Calvert SmallCap Correlations

CALRX Fund

USD 30.05 0.14 0.47%

Current 90-days correlation between Calvert Smallcap Fund6 and Columbia Dividend Opportunity is 0.93 (i.e., Almost no diversification).Because correlations between assets tend to spike during market dislocations, the apparent diversification benefit of holding Calvert SmallCap alongside other equities may be lower in practice than historical averages suggest.

Market Correlation Context: Calvert SmallCap

Very poor diversification

The correlation between CALRX and DJI is 0.8, which Macroaxis classifies as Very poor diversification for the selected horizon. Used correctly, the chart helps investors judge whether adding the second position genuinely diversifies the first.

Trending Equities provides context for diversified portfolio construction. Additional portfolio transparency improves capital positioning. The allocation includes a position in Calvert Smallcap Fund6 in the portfolio view. 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

0.63	CDHIX	Calvert Developed Market	Pair Corr
0.63	CDHRX	Calvert International	Pair Corr
0.64	CEFIX	Congressional Effect	Pair Corr
0.62	CEMCX	Calvert Emerging Markets	Pair Corr
0.62	CEMAX	Calvert Emerging Markets	Pair Corr
0.74	CFAIX	Calvert Conservative	Pair Corr
0.74	CWVIX	Calvert International	Pair Corr
0.69	CWVGX	Calvert International	Pair Corr
0.72	CWVCX	Calvert International	Pair Corr
0.79	CFJIX	Calvert Large Cap	Pair Corr
0.74	CFWIX	Calvert Global Water	Pair Corr
0.69	CGARX	Calvert Responsible Index	Pair Corr
0.68	CYBAX	Calvert High Yield	Pair Corr
0.71	CYBIX	Calvert High Yield	Pair Corr
0.7	CHBCX	Calvert High Yield	Pair Corr
0.74	CIESX	Calvert International	Pair Corr
0.69	CIOAX	Calvert International	Pair Corr
0.76	CISIX	Calvert Large Cap	Pair Corr
0.81	CLVRX	Columbia International	Pair Corr

Moving against Calvert Mutual Fund

0.33

CFOAX

Calvert Floating Rate

Pair Corr

Related Correlations Analysis

	ABSZX	ABSIX	LCGRX	LSSNX	HISGX	HASCX	SAIFX	SINAX	DREVX	INUTX
ABSZX		1.0	0.85	0.85	0.81	0.95	0.81	0.8	-0.05	0.95	ABSZX
ABSIX	1.0		0.85	0.85	0.81	0.95	0.81	0.8	-0.05	0.95	ABSIX
LCGRX	0.85	0.85		1.0	0.95	0.8	0.65	0.62	0.3	0.69	LCGRX
LSSNX	0.85	0.85	1.0		0.95	0.81	0.65	0.63	0.3	0.7	LSSNX
HISGX	0.81	0.81	0.95	0.95		0.79	0.71	0.71	0.3	0.67	HISGX
HASCX	0.95	0.95	0.8	0.81	0.79		0.81	0.81	-0.23	0.96	HASCX
SAIFX	0.81	0.81	0.65	0.65	0.71	0.81		0.97	-0.01	0.83	SAIFX
SINAX	0.8	0.8	0.62	0.63	0.71	0.81	0.97		-0.05	0.83	SINAX
DREVX	-0.05	-0.05	0.3	0.3	0.3	-0.23	-0.01	-0.05		-0.26	DREVX
INUTX	0.95	0.95	0.69	0.7	0.67	0.96	0.83	0.83	-0.26		INUTX
	ABSZX	ABSIX	LCGRX	LSSNX	HISGX	HASCX	SAIFX	SINAX	DREVX	INUTX

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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

ABSIX	+ 1.0	ABSZX
LSSNX	+ 1.0	LCGRX
SINAX	+ 0.97	SAIFX
INUTX	+ 0.96	HASCX
HASCX	+ 0.95	ABSZX
INUTX	+ 0.95	ABSZX

High negative correlations

INUTX	- 0.26	DREVX
DREVX	- 0.23	HASCX
DREVX	- 0.05	SINAX
DREVX	- 0.05	ABSIX
DREVX	- 0.05	ABSZX
DREVX	- 0.01	SAIFX

Risk-Adjusted Indicators

Surface-level performance for Calvert Mutual Fund can mask how the business actually stacks up against its competitive set. Without reviewing risk-adjusted indicators, investors may overweight recent returns and underweight the volatility required to achieve them. 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	0.85	0.15	0.15	0.09	0.83	-0.97	2.14	-1.80	8.67
ABSIX	0.85	0.15	0.15	0.09	0.84	-0.97	2.14	-1.84	8.70
LCGRX	0.91	0.01	0.00	-0.02	0.00	0.00	1.79	-1.85	5.85
LSSNX	0.91	0.01	0.00	-0.01	0.00	0.00	1.79	-1.85	5.83
HISGX	1.04	0.06	0.04	0.03	1.25	-1.15	2.05	-2.29	6.83
HASCX	0.97	0.20	0.15	0.12	1.12	-1.03	2.46	-2.06	6.24
SAIFX	0.69	0.27	0.37	0.30	0.31	-0.83	1.31	-1.20	13.62
SINAX	0.70	0.23	0.35	3.34	0.34	-0.83	1.33	-1.18	13.63
DREVX	0.69	-0.03	0.00	-0.07	0.00	0.00	1.20	-1.50	3.74
INUTX	0.60	0.19	0.26	0.18	0.43	-0.69	1.27	-1.27	7.68

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