Calvert Small/mid-cap Correlations

CMPAX Fund

29.15 0.52 1.82%

The current 90-days correlation between Calvert Small/mid-cap and Calvert Developed Market is 0.45 (i.e., Very weak diversification). The correlation of Calvert Small/mid-cap 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 Small/mid-cap Correlation With Market

Very poor diversification

The correlation between Calvert Smallmid Cap A and DJI is 0.89 (i.e., Very poor 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

0.92	CFJIX	Calvert Large Cap	Pair Corr
0.92	CFJAX	Calvert Large Cap	Pair Corr
0.71	CFOIX	Calvert Floating Rate	Pair Corr
0.71	CFOAX	Calvert Floating Rate	Pair Corr
0.75	CGARX	Calvert Responsible Index	Pair Corr
0.88	CGJAX	Calvert Large Cap	Pair Corr
0.88	CGJIX	Calvert Large Cap	Pair Corr
0.61	CYBAX	Calvert High Yield	Pair Corr

Moving against Calvert Mutual Fund

0.6	CWVIX	Calvert International	Pair Corr
0.6	CWVGX	Calvert International	Pair Corr
0.45	CEMCX	Calvert Emerging Markets	Pair Corr
0.44	CDHIX	Calvert Developed Market	Pair Corr
0.44	CDHAX	Calvert Developed Market	Pair Corr
0.44	CDHRX	Calvert International	Pair Corr
0.43	CEMAX	Calvert Emerging Markets	Pair Corr
0.63	CGAFX	Calvert Green Bond	Pair Corr
0.62	CGBIX	Calvert Green Bond	Pair Corr
0.61	CWVCX	Calvert International	Pair Corr
0.54	CFICX	Calvert Income	Pair Corr
0.62	CLDIX	Calvert Long Term	Pair Corr
0.62	CLDAX	Calvert Long Term	Pair Corr

Related Correlations Analysis

	CDHIX	CDHAX	CDICX	CDHRX	CDSRX	CDSIX	CVMAX	CVMRX	CVMIX	CVMCX
CDHIX		1.0	0.46	1.0	0.26	0.25	0.42	0.41	0.41	0.43	CDHIX
CDHAX	1.0		0.46	1.0	0.25	0.25	0.41	0.4	0.41	0.42	CDHAX
CDICX	0.46	0.46		0.46	0.95	0.95	0.16	0.16	0.16	0.17	CDICX
CDHRX	1.0	1.0	0.46		0.26	0.25	0.42	0.41	0.41	0.43	CDHRX
CDSRX	0.26	0.25	0.95	0.26		1.0	0.22	0.22	0.22	0.22	CDSRX
CDSIX	0.25	0.25	0.95	0.25	1.0		0.24	0.24	0.24	0.24	CDSIX
CVMAX	0.42	0.41	0.16	0.42	0.22	0.24		1.0	1.0	1.0	CVMAX
CVMRX	0.41	0.4	0.16	0.41	0.22	0.24	1.0		1.0	1.0	CVMRX
CVMIX	0.41	0.41	0.16	0.41	0.22	0.24	1.0	1.0		1.0	CVMIX
CVMCX	0.43	0.42	0.17	0.43	0.22	0.24	1.0	1.0	1.0		CVMCX
	CDHIX	CDHAX	CDICX	CDHRX	CDSRX	CDSIX	CVMAX	CVMRX	CVMIX	CVMCX

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Risk-Adjusted Indicators

There is a big difference between Calvert Mutual Fund performing well and Calvert Small/mid-cap 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 Small/mid-cap'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
CDHIX	0.68	(0.12)	0.00	(0.09)	0.00	0.00	1.41	(1.34)	3.93
CDHAX	0.68	(0.12)	0.00	(0.09)	0.00	0.00	1.43	(1.33)	3.93
CDICX	0.09	0.00	(0.98)	0.32	0.07	(0.12)	0.19	(0.13)	0.64
CDHRX	0.68	(0.12)	0.00	(0.09)	0.00	0.00	1.41	(1.35)	3.94
CDSRX	0.10	0.00	(1.01)	(0.04)	0.00	(0.13)	0.19	(0.13)	0.76
CDSIX	0.09	0.00	(1.00)	0.01	0.00	(0.12)	0.19	(0.13)	0.76
CVMAX	0.80	(0.05)	(0.10)	0.03	0.98	(0.85)	1.60	(1.78)	5.41
CVMRX	0.80	(0.05)	(0.11)	0.03	0.97	(0.85)	1.64	(1.82)	5.37
CVMIX	0.80	(0.05)	(0.11)	0.03	0.97	(0.85)	1.63	(1.76)	5.46
CVMCX	0.80	(0.05)	(0.11)	0.02	0.98	(0.84)	1.61	(1.80)	5.47

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