Calvert Focused Correlations

CRFCX Fund

USD 12.49 0.00 0.78%

The correlation of Calvert Focused 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.

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Moving together with Calvert Mutual Fund

0.67	VVIAX	Vanguard Value Index	Pair Corr
0.73	AWSHX	Washington Mutual	Pair Corr
0.73	WSHCX	Washington Mutual	Pair Corr
0.66	WSHFX	Washington Mutual	Pair Corr
0.71	FWWMX	American Funds Washington	Pair Corr
0.71	FWMMX	American Funds Washington	Pair Corr
0.72	DODGX	Dodge Stock Fund	Pair Corr
0.7	AMFFX	American Mutual	Pair Corr
0.7	AMFCX	American Mutual	Pair Corr
0.65	EMSLX	Shelton Emerging Markets	Pair Corr
0.73	LMISX	Qs Large Cap	Pair Corr
0.69	AA	Alcoa Corp	Pair Corr
0.61	INTC	Intel Aggressive Push	Pair Corr
0.77	BA	Boeing	Pair Corr
0.67	CAT	Caterpillar	Pair Corr

Moving against Calvert Mutual Fund

0.47	NXJ	Nuveen New Jersey	Pair Corr
0.43	AMRMX	American Mutual	Pair Corr
0.41	XNBHX	Neuberger Berman Int	Pair Corr
0.32	XNXJX	Nuveen New Jersey	Pair Corr
0.54	MMM	3M Company	Pair Corr
0.36	TRV	The Travelers Companies	Pair Corr
0.34	MSFT	Microsoft	Pair Corr

Related Correlations Analysis

	DBLGX	CNGLX	TEDIX	APDPX	SGMAX	MSTGX	BXFIX
DBLGX		0.76	0.8	0.85	0.75	0.89	-0.05	DBLGX
CNGLX	0.76		0.93	0.86	0.93	0.86	0.39	CNGLX
TEDIX	0.8	0.93		0.93	0.9	0.92	0.33	TEDIX
APDPX	0.85	0.86	0.93		0.9	0.96	0.21	APDPX
SGMAX	0.75	0.93	0.9	0.9		0.87	0.33	SGMAX
MSTGX	0.89	0.86	0.92	0.96	0.87		0.14	MSTGX
BXFIX	-0.05	0.39	0.33	0.21	0.33	0.14		BXFIX
	DBLGX	CNGLX	TEDIX	APDPX	SGMAX	MSTGX	BXFIX

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

MSTGX	+ 0.96	APDPX
TEDIX	+ 0.93	CNGLX
SGMAX	+ 0.93	CNGLX
APDPX	+ 0.93	TEDIX
MSTGX	+ 0.92	TEDIX
SGMAX	+ 0.9	TEDIX

High negative correlations

BXFIX

- 0.05

DBLGX

Risk-Adjusted Indicators

There is a big difference between Calvert Mutual Fund performing well and Calvert Focused 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 Focused'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
DBLGX	0.18	0.01	(0.11)	0.24	0.13	(0.23)	0.34	(0.23)	1.45
CNGLX	0.57	0.03	0.03	0.09	0.66	(0.62)	1.11	(1.19)	5.46
TEDIX	0.55	0.07	0.05	0.43	0.58	(0.56)	1.20	(1.10)	3.62
APDPX	0.10	0.07	0.11	(3.34)	0.00	(0.15)	0.28	(0.10)	0.82
SGMAX	0.57	0.27	0.56	0.62	0.00	(0.80)	0.81	(0.52)	14.48
MSTGX	0.25	0.08	0.14	0.30	0.00	(0.30)	0.58	(0.41)	1.41
BXFIX	0.06	(0.01)	(0.37)	(0.84)	0.07	(0.31)	0.12	(0.12)	0.83

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