Calvert Responsible Correlations

Mutual Funds . USA . 
Fund . Calvert Responsible Index
CGARX Fund  USD 30.73  0.20  0.66%   
The current 90-days correlation between Calvert Responsible Index and Calvert Developed Market is 0.81 (i.e., Very poor 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

Very poor diversification

The correlation between Calvert Responsible Index and DJI is 0.87 (i.e., Very poor 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 main economic indicators.

Moving together with Calvert Mutual Fund

  0.9CDHIX Calvert Developed MarketPairCorr
  0.9CDHAX Calvert Developed MarketPairCorr
  0.69CDICX Calvert Short DurationPairCorr
  0.89CDHRX Calvert InternationalPairCorr
  0.7CDSRX Calvert Short DurationPairCorr
  0.61CDSIX Calvert Short DurationPairCorr
  0.73CVMAX Calvert Emerging MarketsPairCorr
  0.72CVMRX Calvert Emerging MarketsPairCorr
  0.72CVMIX Calvert Emerging MarketsPairCorr
  0.67CVMCX Calvert Emerging MarketsPairCorr
  0.66CEFAX Calvert Emerging MarketsPairCorr
  0.74CEFIX Congressional EffectPairCorr
  0.78CFAIX Calvert ConservativePairCorr
  0.75CWVIX Calvert InternationalPairCorr
  0.61CWVGX Calvert InternationalPairCorr
  0.71CWVCX Calvert InternationalPairCorr
  0.73CFICX Calvert IncomePairCorr
  0.63CFOIX Calvert Floating RatePairCorr
  0.61CFOAX Calvert Floating RatePairCorr
  0.71CGAEX Calvert Global EnergyPairCorr
  0.72CGACX Calvert Global EnergyPairCorr
  0.77CGLIX Calvert Global EquityPairCorr
  0.77CGLAX Calvert Global EquityPairCorr
  0.82CYBAX Calvert High YieldPairCorr
  0.71CYBRX Calvert High YieldPairCorr
  0.71CYBIX Calvert High YieldPairCorr

Related Correlations Analysis


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  0.69 (0.04)(0.04) 0.01  1.01 
(0.62)
 1.28 
(1.55)
 4.05 
CDHAX  0.68 (0.04)(0.04) 0.01  1.00 
(0.61)
 1.27 
(1.52)
 3.93 
CDICX  0.07  0.00 (0.60) 0.13  0.00 
(0.12)
 0.19 
(0.13)
 0.45 
CDHRX  0.69 (0.04)(0.05) 0.01  1.01 
(0.61)
 1.28 
(1.52)
 4.13 
CDSIX  0.08  0.01 (0.54) 0.96  0.00 
(0.12)
 0.13 
(0.06)
 0.70 
CVMIX  0.71 (0.03)(0.04) 0.02  0.91 
(0.81)
 1.28 
(1.20)
 4.89 
CVMCX  0.70  0.03 (0.03) 0.57  0.88 
(0.82)
 1.30 
(1.18)
 4.89 
CEFAX  0.58  0.01 (0.05)(1.51) 0.79 
(0.59)
 1.13 
(1.17)
 3.73 
CEMCX  0.85 (0.15) 0.00 (0.66) 0.00 
 0.00 
 1.33 
(2.45)
 9.51 
CEMAX  0.85 (0.16) 0.00 (0.63) 0.00 
 0.00 
 1.31 
(2.41)
 9.81 

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