CALVERT BALANCED Correlations

CBAIX Fund

USD 46.92 -0.57 -1.20%

Current 90-days correlation between Calvert Balanced and World Growth Fund is -0.07 (i.e., Good diversification).The correlation coefficient for CALVERT BALANCED ranges from -1 to +1. Values above 0.8 suggest strong positive correlation - both assets move together - while values below -0.5 suggest a useful diversification pairing.

Correlation With Market: CALVERT BALANCED

Very weak diversification

Across the chosen horizon, CBAIX and DJI show a correlation of 0.54 and fall into the Very weak diversification bucket. In portfolio terms, the overlap visualization shows how much shared movement remains after both positions are combined.

Trending Equities provides context for diversified portfolio construction. Such insight adds context to allocation decisions within a diversified portfolio. This reflects a position in Calvert Balanced Portfolio within the portfolio mix. 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 gross domestic product.

Moving together with CALVERT Mutual Fund

0.76	CEYIX	Calvert Equity Portfolio	Pair Corr
0.77	CGJAX	Calvert Large Cap	Pair Corr
0.94	CGJIX	Calvert Large Cap	Pair Corr

Moving against CALVERT Mutual Fund

0.31

CDSIX

Calvert Short Duration

Pair Corr

Related Correlations Analysis

	TEGIX	FSLSX	GTMUX	ILLLX	QCSCX	IBALX	FSEAX	VOHIX	FSLVX	USWGX
TEGIX		0.5	0.57	-0.26	0.78	0.65	0.52	0.48	0.55	0.69	TEGIX
FSLSX	0.5		0.8	-0.87	0.69	0.64	0.95	0.9	0.95	0.75	FSLSX
GTMUX	0.57	0.8		-0.48	0.71	0.63	0.8	0.67	0.85	0.56	GTMUX
ILLLX	-0.26	-0.87	-0.48		-0.42	-0.42	-0.8	-0.85	-0.75	-0.62	ILLLX
QCSCX	0.78	0.69	0.71	-0.42		0.69	0.63	0.47	0.79	0.77	QCSCX
IBALX	0.65	0.64	0.63	-0.42	0.69		0.71	0.55	0.73	0.8	IBALX
FSEAX	0.52	0.95	0.8	-0.8	0.63	0.71		0.89	0.9	0.76	FSEAX
VOHIX	0.48	0.9	0.67	-0.85	0.47	0.55	0.89		0.83	0.69	VOHIX
FSLVX	0.55	0.95	0.85	-0.75	0.79	0.73	0.9	0.83		0.77	FSLVX
USWGX	0.69	0.75	0.56	-0.62	0.77	0.8	0.76	0.69	0.77		USWGX
	TEGIX	FSLSX	GTMUX	ILLLX	QCSCX	IBALX	FSEAX	VOHIX	FSLVX	USWGX

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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

FSEAX	+ 0.95	FSLSX
FSLVX	+ 0.95	FSLSX
VOHIX	+ 0.9	FSLSX
FSLVX	+ 0.9	FSEAX
VOHIX	+ 0.89	FSEAX
FSLVX	+ 0.85	GTMUX

High negative correlations

ILLLX	- 0.87	FSLSX
VOHIX	- 0.85	ILLLX
FSEAX	- 0.8	ILLLX
FSLVX	- 0.75	ILLLX
USWGX	- 0.62	ILLLX
ILLLX	- 0.48	GTMUX

Risk-Adjusted Indicators

There is a big difference between CALVERT Mutual Fund performing well and CALVERT BALANCED 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 BALANCED'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
TEGIX	1.16	0.19	0.14	0.08	1.07	-1.32	1.69	-1.80	14.20
FSLSX	0.86	0.15	0.14	0.08	0.87	-0.99	2.43	-1.57	5.17
GTMUX	1.01	0.02	0.00	-0.03	0.00	0.00	1.57	-2.21	7.90
ILLLX	1.50	-0.23	0.00	0.32	0.00	0.00	2.89	-3.40	10.53
QCSCX	1.00	0.18	0.14	0.07	0.99	-1.22	1.39	-1.87	14.32
IBALX	0.42	0.06	0.18	0.07	0.38	-0.52	0.59	-0.73	6.88
FSEAX	0.86	0.15	0.12	0.14	1.19	-0.91	1.93	-1.53	7.20
VOHIX	0.10	0.00	0.18	0.02	0.12	-0.14	0.26	-0.34	1.02
FSLVX	0.52	0.04	0.07	0.00	0.67	-0.53	0.99	-1.15	2.96
USWGX	0.72	0.19	0.31	-1.18	0.53	-0.85	1.01	-1.27	12.66

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