Calvert US Correlations

CGJIX Fund

USD 71.55 -1.03 -1.42%

Current 90-days correlation between Calvert Large Cap and Hotchkis And Wiley is -0.18 (i.e., Good diversification).The correlation coefficient for Calvert US 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 Against Market - Calvert US

Very weak diversification

Across the chosen horizon, CGJIX and DJI show a correlation of 0.58 and fall into the Very weak diversification bucket. Used correctly, the chart helps investors judge whether adding the second position genuinely diversifies the first.

Review Trending Equities to understand diversified portfolio construction. Additional portfolio transparency improves capital positioning. This includes a position in Calvert Large Cap across the allocation. Also, note that the market value of any mutual fund could be closely tied with the direction of predictive economic indicators such as various price indices.

Moving together with Calvert Mutual Fund

0.64	VIGAX	Vanguard Growth Index	Pair Corr
0.97	AGTHX	Growth Fund	Pair Corr
0.98	GFACX	Growth Fund	Pair Corr
0.98	GFAFX	Growth Fund	Pair Corr
0.98	FAFGX	American Funds	Pair Corr
0.98	FFAFX	American Funds	Pair Corr
0.98	CGFFX	Growth Fund	Pair Corr
0.98	CGFCX	Growth Fund	Pair Corr
0.97	CGFAX	Growth Fund	Pair Corr
0.98	CGFEX	Growth Fund	Pair Corr

Moving against Calvert Mutual Fund

0.5	VZ	Verizon Communications	Pair Corr
0.49	MCD	McDonalds	Pair Corr
0.4	PFE	Pfizer Inc	Pair Corr
0.39	JNJ	Johnson Johnson	Pair Corr
0.38	KO	Coca Cola	Pair Corr
0.37	WMT	Walmart Common Stock	Pair Corr
0.35	CVX	Chevron Corp	Pair Corr
0.34	XOM	Exxon Mobil Corp Aggressive Push	Pair Corr

Related Correlations Analysis

	CGJAX	FAMEX	HWSIX	HWSCX	FCIRX	BAMPX	HGHAX	EEMAX	IVFIX	HWSAX
CGJAX		0.52	-0.02	-0.18	0.61	0.22	0.84	-0.27	-0.62	-0.12	CGJAX
FAMEX	0.52		0.62	0.57	0.86	0.79	0.71	0.46	0.16	0.54	FAMEX
HWSIX	-0.02	0.62		0.95	0.43	0.73	0.17	0.76	0.54	0.91	HWSIX
HWSCX	-0.18	0.57	0.95		0.33	0.71	-0.01	0.83	0.65	0.86	HWSCX
FCIRX	0.61	0.86	0.43	0.33		0.78	0.73	0.42	0.12	0.38	FCIRX
BAMPX	0.22	0.79	0.73	0.71	0.78		0.36	0.83	0.6	0.68	BAMPX
HGHAX	0.84	0.71	0.17	-0.01	0.73	0.36		-0.09	-0.42	0.08	HGHAX
EEMAX	-0.27	0.46	0.76	0.83	0.42	0.83	-0.09		0.85	0.75	EEMAX
IVFIX	-0.62	0.16	0.54	0.65	0.12	0.6	-0.42	0.85		0.59	IVFIX
HWSAX	-0.12	0.54	0.91	0.86	0.38	0.68	0.08	0.75	0.59		HWSAX
	CGJAX	FAMEX	HWSIX	HWSCX	FCIRX	BAMPX	HGHAX	EEMAX	IVFIX	HWSAX

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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

HWSCX	+ 0.95	HWSIX
HWSAX	+ 0.91	HWSIX
FCIRX	+ 0.86	FAMEX
HWSAX	+ 0.86	HWSCX
IVFIX	+ 0.85	EEMAX
HGHAX	+ 0.84	CGJAX

High negative correlations

IVFIX	- 0.62	CGJAX
IVFIX	- 0.42	HGHAX
EEMAX	- 0.27	CGJAX
HWSCX	- 0.18	CGJAX
HWSAX	- 0.12	CGJAX
EEMAX	- 0.09	HGHAX

Risk-Adjusted Indicators

There is a big difference between Calvert Mutual Fund performing well and Calvert US Mutual Fund doing well as a business compared to the competition. Risk-adjusted metrics allow investors to compare Calvert US's efficiency and downside exposure against peers in a more meaningful way. 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
CGJAX	0.65	0.02	0.00	-0.06	0.00	0.00	1.11	-1.59	4.10
FAMEX	0.68	0.01	0.00	-0.08	0.00	0.00	1.23	-1.53	3.90
HWSIX	0.80	0.11	0.09	0.02	1.05	-0.85	2.01	-1.89	5.70
HWSCX	0.81	0.15	0.13	0.06	1.06	-0.87	2.01	-1.89	5.70
FCIRX	0.67	-0.02	0.00	-0.11	0.00	0.00	1.04	-1.89	4.47
BAMPX	0.33	0.04	0.18	0.01	0.43	-0.34	0.59	-0.73	2.20
HGHAX	0.69	-0.02	0.00	-0.12	0.00	0.00	1.68	-1.57	4.21
EEMAX	1.05	0.29	0.16	0.19	1.51	-1.12	2.34	-2.03	8.67
IVFIX	0.54	0.17	0.25	0.54	0.65	-0.65	1.23	-0.87	4.64
HWSAX	0.81	0.00	0.11	-0.09	1.06	-0.86	2.01	-1.90	5.69

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