Calvert Moderate Correlations

CMACX Fund

USD 22.80 0.84 3.83%

The current 90-days correlation between Calvert Moderate All and Mid Cap 15x Strategy is 0.9 (i.e., Almost no diversification). The correlation of Calvert Moderate 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 Moderate Correlation With Market

Average diversification

The correlation between Calvert Moderate Allocation and DJI is 0.18 (i.e., Average diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Calvert Moderate Allocation 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 Moderate Allocation. 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 services.

Moving together with Calvert Mutual Fund

0.71	CDICX	Calvert Short Duration	Pair Corr
0.69	CVMCX	Calvert Emerging Markets	Pair Corr
0.7	CEFAX	Calvert Emerging Markets	Pair Corr
0.68	CEFIX	Congressional Effect	Pair Corr
0.83	CFAIX	Calvert Conservative	Pair Corr
0.66	CFICX	Calvert Income	Pair Corr
0.8	CGARX	Calvert Responsible Index	Pair Corr
0.78	CGAEX	Calvert Global Energy	Pair Corr
0.61	CGAFX	Calvert Green Bond	Pair Corr
0.74	CGACX	Calvert Global Energy	Pair Corr
0.66	CGLIX	Calvert Global Equity	Pair Corr
0.94	CGLAX	Calvert Global Equity	Pair Corr
0.84	CYBAX	Calvert High Yield	Pair Corr
0.79	CYBRX	Calvert High Yield	Pair Corr
0.83	CYBIX	Calvert High Yield	Pair Corr

Related Correlations Analysis

	RYAHX	DGEAX	JOEAX	SEDAX
RYAHX		0.06	-0.02	0.35	RYAHX
DGEAX	0.06		0.55	-0.05	DGEAX
JOEAX	-0.02	0.55		0.11	JOEAX
SEDAX	0.35	-0.05	0.11		SEDAX
	RYAHX	DGEAX	JOEAX	SEDAX

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

JOEAX	+ 0.55	DGEAX
SEDAX	+ 0.35	RYAHX
SEDAX	+ 0.11	JOEAX
DGEAX	+ 0.06	RYAHX

High negative correlations

SEDAX	- 0.05	DGEAX
JOEAX	- 0.02	RYAHX

Risk-Adjusted Indicators

There is a big difference between Calvert Mutual Fund performing well and Calvert Moderate 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 Moderate'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
RYAHX	1.11	0.03	(0.01)	0.17	1.52	(1.06)	2.76	(2.39)	5.80
DGEAX	0.64	0.01	(0.06)	1.24	0.95	(0.63)	1.18	(1.44)	3.95
JOEAX	0.75	(0.05)	(0.05)	0.02	1.15	(0.73)	1.29	(1.41)	5.64
SEDAX	0.17	0.05	(0.10)	(1.75)	0.00	(0.24)	0.43	(0.33)	0.97

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