Calvert International Correlations

CWVGX Fund

USD 26.11 0.11 0.42%

The current 90-days correlation between Calvert International and Calvert International Equity is 1.0 (i.e., No risk reduction). 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 0.59 (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 rate.

Moving together with Calvert Mutual Fund

0.94	CDHIX	Calvert Developed Market	Pair Corr
0.94	CDHAX	Calvert Developed Market	Pair Corr
0.94	CDHRX	Calvert International	Pair Corr
0.74	CDSIX	Calvert Short Duration	Pair Corr
0.89	CVMAX	Calvert Emerging Markets	Pair Corr
0.89	CVMRX	Calvert Emerging Markets	Pair Corr
0.89	CVMIX	Calvert Emerging Markets	Pair Corr
0.8	CVMCX	Calvert Emerging Markets	Pair Corr
0.89	CEFAX	Calvert Emerging Markets	Pair Corr
0.89	CEFIX	Congressional Effect	Pair Corr
0.69	CEMCX	Calvert Emerging Markets	Pair Corr
0.7	CEMAX	Calvert Emerging Markets	Pair Corr
0.86	CFAIX	Calvert Conservative	Pair Corr
1.0	CWVIX	Calvert International	Pair Corr
1.0	CWVCX	Calvert International	Pair Corr
0.68	CFICX	Calvert Income	Pair Corr
0.69	CFJIX	Calvert Large Cap	Pair Corr
0.78	CFJAX	Calvert Large Cap	Pair Corr
0.67	CFWAX	Calvert Global Water	Pair Corr
0.91	CGARX	Calvert Responsible Index	Pair Corr
0.92	CGAEX	Calvert Global Energy	Pair Corr
0.7	CGAFX	Calvert Green Bond	Pair Corr
0.81	CGACX	Calvert Global Energy	Pair Corr
0.69	CGJAX	Calvert Large Cap	Pair Corr
0.77	CGJIX	Calvert Large Cap	Pair Corr
0.92	CGLIX	Calvert Global Equity	Pair Corr
0.97	CGLAX	Calvert Global Equity	Pair Corr
0.96	CIESX	Calvert International	Pair Corr
0.66	CLDAX	Calvert Long Term	Pair Corr

Related Correlations Analysis

	CWVIX	TQSMX	DHMIX	OBMCX	ESMAX	COVAX	APHQX	EAALX	DISSX	PHSKX
CWVIX		0.69	0.11	0.58	-0.02	0.39	0.15	0.74	0.56	0.17	CWVIX
TQSMX	0.69		0.57	0.83	-0.4	0.78	0.51	0.68	0.89	0.37	TQSMX
DHMIX	0.11	0.57		0.43	-0.29	0.8	0.74	0.4	0.61	0.31	DHMIX
OBMCX	0.58	0.83	0.43		-0.44	0.77	0.28	0.46	0.85	0.12	OBMCX
ESMAX	-0.02	-0.4	-0.29	-0.44		-0.46	0.02	0.12	-0.34	0.13	ESMAX
COVAX	0.39	0.78	0.8	0.77	-0.46		0.53	0.43	0.91	0.12	COVAX
APHQX	0.15	0.51	0.74	0.28	0.02	0.53		0.58	0.55	0.41	APHQX
EAALX	0.74	0.68	0.4	0.46	0.12	0.43	0.58		0.57	0.45	EAALX
DISSX	0.56	0.89	0.61	0.85	-0.34	0.91	0.55	0.57		0.23	DISSX
PHSKX	0.17	0.37	0.31	0.12	0.13	0.12	0.41	0.45	0.23		PHSKX
	CWVIX	TQSMX	DHMIX	OBMCX	ESMAX	COVAX	APHQX	EAALX	DISSX	PHSKX

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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

DISSX	+ 0.91	COVAX
DISSX	+ 0.89	TQSMX
DISSX	+ 0.85	OBMCX
OBMCX	+ 0.83	TQSMX
COVAX	+ 0.8	DHMIX
COVAX	+ 0.78	TQSMX

High negative correlations

COVAX	- 0.46	ESMAX
ESMAX	- 0.44	OBMCX
ESMAX	- 0.4	TQSMX
DISSX	- 0.34	ESMAX
ESMAX	- 0.29	DHMIX
ESMAX	- 0.02	CWVIX

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
CWVIX	0.66	0.01	(0.01)	0.10	0.82	(0.64)	1.27	(1.59)	3.28
TQSMX	0.70	0.00	0.02	0.08	0.72	(0.81)	1.74	(1.08)	5.58
DHMIX	0.73	0.02	(0.08)	(0.17)	0.76	(0.92)	1.80	(1.24)	5.82
OBMCX	1.15	0.26	0.12	(0.78)	1.10	(1.30)	2.82	(2.01)	7.97
ESMAX	0.64	(0.08)	0.00	(0.02)	0.00	0.00	1.26	(1.58)	4.45
COVAX	0.82	0.14	0.06	(1.58)	0.73	(0.98)	1.99	(1.34)	6.48
APHQX	0.64	(0.09)	(0.11)	(0.01)	0.74	(0.80)	1.53	(1.08)	4.64
EAALX	0.51	(0.04)	(0.09)	0.03	0.58	(0.54)	1.02	(0.94)	2.83
DISSX	0.83	(0.01)	0.03	0.07	0.83	(1.03)	2.12	(1.30)	6.95
PHSKX	0.80	(0.09)	(0.08)	0.00	0.96	(0.95)	1.53	(1.69)	5.74

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