Calvert Developed Correlations

CDHIX Fund

USD 39.94 0.56 1.38%

The current 90-days correlation between Calvert Developed Market and Natixis Equity Opportunities is 0.77 (i.e., Poor diversification). The correlation of Calvert Developed 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 Developed Correlation With Market

Almost no diversification

The correlation between Calvert Developed Market and DJI is 0.92 (i.e., Almost no diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Calvert Developed Market 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 Developed Market. 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

0.86	CDICX	Calvert Short Duration	Pair Corr
0.95	CVMIX	Calvert Emerging Markets	Pair Corr
0.97	CFWCX	Calvert Global Water	Pair Corr
0.89	CYBAX	Calvert High Yield	Pair Corr
0.94	CIESX	Calvert International	Pair Corr
0.88	CLVRX	Columbia International	Pair Corr
0.96	CMACX	Calvert Moderate All	Pair Corr
0.92	CMERX	Calvert Emerging Markets	Pair Corr
0.88	CMPAX	Calvert Small/mid-cap	Pair Corr
0.97	CAACX	Calvert Aggressive	Pair Corr
0.95	CAARX	Calvert Conservative	Pair Corr
0.92	CAEIX	Calvert Global Energy	Pair Corr
0.67	CSBCX	Calvert Bond Portfolio	Pair Corr
0.86	CSVIX	Calvert Small Cap	Pair Corr
0.82	CULAX	Calvert Ultra Short	Pair Corr
0.99	VTIAX	Vanguard Total Inter	Pair Corr
0.77	VGTSX	Vanguard Total Inter	Pair Corr
0.77	VTSNX	Vanguard Total Inter	Pair Corr
0.99	VTPSX	Vanguard Total Inter	Pair Corr
0.73	VTISX	Vanguard Total Inter	Pair Corr
0.99	VTMGX	Vanguard Developed	Pair Corr
0.78	VDVIX	Vanguard Developed	Pair Corr
0.99	VTMNX	Vanguard Developed	Pair Corr
0.77	VDIPX	Vanguard Developed	Pair Corr
0.78	FSPSX	Fidelity International	Pair Corr
0.73	GAAKX	Gmo Alternative Allo	Pair Corr
0.73	GAAGX	Gmo Alternative Allo	Pair Corr
0.98	GPMFX	Guidepath Managed Futures	Pair Corr
0.7	PQTAX	Pimco Trends Managed	Pair Corr
0.75	PQTNX	Pimco Trends Managed	Pair Corr
0.75	PQTIX	Aa Pimco Tr	Pair Corr
0.65	WARCX	Wells Fargo Advantage	Pair Corr
0.68	PAGEX	T Rowe Price	Pair Corr
0.81	CMJAX	Calvert Mid Cap	Pair Corr
0.78	RIDGX	Income Fund	Pair Corr
0.72	PGSYX	Pioneer Global Equity	Pair Corr
0.96	TAAMX	Transamerica Asset	Pair Corr
0.77	BLDIX	Blackrock Managed Income	Pair Corr

Related Correlations Analysis

	CDHRX	CDHAX	WAAEX	CVMAX	CYYYX	RYTFX	NESYX	AMFAX	SLGFX	NEFSX
CDHRX		0.93	0.89	0.86	0.82	0.87	0.74	0.78	0.91	0.73	CDHRX
CDHAX	0.93		0.8	0.95	0.72	0.78	0.67	0.75	0.83	0.75	CDHAX
WAAEX	0.89	0.8		0.73	0.85	0.81	0.77	0.73	0.88	0.71	WAAEX
CVMAX	0.86	0.95	0.73		0.6	0.61	0.48	0.66	0.69	0.56	CVMAX
CYYYX	0.82	0.72	0.85	0.6		0.78	0.89	0.62	0.89	0.8	CYYYX
RYTFX	0.87	0.78	0.81	0.61	0.78		0.81	0.74	0.91	0.79	RYTFX
NESYX	0.74	0.67	0.77	0.48	0.89	0.81		0.58	0.85	0.93	NESYX
AMFAX	0.78	0.75	0.73	0.66	0.62	0.74	0.58		0.76	0.64	AMFAX
SLGFX	0.91	0.83	0.88	0.69	0.89	0.91	0.85	0.76		0.82	SLGFX
NEFSX	0.73	0.75	0.71	0.56	0.8	0.79	0.93	0.64	0.82		NEFSX
	CDHRX	CDHAX	WAAEX	CVMAX	CYYYX	RYTFX	NESYX	AMFAX	SLGFX	NEFSX

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Risk-Adjusted Indicators

There is a big difference between Calvert Mutual Fund performing well and Calvert Developed 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 Developed'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
CDHRX	0.61	0.14	0.11	1.02	0.64	(0.64)	1.31	(1.37)	2.89
CDHAX	0.62	0.11	0.11	0.19	0.65	(0.63)	1.30	(1.37)	2.92
WAAEX	0.87	0.06	0.00	(0.95)	0.98	(0.98)	2.29	(1.78)	4.74
CVMAX	0.65	0.14	0.16	0.27	0.49	(0.76)	1.49	(1.16)	3.71
CYYYX	0.19	0.00	(0.15)	0.18	0.22	(0.23)	0.40	(0.34)	1.35
RYTFX	1.01	0.37	0.37	1.69	0.27	(1.37)	2.39	(1.29)	16.09
NESYX	0.58	0.01	(0.05)	0.22	0.76	(0.61)	1.16	(1.34)	3.50
AMFAX	0.64	0.12	0.09	0.88	0.64	(0.71)	1.21	(1.19)	3.65
SLGFX	0.58	0.10	0.06	67.01	0.65	(0.66)	1.15	(1.24)	5.49
NEFSX	0.59	(0.04)	(0.06)	0.01	0.76	(0.62)	1.15	(1.34)	3.46

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Calvert Developed Correlations

Calvert Developed Correlation With Market

Almost no diversification

Moving together with Calvert Mutual Fund

Related Correlations Analysis

Risk-Adjusted Indicators

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