Calvert International Correlations

CIESX Fund

USD 25.13 0.26 1.02%

The current 90-days correlation between Calvert International and Morgan Stanley Emerging is 0.12 (i.e., Average 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

Modest diversification

The correlation between Calvert International Equity and DJI is 0.24 (i.e., Modest 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

0.9	CDHIX	Calvert Developed Market	Pair Corr
0.96	CDHAX	Calvert Developed Market	Pair Corr
0.96	CDHRX	Calvert International	Pair Corr
0.65	CVMAX	Calvert Emerging Markets	Pair Corr
0.66	CVMRX	Calvert Emerging Markets	Pair Corr
0.65	CVMIX	Calvert Emerging Markets	Pair Corr
0.64	CVMCX	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
0.65	CGAFX	Calvert Green Bond	Pair Corr
0.64	CGBIX	Calvert Green Bond	Pair Corr

Related Correlations Analysis

	XMSDX	DODEX	ZEMIX	RYMBX	XEMDX	SEDAX	RYVYX	ANGCX
XMSDX		0.61	0.21	-0.45	0.74	0.68	0.46	0.25	XMSDX
DODEX	0.61		0.74	-0.51	0.33	0.54	0.18	-0.1	DODEX
ZEMIX	0.21	0.74		-0.08	0.13	0.53	0.19	0.16	ZEMIX
RYMBX	-0.45	-0.51	-0.08		-0.43	0.01	-0.2	0.18	RYMBX
XEMDX	0.74	0.33	0.13	-0.43		0.57	0.63	0.38	XEMDX
SEDAX	0.68	0.54	0.53	0.01	0.57		0.51	0.53	SEDAX
RYVYX	0.46	0.18	0.19	-0.2	0.63	0.51		0.51	RYVYX
ANGCX	0.25	-0.1	0.16	0.18	0.38	0.53	0.51		ANGCX
	XMSDX	DODEX	ZEMIX	RYMBX	XEMDX	SEDAX	RYVYX	ANGCX

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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

XEMDX	+ 0.74	XMSDX
ZEMIX	+ 0.74	DODEX
SEDAX	+ 0.68	XMSDX
RYVYX	+ 0.63	XEMDX
DODEX	+ 0.61	XMSDX
SEDAX	+ 0.57	XEMDX

High negative correlations

RYMBX	- 0.51	DODEX
RYMBX	- 0.45	XMSDX
XEMDX	- 0.43	RYMBX
RYVYX	- 0.2	RYMBX
ANGCX	- 0.1	DODEX
RYMBX	- 0.08	ZEMIX

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
XMSDX	0.26	(0.01)	(0.11)	(0.05)	0.67	(0.27)	0.40	(0.26)	4.70
DODEX	0.52	(0.07)	0.00	(0.14)	0.00	0.00	1.00	(1.09)	3.17
ZEMIX	0.65	(0.03)	(0.09)	0.01	0.84	(0.70)	1.35	(1.44)	4.37
RYMBX	0.69	0.05	(0.03)	0.28	0.69	(0.86)	1.82	(1.40)	4.46
XEMDX	0.24	(0.01)	0.00	(0.62)	0.00	0.00	0.55	(0.65)	1.97
SEDAX	0.26	0.00	(0.22)	0.15	0.25	(0.33)	0.60	(0.47)	2.16
RYVYX	1.89	0.04	0.00	0.17	2.72	(1.93)	3.33	(4.92)	12.68
ANGCX	0.11	0.00	(0.54)	(0.07)	0.05	(0.21)	0.35	(0.24)	0.94

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