Calvert Global Correlations

Mutual Funds . USA . 
Fund . Calvert Global Equity
CGLIX Fund   17.96  0.05  0.28%   
The current 90-days correlation between Calvert Global Equity and Calvert Developed Market is 0.8 (i.e., Very poor 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

Very poor diversification

The correlation between Calvert Global Equity and DJI is 0.89 (i.e., Very 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 gross domestic product.

Moving together with Calvert Mutual Fund

  0.98CDHIX Calvert Developed MarketPairCorr
  0.95CDHAX Calvert Developed MarketPairCorr
  0.83CDICX Calvert Short DurationPairCorr
  0.96CDHRX Calvert InternationalPairCorr
  0.86CDSRX Calvert Short DurationPairCorr
  0.85CDSIX Calvert Short DurationPairCorr
  0.97CVMAX Calvert Emerging MarketsPairCorr
  0.98CVMRX Calvert Emerging MarketsPairCorr
  0.98CVMIX Calvert Emerging MarketsPairCorr
  0.98CVMCX Calvert Emerging MarketsPairCorr
  0.97CEFAX Calvert Emerging MarketsPairCorr
  0.97CEFIX Congressional EffectPairCorr
  0.93CEMCX Calvert Emerging MarketsPairCorr
  0.94CEMAX Calvert Emerging MarketsPairCorr
  0.96CEYIX Calvert Equity PortfolioPairCorr
  0.99CEYRX Calvert EquityPairCorr
  0.97CFAIX Calvert ConservativePairCorr
  0.97CWVIX Calvert InternationalPairCorr
  0.94CWVGX Calvert InternationalPairCorr
  0.97CWVCX Calvert InternationalPairCorr
  0.87CFICX Calvert IncomePairCorr
  0.97CFJIX Calvert Large CapPairCorr
  0.95CFJAX Calvert Large CapPairCorr
  0.97CFOIX Calvert Floating RatePairCorr
  0.97CFOAX Calvert Floating RatePairCorr
  0.95CFWCX Calvert Global WaterPairCorr
  0.95CFWAX Calvert Global WaterPairCorr
  0.98CFWIX Calvert Global WaterPairCorr
  0.99CGARX Calvert Responsible IndexPairCorr
  0.97CGAEX Calvert Global EnergyPairCorr
  0.68CGAFX Calvert Green BondPairCorr
  0.97CGACX Calvert Global EnergyPairCorr
  0.7CGBIX Calvert Green BondPairCorr
  0.97CGJAX Calvert Large CapPairCorr
  0.99CGJIX Calvert Large CapPairCorr
  1.0CGLAX Calvert Global EquityPairCorr
  0.96CYBAX Calvert High YieldPairCorr
  0.96CYBRX Calvert High YieldPairCorr
  0.96CYBIX 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 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  0.59  0.17  0.13  0.44  0.35 
(0.65)
 1.60 
(1.22)
 4.05 
CDHAX  0.68  0.38  0.29 (1.02) 0.00 
(0.79)
 1.62 
(1.21)
 8.16 
CDICX  0.11  0.01 (0.67) 0.53  0.00 
(0.14)
 0.32 
(0.19)
 0.58 
CDHRX  0.68  0.38  0.28 (1.02) 0.00 
(0.78)
 1.62 
(1.19)
 8.16 
CDSRX  0.11  0.01 (0.63) 1.97  0.00 
(0.17)
 0.32 
(0.25)
 0.77 
CDSIX  0.11  0.00 (0.67) 0.00  0.00 
(0.17)
 0.32 
(0.19)
 0.77 
CVMAX  0.75  0.38  0.28 (1.51) 0.06 
(0.91)
 2.64 
(1.35)
 7.61 
CVMRX  0.66  0.21  0.19  0.50  0.32 
(0.82)
 2.43 
(1.34)
 4.80 
CVMIX  0.66  0.21  0.19  0.49  0.30 
(0.76)
 2.43 
(1.34)
 4.84 
CVMCX  0.66  0.21  0.19  0.49  0.33 
(0.81)
 2.44 
(1.35)
 4.77 

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