CALVERT US Correlations

CSXRX Fund

USD 54.38 0.55 1.02%

Current 90-days correlation between Calvert Large Cap and BlackRock Health Sciences is 0.46 (i.e., Very weak diversification).Because correlations between assets tend to spike during market dislocations, the apparent diversification benefit of holding CALVERT US alongside other equities may be lower in practice than historical averages suggest.

Market Correlation Snapshot: CALVERT US

Very poor diversification

The correlation between CSXRX and DJI is 0.83, which Macroaxis classifies as Very poor diversification for the selected horizon. 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 includes a position in Calvert Large Cap E 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 signals in main economic indicators.

Moving together with CALVERT Mutual Fund

0.72	CEYRX	Calvert Equity	Pair Corr
0.7	CFAIX	Calvert Conservative	Pair Corr
0.78	CWVIX	Calvert International	Pair Corr
0.71	CWVGX	Calvert International	Pair Corr
0.77	CWVCX	Calvert International	Pair Corr
0.71	CGARX	Calvert Responsible Index	Pair Corr
0.65	CGJIX	Calvert Large Cap	Pair Corr
0.64	CYBIX	Calvert High Yield	Pair Corr
0.63	CHBCX	Calvert High Yield	Pair Corr
0.78	CIESX	Calvert International	Pair Corr
1.0	CISIX	Calvert Large Cap	Pair Corr

Related Correlations Analysis

	FSPHX	TWHIX	PRPFX	JPPEX	DFEMX	SHSAX	SHISX	SHSKX	SHSCX	SHSSX
FSPHX		0.87	-0.29	0.09	-0.27	0.53	0.74	0.72	0.76	0.73	FSPHX
TWHIX	0.87		-0.37	0.17	-0.28	0.44	0.65	0.63	0.67	0.64	TWHIX
PRPFX	-0.29	-0.37		0.62	0.89	0.24	0.09	0.11	0.05	0.1	PRPFX
JPPEX	0.09	0.17	0.62		0.82	0.56	0.59	0.61	0.57	0.6	JPPEX
DFEMX	-0.27	-0.28	0.89	0.82		0.33	0.25	0.27	0.22	0.27	DFEMX
SHSAX	0.53	0.44	0.24	0.56	0.33		0.8	0.8	0.79	0.8	SHSAX
SHISX	0.74	0.65	0.09	0.59	0.25	0.8		1.0	1.0	1.0	SHISX
SHSKX	0.72	0.63	0.11	0.61	0.27	0.8	1.0		1.0	1.0	SHSKX
SHSCX	0.76	0.67	0.05	0.57	0.22	0.79	1.0	1.0		1.0	SHSCX
SHSSX	0.73	0.64	0.1	0.6	0.27	0.8	1.0	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

SHSKX	+ 1.0	SHISX
SHSCX	+ 1.0	SHISX
SHSSX	+ 1.0	SHISX
SHSCX	+ 1.0	SHSKX
SHSSX	+ 1.0	SHSKX
SHSSX	+ 1.0	SHSCX

High negative correlations

PRPFX	- 0.37	TWHIX
PRPFX	- 0.29	FSPHX
DFEMX	- 0.28	TWHIX
DFEMX	- 0.27	FSPHX

Risk-Adjusted Indicators

Surface-level performance for CALVERT Mutual Fund can mask how the business actually stacks up against its competitive set. Without reviewing risk-adjusted indicators, investors may overweight recent returns and underweight the volatility required to achieve them. 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	0.76	-0.07	0.00	-0.15	0.00	0.00	1.64	-1.62	4.09
TWHIX	0.95	-0.07	0.00	-0.08	0.00	0.00	1.52	-2.11	6.33
PRPFX	0.80	0.15	0.09	0.26	1.41	-0.74	1.51	-1.74	7.93
JPPEX	0.61	0.02	0.03	0.00	0.82	-0.60	1.25	-1.43	4.00
DFEMX	0.82	0.16	0.13	0.18	1.08	-0.90	1.85	-1.30	6.95
SHSAX	0.72	0.02	0.06	0.29	0.73	-0.94	1.69	-1.34	5.33
SHISX	0.68	0.00	0.00	-0.03	0.00	0.00	1.39	-1.35	3.99
SHSKX	0.68	0.00	0.00	-0.02	0.00	0.00	1.38	-1.35	3.99
SHSCX	0.68	0.00	0.00	-0.03	0.00	0.00	1.40	-1.34	3.99
SHSSX	0.68	0.00	0.00	-0.02	0.00	0.00	1.40	-1.36	3.97

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