Calvert Large Correlations

CSXRX Fund

USD 55.30 0.41 0.75%

The current 90-days correlation between Calvert Large Cap and Health Care Portfolio is 0.45 (i.e., Very weak diversification). The correlation of Calvert Large 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 Large Correlation With Market

Very poor diversification

The correlation between Calvert Large Cap E and DJI is 0.8 (i.e., Very poor diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Calvert Large Cap E 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 Large Cap E. 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 real.

Moving together with Calvert Mutual Fund

0.83	CDHIX	Calvert Developed Market	Pair Corr
0.77	CDHAX	Calvert Developed Market	Pair Corr
0.74	CDICX	Calvert Short Duration	Pair Corr
0.83	CDHRX	Calvert International	Pair Corr
0.74	CDSRX	Calvert Short Duration	Pair Corr
0.74	CDSIX	Calvert Short Duration	Pair Corr
0.61	CVMAX	Calvert Emerging Markets	Pair Corr
0.62	CVMRX	Calvert Emerging Markets	Pair Corr
0.62	CVMIX	Calvert Emerging Markets	Pair Corr
0.61	CVMCX	Calvert Emerging Markets	Pair Corr
0.7	CEFAX	Calvert Emerging Markets	Pair Corr
0.75	CEFIX	Congressional Effect	Pair Corr
0.77	CEYRX	Calvert Equity	Pair Corr
0.82	CFAIX	Calvert Conservative	Pair Corr
0.71	CWVIX	Calvert International	Pair Corr
0.68	CWVGX	Calvert International	Pair Corr
0.61	CWVCX	Calvert International Downward Rally	Pair Corr
0.61	CFOIX	Calvert Floating Rate	Pair Corr
0.62	CFOAX	Calvert Floating Rate	Pair Corr
0.8	CGARX	Calvert Responsible Index	Pair Corr
0.63	CGAEX	Calvert Global Energy	Pair Corr
0.65	CGACX	Calvert Global Energy	Pair Corr
0.79	CGLIX	Calvert Global Equity	Pair Corr
0.75	CGLAX	Calvert Global Equity	Pair Corr
0.79	CYBAX	Calvert High Yield	Pair Corr
0.79	CYBRX	Calvert High Yield	Pair Corr
0.81	CYBIX	Calvert High Yield	Pair Corr
0.78	CHBCX	Calvert High Yield	Pair Corr

Moving against Calvert Mutual Fund

0.66

CEYIX

Calvert Equity Portfolio

Pair Corr

Related Correlations Analysis

	FSPHX	TWHIX	PRPFX	JPPEX	DFEMX	SHSAX	SHISX	SHSKX	SHSCX	SHSSX
FSPHX		-0.41	0.72	0.07	0.49	0.94	0.98	0.95	0.93	0.95	FSPHX
TWHIX	-0.41		-0.41	0.24	0.18	-0.57	-0.47	-0.54	-0.56	-0.54	TWHIX
PRPFX	0.72	-0.41		0.45	0.41	0.8	0.69	0.8	0.82	0.8	PRPFX
JPPEX	0.07	0.24	0.45		0.19	0.1	0.03	0.11	0.15	0.11	JPPEX
DFEMX	0.49	0.18	0.41	0.19		0.37	0.43	0.39	0.37	0.39	DFEMX
SHSAX	0.94	-0.57	0.8	0.1	0.37		0.96	0.99	0.98	0.99	SHSAX
SHISX	0.98	-0.47	0.69	0.03	0.43	0.96		0.97	0.94	0.97	SHISX
SHSKX	0.95	-0.54	0.8	0.11	0.39	0.99	0.97		1.0	1.0	SHSKX
SHSCX	0.93	-0.56	0.82	0.15	0.37	0.98	0.94	1.0		1.0	SHSCX
SHSSX	0.95	-0.54	0.8	0.11	0.39	0.99	0.97	1.0	1.0		SHSSX
	FSPHX	TWHIX	PRPFX	JPPEX	DFEMX	SHSAX	SHISX	SHSKX	SHSCX	SHSSX

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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

SHSCX	+ 1.0	SHSKX
SHSSX	+ 1.0	SHSKX
SHSSX	+ 1.0	SHSCX
SHSKX	+ 0.99	SHSAX
SHSSX	+ 0.99	SHSAX
SHISX	+ 0.98	FSPHX

High negative correlations

SHSAX	- 0.57	TWHIX
SHSCX	- 0.56	TWHIX
SHSSX	- 0.54	TWHIX
SHSKX	- 0.54	TWHIX
SHISX	- 0.47	TWHIX
PRPFX	- 0.41	TWHIX

Risk-Adjusted Indicators

There is a big difference between Calvert Mutual Fund performing well and Calvert Large 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 Large'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
FSPHX	0.72	0.15	0.14	0.28	0.61	(0.86)	1.64	(1.39)	5.09
TWHIX	1.17	(0.45)	0.00	(0.23)	0.00	0.00	1.45	(2.25)	20.26
PRPFX	0.49	0.09	0.08	0.25	0.46	(0.52)	1.21	(0.86)	3.53
JPPEX	0.60	(0.05)	(0.07)	0.00	0.81	(0.58)	1.30	(1.22)	3.44
DFEMX	0.63	(0.04)	(0.07)	0.00	0.83	(0.73)	1.30	(1.16)	4.21
SHSAX	0.63	0.24	0.29	1.20	0.13	(0.73)	2.03	(1.12)	3.71
SHISX	0.59	0.14	0.17	0.28	0.37	(0.68)	1.82	(1.21)	3.69
SHSKX	0.62	0.21	0.28	0.42	0.16	(0.74)	2.04	(1.13)	3.96
SHSCX	0.65	0.24	0.28	0.54	0.22	(0.78)	2.00	(1.15)	5.77
SHSSX	0.62	0.21	0.28	0.43	0.15	(0.74)	2.04	(1.11)	3.95

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