Calvert Large Correlations

CMIFX Fund

USD 9.80 0.01 0.10%

The current 90-days correlation between Calvert Large Cap and Ab Small Cap is 0.03 (i.e., Significant 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

Average diversification

The correlation between Calvert Large Cap and DJI is 0.11 (i.e., Average 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 census.

Moving together with Calvert Mutual Fund

0.65	VFSUX	Vanguard Short Term	Pair Corr
0.74	LALDX	Lord Abbett Short	Pair Corr
0.61	VSCSX	Vanguard Short Term	Pair Corr
0.63	LDLAX	Lord Abbett Short	Pair Corr
0.72	LDLRX	Lord Abbett Short	Pair Corr

Moving against Calvert Mutual Fund

0.47	TGLDX	Tocqueville Gold	Pair Corr
0.41	GOVXX	Money Market Obligations	Pair Corr
0.41	GRFXX	Money Market Obligations	Pair Corr

Related Correlations Analysis

	QUAIX	SSMAX	DFDSX	OWSMX	CIPNX	GMSMX	MSSGX	KSCYX
QUAIX		0.94	0.93	0.93	0.89	0.98	0.89	0.86	QUAIX
SSMAX	0.94		0.98	0.95	0.95	0.96	0.89	0.91	SSMAX
DFDSX	0.93	0.98		0.95	0.97	0.96	0.93	0.88	DFDSX
OWSMX	0.93	0.95	0.95		0.88	0.91	0.83	0.77	OWSMX
CIPNX	0.89	0.95	0.97	0.88		0.93	0.94	0.89	CIPNX
GMSMX	0.98	0.96	0.96	0.91	0.93		0.94	0.89	GMSMX
MSSGX	0.89	0.89	0.93	0.83	0.94	0.94		0.88	MSSGX
KSCYX	0.86	0.91	0.88	0.77	0.89	0.89	0.88		KSCYX
	QUAIX	SSMAX	DFDSX	OWSMX	CIPNX	GMSMX	MSSGX	KSCYX

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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
QUAIX	0.89	0.17	0.09	0.58	0.85	(0.99)	1.92	(1.95)	6.76
SSMAX	0.70	0.01	0.05	0.12	0.55	(0.83)	1.68	(1.13)	6.00
DFDSX	0.76	0.03	0.06	0.14	0.65	(0.86)	1.67	(1.30)	5.79
OWSMX	0.51	0.02	(0.02)	0.14	0.40	(0.60)	1.13	(0.83)	3.45
CIPNX	0.81	0.07	0.11	0.16	0.70	(0.87)	1.72	(1.49)	7.70
GMSMX	0.77	0.16	0.10	0.76	0.52	(0.91)	1.82	(1.19)	6.31
MSSGX	1.44	0.63	0.39	3.93	0.83	(1.86)	3.46	(1.71)	7.23
KSCYX	1.54	0.36	0.14	0.48	1.99	(1.60)	3.29	(3.72)	16.43

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