Calvert Small Correlations

CSCCX Fund

USD 23.96 1.00 4.01%

The current 90-days correlation between Calvert Small Cap and Columbia Dividend Income is -0.08 (i.e., Good 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

Modest diversification

The correlation between Calvert Small Cap and DJI is 0.23 (i.e., Modest 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

0.73	CEMCX	Calvert Emerging Markets	Pair Corr
0.7	CEMAX	Calvert Emerging Markets	Pair Corr
0.88	CEYIX	Calvert Equity Portfolio	Pair Corr
0.88	CEYRX	Calvert Equity	Pair Corr
0.7	CFJIX	Calvert Large Cap	Pair Corr
0.82	CFJAX	Calvert Large Cap	Pair Corr
0.62	CFOAX	Calvert Floating Rate Potential Growth	Pair Corr
0.76	CGARX	Calvert Responsible Index	Pair Corr
0.9	CGJAX	Calvert Large Cap	Pair Corr
0.95	CGJIX	Calvert Large Cap	Pair Corr
0.9	CGLIX	Calvert Global Equity	Pair Corr
0.74	CGLAX	Calvert Global Equity	Pair Corr

Moving against Calvert Mutual Fund

0.67	CDSRX	Calvert Short Duration	Pair Corr
0.66	CDICX	Calvert Short Duration	Pair Corr
0.66	CDSIX	Calvert Short Duration	Pair Corr
0.59	CEFIX	Congressional Effect	Pair Corr
0.56	CFICX	Calvert Income	Pair Corr
0.49	CEFAX	Calvert Emerging Markets	Pair Corr
0.39	CDHIX	Calvert Developed Market	Pair Corr
0.39	CDHAX	Calvert Developed Market	Pair Corr
0.39	CDHRX	Calvert International	Pair Corr
0.35	CVMRX	Calvert Emerging Markets	Pair Corr
0.59	CGAFX	Calvert Green Bond	Pair Corr
0.59	CGBIX	Calvert Green Bond	Pair Corr
0.52	CINCX	Calvert Income	Pair Corr
0.51	CIFCX	Calvert Income	Pair Corr

Related Correlations Analysis

	CDDYX	CEYRX	WCMIX	CPHUX	CSGYX
CDDYX		0.73	0.66	0.33	0.24	CDDYX
CEYRX	0.73		0.31	-0.18	0.71	CEYRX
WCMIX	0.66	0.31		0.67	-0.22	WCMIX
CPHUX	0.33	-0.18	0.67		-0.76	CPHUX
CSGYX	0.24	0.71	-0.22	-0.76		CSGYX
	CDDYX	CEYRX	WCMIX	CPHUX	CSGYX

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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

CEYRX	+ 0.73	CDDYX
CSGYX	+ 0.71	CEYRX
CPHUX	+ 0.67	WCMIX
WCMIX	+ 0.66	CDDYX
CPHUX	+ 0.33	CDDYX
WCMIX	+ 0.31	CEYRX

High negative correlations

CSGYX	- 0.76	CPHUX
CSGYX	- 0.22	WCMIX
CPHUX	- 0.18	CEYRX

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
CDDYX	0.60	0.01	0.25	(2.90)	0.67	(0.69)	1.15	(1.26)	3.03
CEYRX	0.63	(0.06)	0.00	(1.89)	0.00	0.00	1.28	(1.65)	3.40
WCMIX	0.98	0.05	0.13	0.49	1.36	(0.97)	1.79	(1.91)	7.68
CPHUX	0.17	0.03	1.03	(1.25)	0.00	(0.21)	0.38	(0.28)	1.20
CSGYX	1.37	(0.23)	0.00	(1.10)	0.00	0.00	2.38	(3.68)	6.83

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