Calvert Aggressive Correlations

CAGIX Fund

USD 26.79 0.23 0.85%

The current 90-days correlation between Calvert Aggressive and Barings High Yield is -0.06 (i.e., Good 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 0.11 (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 gross domestic product.

Moving together with Calvert Mutual Fund

0.81	CEYRX	Calvert Equity	Pair Corr
0.64	CFAIX	Calvert Conservative	Pair Corr
0.88	CFJIX	Calvert Large Cap	Pair Corr
0.88	CFJAX	Calvert Large Cap	Pair Corr
0.86	CGARX	Calvert Responsible Index	Pair Corr
0.61	CGJAX	Calvert Large Cap	Pair Corr
0.82	CLAIX	Calvert Moderate All	Pair Corr

Moving against Calvert Mutual Fund

0.31

CGAEX

Calvert Global Energy

Pair Corr

Related Correlations Analysis

	BXHCX	CYBAX	ACHFX	RHYAX	CWFIX	VRHYX	MWHYX
BXHCX		0.98	0.98	0.9	0.78	0.98	0.94	BXHCX
CYBAX	0.98		1.0	0.88	0.82	0.96	0.98	CYBAX
ACHFX	0.98	1.0		0.88	0.84	0.96	0.98	ACHFX
RHYAX	0.9	0.88	0.88		0.89	0.87	0.84	RHYAX
CWFIX	0.78	0.82	0.84	0.89		0.73	0.84	CWFIX
VRHYX	0.98	0.96	0.96	0.87	0.73		0.93	VRHYX
MWHYX	0.94	0.98	0.98	0.84	0.84	0.93		MWHYX
	BXHCX	CYBAX	ACHFX	RHYAX	CWFIX	VRHYX	MWHYX

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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
BXHCX	0.14	0.01	0.14	(0.26)	0.07	(0.20)	0.37	(0.25)	1.00
CYBAX	0.13	0.01	0.23	(0.28)	0.00	(0.16)	0.44	(0.24)	0.90
ACHFX	0.17	0.02	0.19	(0.37)	0.05	(0.23)	0.47	(0.23)	1.28
RHYAX	0.13	0.01	0.14	0.07	0.07	(0.19)	0.31	(0.31)	1.14
CWFIX	0.08	0.02	0.33	0.23	0.00	(0.12)	0.11	(0.11)	0.63
VRHYX	0.17	0.02	0.14	(0.54)	0.01	(0.32)	0.26	(0.26)	1.30
MWHYX	0.12	0.01	0.23	(0.25)	0.00	(0.18)	0.43	(0.22)	0.76

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