0.9	FBAFX	American Funds American	Pair Corr
0.9	RLBCX	American Balanced	Pair Corr
0.9	RLBBX	American Balanced	Pair Corr
0.98	CLBAX	American Balanced	Pair Corr
0.9	CLBEX	American Balanced	Pair Corr
0.9	RLBFX	American Balanced	Pair Corr
0.81	PDI	Pimco Dynamic Income	Pair Corr
0.63	WMT	Walmart Common Stock Sell-off Trend	Pair Corr
0.61	INTC	Intel Earnings Call Tomorrow	Pair Corr
0.74	AA	Alcoa Corp Downward Rally	Pair Corr
0.61	CVX	Chevron Corp Earnings Call This Week	Pair Corr
0.67	DIS	Walt Disney	Pair Corr

Moving against Calvert Mutual Fund

0.96	UIPIX	Ultrashort Mid Cap	Pair Corr
0.6	USPSX	Profunds Ultrashort	Pair Corr
0.58	USPIX	Profunds Ultrashort	Pair Corr
0.49	TCSUX	Cleartrack 2020 Class	Pair Corr
0.41	TCTGX	Transamerica Cleartrack	Pair Corr
0.41	TCTJX	Transamerica Cleartrack	Pair Corr
0.4	TDKTX	Cleartrack 2015 Class	Pair Corr
0.48	T	ATT Inc Earnings Call Tomorrow	Pair Corr
0.37	VZ	Verizon Communications Earnings Call This Week	Pair Corr
0.33	HPQ	HP Inc	Pair Corr

Related Correlations Analysis

	CAGIX	CCLAX	GCBLX	CSSZX	MYN	WPOIX	TRFOX	VMNFX
CAGIX		0.99	0.89	0.67	0.55	0.85	0.96	-0.51	CAGIX
CCLAX	0.99		0.88	0.71	0.54	0.86	0.95	-0.48	CCLAX
GCBLX	0.89	0.88		0.52	0.52	0.69	0.78	-0.44	GCBLX
CSSZX	0.67	0.71	0.52		0.26	0.81	0.65	-0.33	CSSZX
MYN	0.55	0.54	0.52	0.26		0.3	0.47	-0.69	MYN
WPOIX	0.85	0.86	0.69	0.81	0.3		0.84	-0.23	WPOIX
TRFOX	0.96	0.95	0.78	0.65	0.47	0.84		-0.45	TRFOX
VMNFX	-0.51	-0.48	-0.44	-0.33	-0.69	-0.23	-0.45		VMNFX
	CAGIX	CCLAX	GCBLX	CSSZX	MYN	WPOIX	TRFOX	VMNFX

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

CCLAX	+ 0.99	CAGIX
TRFOX	+ 0.96	CAGIX
TRFOX	+ 0.95	CCLAX
GCBLX	+ 0.89	CAGIX
GCBLX	+ 0.88	CCLAX
WPOIX	+ 0.86	CCLAX

High negative correlations

VMNFX	- 0.69	MYN
VMNFX	- 0.51	CAGIX
VMNFX	- 0.48	CCLAX
VMNFX	- 0.45	TRFOX
VMNFX	- 0.44	GCBLX
VMNFX	- 0.33	CSSZX

Risk-Adjusted Indicators

There is a big difference between Calvert Mutual Fund performing well and Calvert Moderate 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 Moderate'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
CAGIX	0.50	(0.01)	(0.04)	0.06	0.62	(0.52)	0.99	(0.99)	3.10
CCLAX	0.23	(0.01)	(0.18)	0.03	0.26	(0.28)	0.53	(0.48)	1.54
GCBLX	0.34	(0.04)	(0.15)	(0.01)	0.48	(0.34)	0.71	(0.74)	2.36
CSSZX	0.88	0.16	0.17	0.25	0.65	(1.10)	2.14	(1.45)	9.81
MYN	0.34	(0.03)	0.00	(0.36)	0.00	0.00	0.80	(0.70)	1.82
WPOIX	0.66	0.04	0.04	0.11	0.52	(0.91)	1.31	(1.20)	8.83
TRFOX	0.53	0.07	0.07	0.17	0.48	(0.59)	1.12	(1.04)	5.52
VMNFX	0.39	0.01	(0.11)	(0.07)	0.51	(0.40)	0.73	(1.01)	2.24

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