Calvert Small Correlations

CSCCX Fund

USD 21.74 0.14 0.65%

The current 90-days correlation between Calvert Small Cap and Ab Discovery Value is 0.84 (i.e., Very poor diversification). 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

Average diversification

The correlation between Calvert Small Cap and DJI is 0.17 (i.e., Average 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 manufacturing.

Moving together with Calvert Mutual Fund

0.78	CDHIX	Calvert Developed Market	Pair Corr
0.73	CDHAX	Calvert Developed Market	Pair Corr
0.78	CDHRX	Calvert International	Pair Corr
0.66	CDSRX	Calvert Short Duration	Pair Corr
0.66	CDSIX	Calvert Short Duration	Pair Corr
0.91	CEYRX	Calvert Equity	Pair Corr
0.75	CWVIX	Calvert International	Pair Corr
0.75	CWVGX	Calvert International	Pair Corr
0.83	CFJAX	Calvert Large Cap	Pair Corr
0.7	CYBRX	Calvert High Yield	Pair Corr
0.9	CISIX	Calvert Large Cap	Pair Corr
0.92	CLVRX	Columbia International	Pair Corr
0.87	CMCIX	Capital Management Mid	Pair Corr
0.94	CMJIX	Calvert Mid Cap	Pair Corr
0.9	CMJAX	Calvert Mid Cap	Pair Corr
0.78	CMPAX	Calvert Smallmid Cap	Pair Corr

Moving against Calvert Mutual Fund

0.6	CEMAX	Calvert Emerging Markets	Pair Corr
0.9	CSECX	Calvert Equity Portfolio	Pair Corr
0.6	CMEIX	Capital Management Mid	Pair Corr
0.6	CMERX	Calvert Emerging Markets	Pair Corr

Related Correlations Analysis

	ABSZX	LSSIX	FSCRX	HSVRX	WGROX	OILGX
ABSZX		0.27	0.92	0.93	0.71	0.05	ABSZX
LSSIX	0.27		0.36	0.43	0.25	0.46	LSSIX
FSCRX	0.92	0.36		0.9	0.65	0.09	FSCRX
HSVRX	0.93	0.43	0.9		0.74	0.24	HSVRX
WGROX	0.71	0.25	0.65	0.74		0.23	WGROX
OILGX	0.05	0.46	0.09	0.24	0.23		OILGX
	ABSZX	LSSIX	FSCRX	HSVRX	WGROX	OILGX

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
ABSZX	0.78	0.09	0.04	0.56	0.81	(0.85)	2.14	(1.20)	7.36
LSSIX	0.98	(0.18)	0.00	(0.09)	0.00	0.00	1.63	(1.82)	10.63
FSCRX	0.83	0.00	(0.02)	0.00	1.09	(0.86)	1.83	(1.82)	3.95
HSVRX	0.88	(0.01)	0.00	0.05	1.12	(0.95)	2.09	(1.64)	5.28
WGROX	1.09	0.03	0.05	0.08	1.11	(1.28)	2.41	(1.91)	11.87
OILGX	0.81	(0.03)	(0.03)	0.02	1.21	(0.77)	1.76	(1.94)	4.73

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