Calvert Equity Correlations

CEYRX Fund

USD 100.55 0.83 0.82%

The current 90-days correlation between Calvert Equity and HUMANA INC is -0.04 (i.e., Good diversification). The correlation of Calvert Equity 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 Equity Correlation With Market

Good diversification

The correlation between Calvert Equity Fund and DJI is -0.05 (i.e., Good diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Calvert Equity Fund 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 Equity Fund. 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 metropolitan statistical area.

Moving together with Calvert Mutual Fund

1.0	CEYIX	Calvert Equity Portfolio	Pair Corr
0.66	CFWCX	Calvert Global Water	Pair Corr
0.62	CGARX	Calvert Responsible Index	Pair Corr

Related Correlations Analysis

	444859BR2	AQUI	BRRAY	MSTSX	ABHYX	LBHIX	SCAXF	VIASP	AAEVX	RRTLX
444859BR2		0.0	0.21	-0.63	-0.02	-0.58	0.24	-0.31	-0.73	-0.49	444859BR2
AQUI	0.0		0.0	0.0	0.0	0.0	0.0	0.0	0.0	0.0	AQUI
BRRAY	0.21	0.0		-0.51	-0.43	-0.41	-0.02	0.09	-0.38	-0.5	BRRAY
MSTSX	-0.63	0.0	-0.51		0.33	0.69	0.02	-0.12	0.86	0.88	MSTSX
ABHYX	-0.02	0.0	-0.43	0.33		0.56	-0.02	-0.22	0.12	0.45	ABHYX
LBHIX	-0.58	0.0	-0.41	0.69	0.56		-0.21	0.13	0.68	0.71	LBHIX
SCAXF	0.24	0.0	-0.02	0.02	-0.02	-0.21		-0.75	-0.32	-0.01	SCAXF
VIASP	-0.31	0.0	0.09	-0.12	-0.22	0.13	-0.75		0.31	-0.04	VIASP
AAEVX	-0.73	0.0	-0.38	0.86	0.12	0.68	-0.32	0.31		0.84	AAEVX
RRTLX	-0.49	0.0	-0.5	0.88	0.45	0.71	-0.01	-0.04	0.84		RRTLX
	444859BR2	AQUI	BRRAY	MSTSX	ABHYX	LBHIX	SCAXF	VIASP	AAEVX	RRTLX

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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

RRTLX	+ 0.88	MSTSX
AAEVX	+ 0.86	MSTSX
RRTLX	+ 0.84	AAEVX
RRTLX	+ 0.71	LBHIX
LBHIX	+ 0.69	MSTSX
AAEVX	+ 0.68	LBHIX

High negative correlations

VIASP	- 0.75	SCAXF
AAEVX	- 0.73	444859BR2
MSTSX	- 0.63	444859BR2
LBHIX	- 0.58	444859BR2
MSTSX	- 0.51	BRRAY
RRTLX	- 0.5	BRRAY

Risk-Adjusted Indicators

There is a big difference between Calvert Mutual Fund performing well and Calvert Equity 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 Equity'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
444859BR2	1.31	(0.03)	0.00	0.36	0.00	0.00	5.93	(4.50)	16.62
AQUI	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00
BRRAY	1.27	(0.11)	0.00	0.01	0.00	0.00	0.00	(2.98)	34.02
MSTSX	0.49	0.04	(0.11)	(0.30)	0.52	(0.59)	1.21	(1.02)	2.80
ABHYX	0.16	0.00	(0.20)	0.08	0.26	(0.24)	0.34	(0.33)	1.91
LBHIX	0.11	0.01	(0.32)	0.44	0.00	(0.29)	0.24	(0.24)	0.96
SCAXF	0.70	(0.40)	0.00	(1.01)	0.00	0.00	0.00	0.00	23.47
VIASP	0.74	0.11	0.01	(3.65)	1.04	(0.83)	2.28	(1.15)	7.18
AAEVX	0.51	0.06	(0.07)	(0.73)	0.55	(0.61)	1.07	(0.77)	3.24
RRTLX	0.24	0.00	(0.27)	0.99	0.26	(0.27)	0.56	(0.56)	1.37

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