Calvert Mid Correlations

CMJAX Fund

USD 43.08 0.43 0.99%

The current 90-days correlation between Calvert Mid Cap and Calvert Mid Cap is 0.99 (i.e., No risk reduction). The correlation of Calvert Mid 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 Mid Correlation With Market

Very poor diversification

The correlation between Calvert Mid Cap and DJI is 0.83 (i.e., Very poor diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Calvert Mid 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 Mid 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 nation.

Moving together with Calvert Mutual Fund

0.88	CDHIX	Calvert Developed Market	Pair Corr
0.88	CDHAX	Calvert Developed Market	Pair Corr
0.74	CDICX	Calvert Short Duration	Pair Corr
0.88	CDHRX	Calvert International	Pair Corr
0.73	CDSRX	Calvert Short Duration	Pair Corr
0.73	CDSIX	Calvert Short Duration	Pair Corr
0.71	CEYIX	Calvert Equity Portfolio	Pair Corr
0.93	CEYRX	Calvert Equity	Pair Corr
0.83	CFAIX	Calvert Conservative	Pair Corr
0.85	CWVIX	Calvert International	Pair Corr
0.84	CWVGX	Calvert International	Pair Corr
0.83	CWVCX	Calvert International	Pair Corr
0.62	CFICX	Calvert Income	Pair Corr
0.96	CFJIX	Calvert Large Cap	Pair Corr
0.96	CFJAX	Calvert Large Cap	Pair Corr
0.75	CFWCX	Calvert Global Water	Pair Corr
0.76	CFWAX	Calvert Global Water	Pair Corr
0.76	CFWIX	Calvert Global Water	Pair Corr
0.82	CYBAX	Calvert High Yield	Pair Corr
0.82	CYBRX	Calvert High Yield	Pair Corr
0.83	CHBCX	Calvert High Yield	Pair Corr
0.85	CIESX	Calvert International	Pair Corr

Moving against Calvert Mutual Fund

0.5	CEMCX	Calvert Emerging Markets	Pair Corr
0.5	CEMAX	Calvert Emerging Markets	Pair Corr

Related Correlations Analysis

	CMJIX	STSGX	GTLIX	GEMNX	EXHAX	FSRBX	FSRFX	MIQBX	FSCHX
CMJIX		0.4	0.87	0.56	0.85	0.8	0.88	0.56	0.11	CMJIX
STSGX	0.4		0.12	0.49	0.17	0.17	0.29	0.87	0.5	STSGX
GTLIX	0.87	0.12		0.47	0.96	0.65	0.73	0.36	-0.06	GTLIX
GEMNX	0.56	0.49	0.47		0.53	0.27	0.54	0.6	-0.12	GEMNX
EXHAX	0.85	0.17	0.96	0.53		0.6	0.7	0.39	-0.06	EXHAX
FSRBX	0.8	0.17	0.65	0.27	0.6		0.9	0.21	-0.05	FSRBX
FSRFX	0.88	0.29	0.73	0.54	0.7	0.9		0.4	-0.1	FSRFX
MIQBX	0.56	0.87	0.36	0.6	0.39	0.21	0.4		0.6	MIQBX
FSCHX	0.11	0.5	-0.06	-0.12	-0.06	-0.05	-0.1	0.6		FSCHX
	CMJIX	STSGX	GTLIX	GEMNX	EXHAX	FSRBX	FSRFX	MIQBX	FSCHX

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

EXHAX	+ 0.96	GTLIX
FSRFX	+ 0.9	FSRBX
FSRFX	+ 0.88	CMJIX
GTLIX	+ 0.87	CMJIX
MIQBX	+ 0.87	STSGX
EXHAX	+ 0.85	CMJIX

High negative correlations

FSCHX	- 0.12	GEMNX
FSCHX	- 0.1	FSRFX
FSCHX	- 0.06	EXHAX
FSCHX	- 0.06	GTLIX
FSCHX	- 0.05	FSRBX

Risk-Adjusted Indicators

There is a big difference between Calvert Mutual Fund performing well and Calvert Mid 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 Mid'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
CMJIX	0.71	0.00	0.01	0.06	0.80	(0.75)	1.71	(1.36)	5.42
STSGX	1.03	(0.06)	(0.02)	0.01	1.43	(0.98)	1.98	(2.03)	6.89
GTLIX	0.98	0.35	0.35	0.43	0.49	(1.24)	1.43	(1.51)	21.68
GEMNX	0.60	0.03	0.01	0.10	0.79	(0.64)	1.28	(1.09)	4.21
EXHAX	0.68	0.20	0.23	0.42	0.41	(0.84)	1.26	(0.99)	11.81
FSRBX	1.00	(0.08)	(0.03)	0.00	1.95	(0.95)	2.48	(3.23)	10.23
FSRFX	0.86	0.01	0.01	0.06	1.08	(0.89)	1.55	(1.60)	4.76
MIQBX	0.61	(0.02)	(0.03)	0.04	0.77	(0.66)	1.34	(1.23)	3.30
FSCHX	0.73	(0.13)	0.00	(0.09)	0.00	0.00	1.61	(1.98)	4.61

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