Calvert Responsible Correlations

CGARX Fund  USD 28.28  0.02  0.07%   
The current 90-days correlation between Calvert Responsible Index and Calvert Developed Market is -0.11 (i.e., Good diversification). The correlation of Calvert Responsible 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 Responsible Correlation With Market

Significant diversification

The correlation between Calvert Responsible Index and DJI is 0.03 (i.e., Significant diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Calvert Responsible Index 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 Responsible Index. 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

  0.77CFJIX Calvert Large CapPairCorr
  0.77CFJAX Calvert Large CapPairCorr
  0.8CGJAX Calvert Large CapPairCorr
  0.8CGJIX Calvert Large CapPairCorr
  0.76CGLIX Calvert Global EquityPairCorr
  0.75CGLAX Calvert Global EquityPairCorr
  0.61CYBAX Calvert High YieldPairCorr

Related Correlations Analysis

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Risk-Adjusted Indicators

There is a big difference between Calvert Mutual Fund performing well and Calvert Responsible 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 Responsible'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  0.66 (0.13) 0.00 (0.13) 0.00 
 1.10 
 3.93 
CDHAX  0.66 (0.13) 0.00 (0.13) 0.00 
 1.11 
 3.93 
CDICX  0.09 (0.01)(0.96)(0.48) 0.07 
 0.19 
 0.64 
CDHRX  0.66 (0.13) 0.00 (0.13) 0.00 
 1.10 
 3.94 
CDSRX  0.10  0.00 (0.99) 0.00  0.00 
 0.19 
 0.76 
CDSIX  0.09  0.00 (0.99) 0.07  0.00 
 0.19 
 0.76 
CVMAX  0.80  0.02 (0.10)(0.17) 0.98 
 1.60 
 5.41 
CVMRX  0.80  0.02 (0.10)(0.20) 0.97 
 1.64 
 5.37 
CVMIX  0.80  0.02 (0.10)(0.18) 0.97 
 1.63 
 5.46 
CVMCX  0.80  0.02 (0.11)(0.14) 0.98 
 1.61 
 5.47