Calvert Large Correlations

CMIFX Fund

USD 9.78 0.00 0.00%

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 0.84 (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 price.

Moving together with Calvert Mutual Fund

0.79	CMBEX	Curasset Capital Man	Pair Corr
0.92	VBIRX	Vanguard Short Term	Pair Corr
0.95	VFSUX	Vanguard Short Term	Pair Corr
0.95	VFSIX	Vanguard Short Term	Pair Corr
0.96	VFSTX	Vanguard Short Term	Pair Corr
0.94	VBITX	Vanguard Short Term	Pair Corr
0.93	VBISX	Vanguard Short Term	Pair Corr
0.98	VSCSX	Vanguard Short Term	Pair Corr
0.92	LALDX	Lord Abbett Short	Pair Corr
0.93	LDLAX	Lord Abbett Short	Pair Corr
0.93	LDLRX	Lord Abbett Short	Pair Corr
0.84	VPMAX	Vanguard Primecap	Pair Corr
0.92	DODBX	Dodge Balanced	Pair Corr
0.95	EMOIX	Eaton Vance Municipal	Pair Corr
0.9	KGGAX	Kopernik Global All	Pair Corr
0.91	LDMYX	Lord Abbett Emerging	Pair Corr
0.93	FAFOX	Nuveen Kansas Municipal	Pair Corr
0.77	FUMIX	Fidelity Sai Momentum	Pair Corr
0.94	GPPIX	Goldman Sachs Short	Pair Corr
0.92	FZAJX	Fidelity International	Pair Corr
0.91	NPHIX	High Income Fund	Pair Corr
0.93	RWDNX	Redwood Managed Vola	Pair Corr
0.95	HLDRX	Hartford Emerging	Pair Corr
0.95	GAMPX	Goldman Sachs Mlp	Pair Corr
0.97	APDOX	Artisan Emerging Markets	Pair Corr
0.71	BCLPX	Blckrk Lc Cr	Pair Corr
0.75	PGILX	Putnam Global Industrials	Pair Corr
0.93	SEMVX	Hartford Schroders	Pair Corr
0.93	TNSHX	Tiaa-cref Short-term	Pair Corr
0.92	VCLAX	Vanguard California	Pair Corr

Moving against Calvert Mutual Fund

0.78	INPSX	Internet Ultrasector	Pair Corr
0.77	INPIX	Internet Ultrasector	Pair Corr

Related Correlations Analysis

	TEIMX	LDMAX	SMAAX	IATXX	BBSXX	DSHXX	TIMXX
TEIMX		0.91	0.95	0.0	0.0	0.0	0.0	TEIMX
LDMAX	0.91		0.9	0.0	0.0	0.0	0.0	LDMAX
SMAAX	0.95	0.9		0.0	0.0	0.0	0.0	SMAAX
IATXX	0.0	0.0	0.0		0.0	0.0	0.0	IATXX
BBSXX	0.0	0.0	0.0	0.0		0.0	0.0	BBSXX
DSHXX	0.0	0.0	0.0	0.0	0.0		0.0	DSHXX
TIMXX	0.0	0.0	0.0	0.0	0.0	0.0		TIMXX
	TEIMX	LDMAX	SMAAX	IATXX	BBSXX	DSHXX	TIMXX

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

SMAAX	+ 0.95	TEIMX
LDMAX	+ 0.91	TEIMX
SMAAX	+ 0.9	LDMAX
IATXX	+ 0.0	TEIMX
BBSXX	+ 0.0	TEIMX
DSHXX	+ 0.0	TEIMX

High negative correlations

TIMXX	- 0.0	DSHXX
TIMXX	- 0.0	BBSXX
DSHXX	- 0.0	BBSXX
TIMXX	- 0.0	IATXX
DSHXX	- 0.0	IATXX
BBSXX	- 0.0	IATXX

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	Expected Shortfall	Potential Upside	Value @Risk	Maximum Drawdown
TEIMX	0.23	0.06	(0.01)	(4.65)	(0.33)	0.58	(0.39)	1.18
LDMAX	0.15	0.03	(0.12)	(0.51)	(0.31)	0.45	(0.23)	1.34
SMAAX	0.07	0.02	(0.32)	5.99	(0.14)	0.20	(0.10)	0.49
IATXX	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00
BBSXX	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00
DSHXX	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00
TIMXX	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00

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