Calvert Small Correlations

CSCCX Fund

USD 29.69 0.45 1.54%

The current 90-days correlation between Calvert Small Cap and Calvert Small Cap is 1.0 (i.e., No risk reduction). The correlation of Calvert Small 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 Correlation With Market

Very poor diversification

The correlation between Calvert Small Cap 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 Small 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 Small 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 main economic indicators.

Moving together with Calvert Mutual Fund

0.93	CFJIX	Calvert Large Cap	Pair Corr
0.93	CFJAX	Calvert Large Cap	Pair Corr
0.73	CFOIX	Calvert Floating Rate	Pair Corr
0.73	CFOAX	Calvert Floating Rate	Pair Corr
0.75	CGARX	Calvert Responsible Index	Pair Corr
0.9	CGJAX	Calvert Large Cap	Pair Corr
0.9	CGJIX	Calvert Large Cap	Pair Corr
0.62	CYBAX	Calvert High Yield	Pair Corr

Moving against Calvert Mutual Fund

0.62	CWVCX	Calvert International	Pair Corr
0.61	CWVIX	Calvert International	Pair Corr
0.61	CWVGX	Calvert International	Pair Corr
0.56	CFICX	Calvert Income	Pair Corr
0.46	CDHAX	Calvert Developed Market	Pair Corr
0.45	CDHIX	Calvert Developed Market	Pair Corr
0.45	CDHRX	Calvert International	Pair Corr
0.45	CEMCX	Calvert Emerging Markets	Pair Corr
0.44	CEMAX	Calvert Emerging Markets	Pair Corr
0.65	CGAFX	Calvert Green Bond	Pair Corr
0.64	CGBIX	Calvert Green Bond	Pair Corr

Related Correlations Analysis

	CCVAX	CSXCX	CSVIX	CSECX	CSXAX
CCVAX		0.92	1.0	0.41	0.92	CCVAX
CSXCX	0.92		0.92	0.43	1.0	CSXCX
CSVIX	1.0	0.92		0.41	0.92	CSVIX
CSECX	0.41	0.43	0.41		0.43	CSECX
CSXAX	0.92	1.0	0.92	0.43		CSXAX
	CCVAX	CSXCX	CSVIX	CSECX	CSXAX

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Risk-Adjusted Indicators

There is a big difference between Calvert Mutual Fund performing well and Calvert Small 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'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
CCVAX	0.80	0.00	0.04	0.12	0.64	(0.93)	1.76	(1.29)	6.44
CSXCX	0.60	0.00	(0.01)	0.12	0.68	(0.69)	1.28	(1.35)	4.16
CSVIX	0.79	0.00	0.04	0.12	0.64	(0.93)	1.74	(1.26)	6.45
CSECX	0.48	(0.06)	(0.17)	0.01	0.62	(0.47)	0.89	(0.81)	2.93
CSXAX	0.60	0.01	(0.01)	0.13	0.66	(0.67)	1.25	(1.34)	4.16

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