Calvert International Correlations

CIESX Fund

USD 24.96 0.28 1.13%

The current 90-days correlation between Calvert International and Europacific Growth Fund is 0.92 (i.e., Almost no diversification). The correlation of Calvert International 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 International Correlation With Market

Very weak diversification

The correlation between Calvert International Equity and DJI is 0.41 (i.e., Very weak diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Calvert International 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 International 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 state.

Moving together with Calvert Mutual Fund

0.97	CDHIX	Calvert Developed Market	Pair Corr
0.97	CDHAX	Calvert Developed Market	Pair Corr
0.97	CDHRX	Calvert International	Pair Corr
0.85	CEFAX	Calvert Emerging Markets	Pair Corr
0.85	CEFIX	Congressional Effect	Pair Corr
0.9	CEMCX	Calvert Emerging Markets	Pair Corr
0.89	CEMAX	Calvert Emerging Markets	Pair Corr
1.0	CWVIX	Calvert International	Pair Corr
1.0	CWVGX	Calvert International	Pair Corr
1.0	CWVCX	Calvert International	Pair Corr
0.73	CFICX	Calvert Income	Pair Corr
0.67	CFWCX	Calvert Global Water	Pair Corr
0.65	CFWAX	Calvert Global Water	Pair Corr
0.64	CFWIX	Calvert Global Water	Pair Corr
0.82	CGAEX	Calvert Global Energy	Pair Corr
0.78	CGAFX	Calvert Green Bond	Pair Corr
0.83	CGACX	Calvert Global Energy	Pair Corr
0.78	CGBIX	Calvert Green Bond	Pair Corr

Moving against Calvert Mutual Fund

0.63	CFJIX	Calvert Large Cap	Pair Corr
0.79	CFOAX	Calvert Floating Rate	Pair Corr
0.78	CFOIX	Calvert Floating Rate	Pair Corr
0.63	CFJAX	Calvert Large Cap	Pair Corr
0.58	CGJAX	Calvert Large Cap	Pair Corr
0.58	CGJIX	Calvert Large Cap	Pair Corr
0.36	CYBRX	Calvert High Yield	Pair Corr
0.36	CYBIX	Calvert High Yield	Pair Corr
0.33	CYBAX	Calvert High Yield	Pair Corr

Related Correlations Analysis

	AEPFX	RERGX	444859BR2	AQUI	BRRAY	LBHIX	MSTSX	ABHYX	VIASP	AAEVX
AEPFX		1.0	0.2	0.0	-0.41	0.04	0.52	0.26	-0.66	0.05	AEPFX
RERGX	1.0		0.2	0.0	-0.41	0.04	0.52	0.26	-0.66	0.05	RERGX
444859BR2	0.2	0.2		0.0	0.31	-0.54	-0.45	-0.03	-0.46	-0.65	444859BR2
AQUI	0.0	0.0	0.0		0.0	0.0	0.0	0.0	0.0	0.0	AQUI
BRRAY	-0.41	-0.41	0.31	0.0		-0.35	-0.45	-0.37	0.12	-0.28	BRRAY
LBHIX	0.04	0.04	-0.54	0.0	-0.35		0.68	0.56	0.26	0.73	LBHIX
MSTSX	0.52	0.52	-0.45	0.0	-0.45	0.68		0.27	-0.05	0.81	MSTSX
ABHYX	0.26	0.26	-0.03	0.0	-0.37	0.56	0.27		-0.12	0.1	ABHYX
VIASP	-0.66	-0.66	-0.46	0.0	0.12	0.26	-0.05	-0.12		0.47	VIASP
AAEVX	0.05	0.05	-0.65	0.0	-0.28	0.73	0.81	0.1	0.47		AAEVX
	AEPFX	RERGX	444859BR2	AQUI	BRRAY	LBHIX	MSTSX	ABHYX	VIASP	AAEVX

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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

RERGX	+ 1.0	AEPFX
AAEVX	+ 0.81	MSTSX
AAEVX	+ 0.73	LBHIX
MSTSX	+ 0.68	LBHIX
ABHYX	+ 0.56	LBHIX
MSTSX	+ 0.52	AEPFX

High negative correlations

VIASP	- 0.66	RERGX
VIASP	- 0.66	AEPFX
AAEVX	- 0.65	444859BR2
LBHIX	- 0.54	444859BR2
VIASP	- 0.46	444859BR2
MSTSX	- 0.45	BRRAY

Risk-Adjusted Indicators

There is a big difference between Calvert Mutual Fund performing well and Calvert International 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 International'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
AEPFX	0.61	(0.12)	0.00	(0.11)	0.00	0.00	1.10	(1.47)	4.00
RERGX	0.61	(0.11)	0.00	(0.11)	0.00	0.00	1.11	(1.48)	4.02
444859BR2	1.36	(0.08)	0.00	(0.21)	0.00	0.00	5.93	(5.79)	16.62
AQUI	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00
BRRAY	1.27	(0.10)	0.00	0.01	0.00	0.00	0.00	(2.98)	34.02
LBHIX	0.12	0.01	(0.39)	0.51	0.00	(0.28)	0.24	(0.24)	0.96
MSTSX	0.49	(0.03)	(0.12)	0.06	0.52	(0.61)	1.21	(1.02)	2.80
ABHYX	0.18	0.03	(0.22)	(0.11)	0.25	(0.24)	0.34	(0.33)	1.91
VIASP	0.75	0.08	(0.03)	(1.87)	1.12	(0.82)	2.28	(1.20)	7.18
AAEVX	0.49	(0.02)	(0.09)	0.08	0.53	(0.59)	0.93	(0.77)	2.76

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