Calvert Smallmid Correlations

CMPAX Fund

26.85 0.02 0.07%

The current 90-days correlation between Calvert Smallmid Cap and Transamerica Emerging Markets is -0.18 (i.e., Good diversification). The correlation of Calvert Smallmid 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 Smallmid Correlation With Market

Poor diversification

The correlation between Calvert Smallmid Cap A and DJI is 0.69 (i.e., Poor diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Calvert Smallmid Cap A 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 Smallmid Cap A. 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

0.92	CFJIX	Calvert Large Cap	Pair Corr
0.92	CFJAX	Calvert Large Cap	Pair Corr
0.63	CFOIX	Calvert Floating Rate	Pair Corr
0.64	CFOAX	Calvert Floating Rate	Pair Corr
0.65	CGARX	Calvert Responsible Index	Pair Corr
0.67	CGJAX	Calvert Large Cap	Pair Corr
0.67	CGJIX	Calvert Large Cap	Pair Corr

Moving against Calvert Mutual Fund

0.59	CWVIX	Calvert International	Pair Corr
0.59	CWVGX	Calvert International	Pair Corr
0.59	CWVCX	Calvert International	Pair Corr
0.55	CEMCX	Calvert Emerging Markets	Pair Corr
0.54	CEMAX	Calvert Emerging Markets	Pair Corr
0.49	CDHIX	Calvert Developed Market	Pair Corr
0.49	CDHAX	Calvert Developed Market	Pair Corr
0.49	CDHRX	Calvert International	Pair Corr
0.48	CVMCX	Calvert Emerging Markets	Pair Corr
0.47	CVMAX	Calvert Emerging Markets	Pair Corr
0.47	CVMIX	Calvert Emerging Markets	Pair Corr
0.45	CVMRX	Calvert Emerging Markets	Pair Corr
0.35	CEFAX	Calvert Emerging Markets	Pair Corr
0.35	CFICX	Calvert Income	Pair Corr
0.34	CEFIX	Congressional Effect	Pair Corr
0.59	CIESX	Calvert International	Pair Corr
0.55	CGAEX	Calvert Global Energy	Pair Corr
0.55	CGACX	Calvert Global Energy	Pair Corr
0.36	CGAFX	Calvert Green Bond	Pair Corr
0.36	CGBIX	Calvert Green Bond	Pair Corr

Related Correlations Analysis

	TEOJX	KMKCX	SPMIX	BXECX	USMIX
TEOJX		-0.48	-0.15	0.58	-0.39	TEOJX
KMKCX	-0.48		0.46	-0.74	0.87	KMKCX
SPMIX	-0.15	0.46		-0.24	0.42	SPMIX
BXECX	0.58	-0.74	-0.24		-0.52	BXECX
USMIX	-0.39	0.87	0.42	-0.52		USMIX
	TEOJX	KMKCX	SPMIX	BXECX	USMIX

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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

USMIX	+ 0.87	KMKCX
BXECX	+ 0.58	TEOJX
SPMIX	+ 0.46	KMKCX
USMIX	+ 0.42	SPMIX

High negative correlations

BXECX	- 0.74	KMKCX
USMIX	- 0.52	BXECX
KMKCX	- 0.48	TEOJX
USMIX	- 0.39	TEOJX
BXECX	- 0.24	SPMIX
SPMIX	- 0.15	TEOJX

Risk-Adjusted Indicators

There is a big difference between Calvert Mutual Fund performing well and Calvert Smallmid 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 Smallmid'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
TEOJX	0.66	0.04	(0.04)	(0.48)	0.75	(0.77)	1.76	(1.44)	4.91
KMKCX	1.64	0.50	0.20	0.54	1.87	(1.76)	3.82	(2.75)	15.50
SPMIX	0.76	(0.09)	0.00	(0.01)	0.00	0.00	1.64	(1.07)	12.44
BXECX	0.22	(0.03)	0.00	(0.23)	0.00	0.00	0.53	(0.40)	1.45
USMIX	0.87	(0.14)	0.00	(0.03)	0.00	0.00	1.70	(1.29)	5.72

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