Calvert Global Correlations

Mutual Funds . USA . 
Fund . Calvert Global Energy
CGACX Fund  USD 10.13  0.07  0.70%   
The current 90-days correlation between Calvert Global Energy and Calvert Developed Market is 0.85 (i.e., Very poor 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 0.34 (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 main economic indicators.

Moving together with Calvert Mutual Fund

  0.87CDHIX Calvert Developed MarketPairCorr
  0.87CDHAX Calvert Developed MarketPairCorr
  0.87CDHRX Calvert InternationalPairCorr
  0.74CVMAX Calvert Emerging MarketsPairCorr
  0.63CVMRX Calvert Emerging MarketsPairCorr
  0.74CVMIX Calvert Emerging MarketsPairCorr
  0.75CVMCX Calvert Emerging MarketsPairCorr
  0.7CEFAX Calvert Emerging MarketsPairCorr
  0.7CEFIX Congressional EffectPairCorr
  0.74CEMCX Calvert Emerging MarketsPairCorr
  0.75CEMAX Calvert Emerging MarketsPairCorr
  0.67CFAIX Calvert ConservativePairCorr
  0.82CWVIX Calvert InternationalPairCorr
  0.81CWVGX Calvert InternationalPairCorr
  0.81CWVCX Calvert InternationalPairCorr
  0.82CFWCX Calvert Global WaterPairCorr
  0.89CFWAX Calvert Global WaterPairCorr
  0.89CFWIX Calvert Global WaterPairCorr
  0.92CGAEX Calvert Global EnergyPairCorr

Related Correlations Analysis

Click cells to compare fundamentals   Check Volatility   Backtest Portfolio

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 DeviationJensen AlphaSortino RatioTreynor RatioSemi DeviationExpected ShortfallPotential UpsideValue @RiskMaximum Drawdown
CDHIX  0.68 (0.12) 0.00 (0.09) 0.00 
 0.00 
 1.41 
(1.34)
 3.93 
CDHAX  0.68 (0.12) 0.00 (0.09) 0.00 
 0.00 
 1.43 
(1.33)
 3.93 
CDICX  0.09  0.00 (0.98) 0.32  0.07 
(0.12)
 0.19 
(0.13)
 0.64 
CDHRX  0.68 (0.12) 0.00 (0.09) 0.00 
 0.00 
 1.41 
(1.35)
 3.94 
CDSRX  0.10  0.00 (1.02) 0.30  0.04 
(0.13)
 0.19 
(0.13)
 0.76 
CDSIX  0.09  0.00 (1.02) 0.24  0.03 
(0.12)
 0.19 
(0.13)
 0.76 
CVMAX  0.80 (0.05)(0.10) 0.03  0.98 
(0.85)
 1.60 
(1.78)
 5.41 
CVMRX  0.82  0.01 (0.12) 0.04  0.99 
(0.87)
 1.64 
(1.82)
 5.37 
CVMIX  0.80 (0.05)(0.11) 0.03  0.97 
(0.85)
 1.63 
(1.76)
 5.46 
CVMCX  0.80 (0.05)(0.11) 0.02  0.98 
(0.84)
 1.61 
(1.80)
 5.47 

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