Calvert Global Correlations

Mutual Funds . USA . 
Fund . Calvert Global Equity
CGLAX Fund   17.65  0.31  1.73%   
The current 90-days correlation between Calvert Global Equity and Calvert Emerging Markets is 0.32 (i.e., Weak 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

Poor diversification

The correlation between Calvert Global Equity and DJI is 0.78 (i.e., Poor diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Calvert Global Equity 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 Equity. 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 nation.

Moving together with Calvert Mutual Fund

  0.8CDHIX Calvert Developed MarketPairCorr
  0.78CDHAX Calvert Developed MarketPairCorr
  0.77CDICX Calvert Short DurationPairCorr
  0.8CDHRX Calvert InternationalPairCorr
  0.79CDSRX Calvert Short DurationPairCorr
  0.79CDSIX Calvert Short DurationPairCorr
  0.78CVMAX Calvert Emerging MarketsPairCorr
  0.8CVMRX Calvert Emerging MarketsPairCorr
  0.8CVMIX Calvert Emerging MarketsPairCorr
  0.8CVMCX Calvert Emerging MarketsPairCorr
  0.8CEFAX Calvert Emerging MarketsPairCorr
  0.8CEFIX Congressional EffectPairCorr
  0.84CEMCX Calvert Emerging MarketsPairCorr
  0.84CEMAX Calvert Emerging MarketsPairCorr
  0.83CFAIX Calvert ConservativePairCorr
  0.9CWVIX Calvert InternationalPairCorr
  0.9CWVGX Calvert InternationalPairCorr
  0.9CWVCX Calvert InternationalPairCorr
  0.69CFICX Calvert IncomePairCorr
  0.79CFJIX Calvert Large CapPairCorr
  0.79CFJAX Calvert Large CapPairCorr
  0.81CFWCX Calvert Global WaterPairCorr
  0.81CFWAX Calvert Global WaterPairCorr
  0.81CFWIX Calvert Global WaterPairCorr
  0.97CGARX Calvert Responsible IndexPairCorr
  0.71CGAEX Calvert Global EnergyPairCorr
  0.64CGAFX Calvert Green BondPairCorr
  0.71CGACX Calvert Global EnergyPairCorr
  0.63CGBIX Calvert Green BondPairCorr
  1.0CGLIX Calvert Global EquityPairCorr
  0.89CYBAX Calvert High YieldPairCorr
  0.89CYBRX Calvert High YieldPairCorr
  0.89CYBIX Calvert High YieldPairCorr

Related Correlations Analysis


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  0.64  0.17  0.11 (1.04) 0.88 
(0.67)
 1.46 
(1.37)
 4.06 
CDHAX  0.59  0.24  0.25 (1.58) 0.41 
(0.66)
 1.43 
(1.16)
 3.45 
CDICX  0.06  0.00 (0.33) 0.06  0.00 
(0.10)
 0.13 
(0.13)
 0.57 
CDHRX  0.65  0.17  0.11 (1.03) 0.88 
(0.67)
 1.44 
(1.37)
 4.07 
CDSRX  0.07  0.01 (0.30) 0.18  0.00 
(0.12)
 0.19 
(0.13)
 0.63 
CDSIX  0.07  0.01 (0.31) 0.18  0.00 
(0.12)
 0.19 
(0.06)
 0.69 
CVMAX  0.74  0.28  0.31 (1.64) 0.37 
(0.88)
 2.01 
(1.16)
 4.25 
CVMRX  0.82  0.19  0.11 (1.54) 1.10 
(0.89)
 1.97 
(1.17)
 4.27 
CVMIX  0.82  0.19  0.11 (1.45) 1.10 
(0.91)
 1.99 
(1.21)
 4.30 
CVMCX  0.82  0.18  0.11 (1.43) 1.11 
(0.93)
 1.97 
(1.17)
 4.29 

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