Calvert Aggressive Correlations

CAAAX Fund

USD 26.38 0.39 1.46%

The current 90-days correlation between Calvert Aggressive and Calvert Developed Market is 0.63 (i.e., Poor diversification). The correlation of Calvert Aggressive 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 Aggressive Correlation With Market

Average diversification

The correlation between Calvert Aggressive Allocation and DJI is 0.12 (i.e., Average diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Calvert Aggressive 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 Aggressive 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 nation.

Moving together with Calvert Mutual Fund

0.62	CEYIX	Calvert Equity Portfolio	Pair Corr
0.61	CEYRX	Calvert Equity	Pair Corr
0.78	CFAIX	Calvert Conservative	Pair Corr
0.73	CFICX	Calvert Income	Pair Corr
0.76	CFJIX	Calvert Large Cap	Pair Corr
0.63	CFJAX	Calvert Large Cap	Pair Corr
0.66	CFWCX	Calvert Global Water	Pair Corr
0.64	CFWAX	Calvert Global Water	Pair Corr
0.64	CFWIX	Calvert Global Water	Pair Corr
1.0	CGARX	Calvert Responsible Index	Pair Corr
0.63	CGAFX	Calvert Green Bond	Pair Corr
0.63	CGBIX	Calvert Green Bond	Pair Corr

Related Correlations Analysis

	CDHIX	CDHAX	CDICX	CDHRX	CDSRX	CDSIX	CVMAX	CVMRX	CVMIX	CVMCX
CDHIX		0.56	0.1	0.56	-0.01	-0.09	0.45	0.45	0.51	0.45	CDHIX
CDHAX	0.56		0.17	1.0	-0.04	-0.02	0.86	0.86	0.71	0.86	CDHAX
CDICX	0.1	0.17		0.18	0.94	0.97	-0.14	-0.13	-0.11	-0.14	CDICX
CDHRX	0.56	1.0	0.18		-0.03	-0.01	0.86	0.86	0.71	0.86	CDHRX
CDSRX	-0.01	-0.04	0.94	-0.03		0.99	-0.37	-0.37	-0.3	-0.38	CDSRX
CDSIX	-0.09	-0.02	0.97	-0.01	0.99		-0.35	-0.35	-0.31	-0.36	CDSIX
CVMAX	0.45	0.86	-0.14	0.86	-0.37	-0.35		1.0	0.81	1.0	CVMAX
CVMRX	0.45	0.86	-0.13	0.86	-0.37	-0.35	1.0		0.81	1.0	CVMRX
CVMIX	0.51	0.71	-0.11	0.71	-0.3	-0.31	0.81	0.81		0.81	CVMIX
CVMCX	0.45	0.86	-0.14	0.86	-0.38	-0.36	1.0	1.0	0.81		CVMCX
	CDHIX	CDHAX	CDICX	CDHRX	CDSRX	CDSIX	CVMAX	CVMRX	CVMIX	CVMCX

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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

CDHRX	+ 1.0	CDHAX
CVMRX	+ 1.0	CVMAX
CVMCX	+ 1.0	CVMAX
CVMCX	+ 1.0	CVMRX
CDSIX	+ 0.99	CDSRX
CDSIX	+ 0.97	CDICX

High negative correlations

CVMCX	- 0.38	CDSRX
CVMRX	- 0.37	CDSRX
CVMAX	- 0.37	CDSRX
CVMCX	- 0.36	CDSIX
CVMRX	- 0.35	CDSIX
CVMAX	- 0.35	CDSIX

Risk-Adjusted Indicators

There is a big difference between Calvert Mutual Fund performing well and Calvert Aggressive 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 Aggressive'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
CDHIX	0.54	(0.09)	0.00	(3.00)	0.00	0.00	1.06	(1.11)	3.77
CDHAX	0.57	(0.12)	0.00	(1.12)	0.00	0.00	1.10	(1.33)	3.76
CDICX	0.08	(0.01)	0.00	(0.48)	0.00	0.00	0.26	(0.13)	0.64
CDHRX	0.57	(0.12)	0.00	(1.09)	0.00	0.00	1.06	(1.32)	3.71
CDSRX	0.08	0.00	0.06	(0.64)	0.04	(0.14)	0.19	(0.13)	0.83
CDSIX	0.08	(0.01)	0.02	7.39	0.08	(0.15)	0.19	(0.13)	0.76
CVMAX	0.64	(0.16)	0.00	(0.93)	0.00	0.00	1.19	(1.58)	3.66
CVMRX	0.65	(0.16)	0.00	(0.90)	0.00	0.00	1.21	(1.63)	3.75
CVMIX	0.62	(0.16)	0.00	(0.94)	0.00	0.00	1.21	(1.62)	3.70
CVMCX	0.63	(0.17)	0.00	(0.95)	0.00	0.00	1.20	(1.64)	3.69

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