Calvert US Correlations

CMJIX Fund

USD 43.37 -0.91 -2.06%

Current 90-days correlation between Calvert Mid Cap and Chemicals Portfolio Chemicals is 0.61 (i.e., Poor 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 With Market: Calvert US

Poor diversification

Across the chosen horizon, CMJIX and DJI show a correlation of 0.78 and fall into the Poor 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 Mid Cap 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

0.9	CDHIX	Calvert Developed Market	Pair Corr
0.86	CDHAX	Calvert Developed Market	Pair Corr
0.78	CDICX	Calvert Short Duration	Pair Corr
0.9	CDHRX	Calvert International	Pair Corr
0.85	CDSRX	Calvert Short Duration	Pair Corr
0.77	CDSIX	Calvert Short Duration	Pair Corr
0.83	CVMAX	Calvert Emerging Markets	Pair Corr
0.87	CVMRX	Calvert Emerging Markets	Pair Corr
0.87	CVMIX	Calvert Emerging Markets	Pair Corr
0.87	CVMCX	Calvert Emerging Markets	Pair Corr
0.85	CEFAX	Calvert Emerging Markets	Pair Corr
0.88	CEFIX	Congressional Effect	Pair Corr
0.85	CEMCX	Calvert Emerging Markets	Pair Corr
0.85	CEMAX	Calvert Emerging Markets	Pair Corr
0.92	CFAIX	Calvert Conservative	Pair Corr
0.84	CWVIX	Calvert International	Pair Corr
0.83	CWVGX	Calvert International	Pair Corr
0.82	CWVCX	Calvert International	Pair Corr
0.84	CFICX	Calvert Income	Pair Corr
0.95	CFJIX	Calvert Large Cap	Pair Corr
0.91	CFJAX	Calvert Large Cap	Pair Corr
0.93	CFWCX	Calvert Global Water	Pair Corr
0.9	CFWAX	Calvert Global Water	Pair Corr
0.93	CFWIX	Calvert Global Water	Pair Corr
0.87	CGARX	Calvert Responsible Index	Pair Corr
0.81	CGAEX	Calvert Global Energy	Pair Corr
0.81	CGAFX	Calvert Green Bond	Pair Corr
0.86	CGACX	Calvert Global Energy	Pair Corr
0.83	CGBIX	Calvert Green Bond	Pair Corr
0.75	CGLIX	Calvert Global Equity	Pair Corr
0.74	CGLAX	Calvert Global Equity	Pair Corr
0.75	CYBAX	Calvert High Yield	Pair Corr
0.74	CYBRX	Calvert High Yield	Pair Corr
0.73	CYBIX	Calvert High Yield	Pair Corr

Moving against Calvert Mutual Fund

0.32	CEYIX	Calvert Equity Portfolio	Pair Corr
0.38	CFOIX	Calvert Floating Rate	Pair Corr
0.32	CFOAX	Calvert Floating Rate	Pair Corr

Related Correlations Analysis

	CMJAX	STSGX	GTLIX	GEMNX	EXHAX	FSRBX	FSRFX	MIQBX	FSCHX
CMJAX		0.39	0.77	0.87	0.61	0.46	0.79	0.83	0.88	CMJAX
STSGX	0.39		0.37	0.36	0.6	0.28	0.19	0.61	0.19	STSGX
GTLIX	0.77	0.37		0.61	0.86	0.4	0.48	0.59	0.61	GTLIX
GEMNX	0.87	0.36	0.61		0.45	0.39	0.83	0.81	0.95	GEMNX
EXHAX	0.61	0.6	0.86	0.45		0.4	0.26	0.6	0.37	EXHAX
FSRBX	0.46	0.28	0.4	0.39	0.4		0.58	0.26	0.33	FSRBX
FSRFX	0.79	0.19	0.48	0.83	0.26	0.58		0.59	0.88	FSRFX
MIQBX	0.83	0.61	0.59	0.81	0.6	0.26	0.59		0.7	MIQBX
FSCHX	0.88	0.19	0.61	0.95	0.37	0.33	0.88	0.7		FSCHX
	CMJAX	STSGX	GTLIX	GEMNX	EXHAX	FSRBX	FSRFX	MIQBX	FSCHX

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. There are so many exceptions to the norm that investors cannot definitively determine what's good or bad unless they analyze Calvert US'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
CMJAX	0.70	0.06	0.13	-0.43	0.77	-0.73	1.78	-1.41	6.06
STSGX	1.01	0.02	0.00	-0.03	0.00	0.00	1.58	-2.11	6.52
GTLIX	1.03	0.37	0.43	0.37	0.51	-1.45	1.43	-1.55	22.76
GEMNX	0.81	0.15	0.12	0.17	1.24	-0.83	1.60	-1.53	6.79
EXHAX	0.80	0.14	0.20	0.18	0.70	-1.03	1.20	-1.61	12.83
FSRBX	1.05	0.01	0.00	-0.04	0.00	0.00	2.08	-2.39	8.11
FSRFX	1.01	0.05	0.00	-0.01	0.00	0.00	2.18	-2.81	6.17
MIQBX	0.64	0.00	0.05	-0.08	0.92	-0.64	1.34	-1.43	4.41
FSCHX	0.78	0.26	0.24	0.29	0.81	-0.88	1.86	-1.88	5.36

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