Calvert Global Correlations

CAEIX Fund

USD 10.68 0.07 0.66%

The current 90-days correlation between Calvert Global Energy and Guidepath Managed Futures is -0.02 (i.e., Good diversification). The correlation of Calvert Global 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 Global Correlation With Market

Weak diversification

The correlation between Calvert Global Energy and DJI is 0.3 (i.e., Weak diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Calvert Global Energy 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 Global Energy. 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

0.87	CDHIX	Calvert Developed Market	Pair Corr
0.87	CDHAX	Calvert Developed Market	Pair Corr
0.93	CDHRX	Calvert International	Pair Corr
0.91	CVMAX	Calvert Emerging Markets	Pair Corr
0.91	CVMRX	Calvert Emerging Markets	Pair Corr
0.91	CVMIX	Calvert Emerging Markets	Pair Corr
0.92	CVMCX	Calvert Emerging Markets	Pair Corr
0.94	CEMCX	Calvert Emerging Markets	Pair Corr
0.94	CEMAX	Calvert Emerging Markets	Pair Corr
0.79	CEYIX	Calvert Equity Portfolio	Pair Corr
0.79	CEYRX	Calvert Equity	Pair Corr
0.92	CWVIX	Calvert International	Pair Corr
0.92	CWVGX	Calvert International	Pair Corr
0.93	CWVCX	Calvert International	Pair Corr
0.85	CFWCX	Calvert Global Water	Pair Corr
0.85	CFWAX	Calvert Global Water	Pair Corr
0.85	CFWIX	Calvert Global Water	Pair Corr
1.0	CGAEX	Calvert Global Energy	Pair Corr
0.8	CGAFX	Calvert Green Bond	Pair Corr
0.95	CGACX	Calvert Global Energy	Pair Corr
0.73	CGBIX	Calvert Green Bond	Pair Corr
0.62	CGLIX	Calvert Global Equity	Pair Corr
0.63	CGLAX	Calvert Global Equity	Pair Corr

Moving against Calvert Mutual Fund

0.47	CDSIX	Calvert Short Duration	Pair Corr
0.46	CDSRX	Calvert Short Duration	Pair Corr
0.32	CDICX	Calvert Short Duration	Pair Corr
0.8	CFOIX	Calvert Floating Rate	Pair Corr
0.8	CFOAX	Calvert Floating Rate	Pair Corr
0.36	CYBRX	Calvert High Yield	Pair Corr
0.36	CYBIX	Calvert High Yield	Pair Corr
0.35	CYBAX	Calvert High Yield	Pair Corr

Related Correlations Analysis

	GPMFX	FIFGX	IPBAX	ATACX	EVOIX	MXIHX
GPMFX		0.52	-0.06	0.21	0.66	-0.2	GPMFX
FIFGX	0.52		-0.35	-0.32	0.02	-0.12	FIFGX
IPBAX	-0.06	-0.35		0.67	-0.12	0.66	IPBAX
ATACX	0.21	-0.32	0.67		0.21	0.08	ATACX
EVOIX	0.66	0.02	-0.12	0.21		-0.26	EVOIX
MXIHX	-0.2	-0.12	0.66	0.08	-0.26		MXIHX
	GPMFX	FIFGX	IPBAX	ATACX	EVOIX	MXIHX

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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

ATACX	+ 0.67	IPBAX
EVOIX	+ 0.66	GPMFX
MXIHX	+ 0.66	IPBAX
FIFGX	+ 0.52	GPMFX
ATACX	+ 0.21	GPMFX
EVOIX	+ 0.21	ATACX

High negative correlations

IPBAX	- 0.35	FIFGX
ATACX	- 0.32	FIFGX
MXIHX	- 0.26	EVOIX
MXIHX	- 0.2	GPMFX
EVOIX	- 0.12	IPBAX
MXIHX	- 0.12	FIFGX

Risk-Adjusted Indicators

There is a big difference between Calvert Mutual Fund performing well and Calvert Global 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 Global'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
GPMFX	0.44	0.01	0.03	(0.71)	0.53	(0.46)	0.76	(0.88)	2.31
FIFGX	0.74	0.07	0.08	0.29	0.84	(0.90)	1.72	(1.49)	4.54
IPBAX	0.36	(0.02)	0.00	(0.15)	0.00	0.00	0.57	(0.68)	3.10
ATACX	1.01	0.01	0.01	0.02	1.20	(1.09)	2.16	(2.15)	10.18
EVOIX	0.35	0.01	0.03	(0.17)	0.38	(0.41)	0.76	(0.61)	1.98
MXIHX	0.14	(0.02)	0.00	(2.43)	0.00	0.00	0.22	(0.34)	0.78

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