Calvert Smallmid Correlations

CMPAX Fund

26.24 0.04 0.15%

The current 90-days correlation between Calvert Smallmid Cap and Davenport Small Cap is 0.77 (i.e., Poor diversification). The correlation of Calvert Smallmid 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 Smallmid Correlation With Market

Weak diversification

The correlation between Calvert Smallmid Cap A and DJI is 0.32 (i.e., Weak diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Calvert Smallmid Cap A 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 Smallmid Cap A. 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

0.64	CEMCX	Calvert Emerging Markets	Pair Corr
0.64	CEMAX	Calvert Emerging Markets	Pair Corr
0.87	CEYIX	Calvert Equity Portfolio	Pair Corr
0.87	CEYRX	Calvert Equity	Pair Corr
0.73	CFAIX	Calvert Conservative	Pair Corr
0.97	CFJIX	Calvert Large Cap	Pair Corr
0.97	CFJAX	Calvert Large Cap	Pair Corr
0.78	CFWCX	Calvert Global Water	Pair Corr
0.79	CFWAX	Calvert Global Water	Pair Corr
0.79	CFWIX	Calvert Global Water	Pair Corr
0.78	CGARX	Calvert Responsible Index	Pair Corr
0.63	CGBIX	Calvert Green Bond	Pair Corr
0.66	CGLIX	Calvert Global Equity	Pair Corr
0.67	CGLAX	Calvert Global Equity	Pair Corr

Moving against Calvert Mutual Fund

0.33	CFOIX	Calvert Floating Rate	Pair Corr
0.32	CFOAX	Calvert Floating Rate	Pair Corr

Related Correlations Analysis

	DSCPX	USCAX	EKBDX	PGBAX	MBLAX	NSIDX	JDJRX	GUDAX
DSCPX		0.84	0.75	0.58	0.8	0.86	-0.31	0.0	DSCPX
USCAX	0.84		0.91	0.52	0.92	0.9	-0.56	0.0	USCAX
EKBDX	0.75	0.91		0.37	0.85	0.8	-0.51	0.0	EKBDX
PGBAX	0.58	0.52	0.37		0.65	0.65	0.18	0.0	PGBAX
MBLAX	0.8	0.92	0.85	0.65		0.82	-0.33	0.0	MBLAX
NSIDX	0.86	0.9	0.8	0.65	0.82		-0.45	0.0	NSIDX
JDJRX	-0.31	-0.56	-0.51	0.18	-0.33	-0.45		0.0	JDJRX
GUDAX	0.0	0.0	0.0	0.0	0.0	0.0	0.0		GUDAX
	DSCPX	USCAX	EKBDX	PGBAX	MBLAX	NSIDX	JDJRX	GUDAX

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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

MBLAX	+ 0.92	USCAX
EKBDX	+ 0.91	USCAX
NSIDX	+ 0.9	USCAX
NSIDX	+ 0.86	DSCPX
MBLAX	+ 0.85	EKBDX
USCAX	+ 0.84	DSCPX

High negative correlations

JDJRX	- 0.56	USCAX
JDJRX	- 0.51	EKBDX
JDJRX	- 0.45	NSIDX
JDJRX	- 0.33	MBLAX
JDJRX	- 0.31	DSCPX
GUDAX	- 0.0	JDJRX

Risk-Adjusted Indicators

There is a big difference between Calvert Mutual Fund performing well and Calvert Smallmid 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 Smallmid'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
DSCPX	0.77	0.02	0.01	0.06	0.97	(0.88)	1.60	(1.30)	8.80
USCAX	0.96	(0.09)	0.00	(0.13)	0.00	0.00	1.74	(1.81)	10.83
EKBDX	0.87	(0.02)	(0.02)	(0.02)	1.49	(0.76)	1.43	(1.57)	8.79
PGBAX	0.15	(0.01)	0.00	(0.40)	0.00	0.00	0.25	(0.34)	0.93
MBLAX	0.23	(0.02)	0.00	(0.12)	0.00	0.00	0.46	(0.31)	1.79
NSIDX	1.00	(0.05)	0.00	(0.23)	0.00	0.00	1.81	(1.76)	11.20
JDJRX	0.39	0.04	0.03	0.52	0.39	(0.47)	0.88	(0.77)	2.00
GUDAX	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00

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