Calvert Large Correlations

CMIFX Fund

USD 9.77 0.01 0.10%

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 0.8 (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

0.87	VBIRX	Vanguard Short Term	Pair Corr
0.92	VFSUX	Vanguard Short Term	Pair Corr
0.93	VFSIX	Vanguard Short Term	Pair Corr
0.93	VFSTX	Vanguard Short Term	Pair Corr
0.9	VBITX	Vanguard Short Term	Pair Corr
0.9	VBISX	Vanguard Short Term	Pair Corr
0.97	VSCSX	Vanguard Short Term	Pair Corr
0.91	LALDX	Lord Abbett Short	Pair Corr
0.87	LDLAX	Lord Abbett Short	Pair Corr
0.88	LDLRX	Lord Abbett Short	Pair Corr
0.94	BRUFX	Bruce Fund Bruce	Pair Corr
0.77	SPGSX	State Street Premier	Pair Corr
0.74	KF	Korea Closed	Pair Corr
0.93	AOUAX	Angel Oak Ultrashort	Pair Corr
0.84	JLCFX	Fundamental Large Cap	Pair Corr
0.87	RSFYX	Victory Floating Rate	Pair Corr
0.89	GGHCX	Invesco Global Health	Pair Corr
0.85	PAUPX	Pimco All Asset	Pair Corr
0.92	AMECX	Income Fund	Pair Corr
0.87	PCBJX	Strategic Asset Mana	Pair Corr
0.82	MLPLX	Oppenheimer Steelpath Mlp	Pair Corr
0.9	FTSAX	Fuller Thaler Behavioral	Pair Corr
0.89	PFRZX	Putnam Floating Rate	Pair Corr
0.87	RBLRX	Balanced Strategy	Pair Corr
0.7	NVHAX	Nuveen Short Duration	Pair Corr
0.79	PFPNX	Pimco Capital Sec	Pair Corr
0.91	ACGIX	Invesco Growth And	Pair Corr
0.94	VMSSX	Virtus Multi Sector	Pair Corr
0.86	SBACX	Sentinel Balanced	Pair Corr
0.77	HILFX	Hennessy Large Cap	Pair Corr
0.9	NPHIX	High Income Fund	Pair Corr
0.8	PIRMX	Pimco Inflation Response	Pair Corr
0.89	SEAIX	Saat Aggressive Strategy	Pair Corr
0.78	OISGX	Optimum Small Mid	Pair Corr
0.91	NSCRX	Nuveen Nwq Small	Pair Corr

Moving against Calvert Mutual Fund

0.58

TIPRX

Totl In Rl

Pair Corr

Related Correlations Analysis

	AEYXX	PSSRX	ICFAX	PRISX	GCFSX	PFPNX	0P000070L2	MPIXX
AEYXX		0.0	0.0	0.0	0.0	0.0	0.0	0.0	AEYXX
PSSRX	0.0		0.84	0.96	0.92	0.8	0.83	0.0	PSSRX
ICFAX	0.0	0.84		0.9	0.93	0.66	0.88	0.0	ICFAX
PRISX	0.0	0.96	0.9		0.95	0.75	0.84	0.0	PRISX
GCFSX	0.0	0.92	0.93	0.95		0.79	0.93	0.0	GCFSX
PFPNX	0.0	0.8	0.66	0.75	0.79		0.73	0.0	PFPNX
0P000070L2	0.0	0.83	0.88	0.84	0.93	0.73		0.0	0P000070L2
MPIXX	0.0	0.0	0.0	0.0	0.0	0.0	0.0		MPIXX
	AEYXX	PSSRX	ICFAX	PRISX	GCFSX	PFPNX	0P000070L2	MPIXX

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

PRISX	+ 0.96	PSSRX
GCFSX	+ 0.95	PRISX
GCFSX	+ 0.93	ICFAX
0P000070L2	+ 0.93	GCFSX
GCFSX	+ 0.92	PSSRX
PRISX	+ 0.9	ICFAX

High negative correlations

MPIXX	- 0.0	0P000070L2
MPIXX	- 0.0	PFPNX
MPIXX	- 0.0	GCFSX
MPIXX	- 0.0	PRISX
MPIXX	- 0.0	ICFAX
MPIXX	- 0.0	PSSRX

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
AEYXX	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00
PSSRX	0.88	0.14	0.14	0.19	0.72	(1.00)	1.90	(1.75)	12.65
ICFAX	0.86	0.15	0.20	0.22	0.44	(1.19)	1.66	(0.98)	14.63
PRISX	0.79	0.10	0.10	0.17	0.81	(0.85)	1.66	(1.67)	8.41
GCFSX	0.49	0.11	0.12	0.22	0.48	(0.58)	1.15	(1.04)	3.27
PFPNX	0.09	0.01	(0.34)	0.16	0.00	(0.13)	0.21	(0.21)	0.72
0P000070L2	0.03	0.01	0.00	(0.48)	0.00	0.00	0.00	0.00	0.40
MPIXX	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00

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