Calvert Global Correlations

CFWAX Fund

USD 29.82 0.27 0.90%

The current 90-days correlation between Calvert Global Water and Oppenheimer Gbl Value is 0.68 (i.e., 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

Poor diversification

The correlation between Calvert Global Water and DJI is 0.7 (i.e., Poor diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Calvert Global Water 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 Water. 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 nation.

Moving together with Calvert Mutual Fund

0.7	CEYIX	Calvert Equity Portfolio	Pair Corr
0.71	CEYRX	Calvert Equity	Pair Corr
0.66	CWVIX	Calvert International	Pair Corr
0.64	CFJIX	Calvert Large Cap	Pair Corr
0.77	CFWCX	Calvert Global Water	Pair Corr
0.77	CFWIX	Calvert Global Water	Pair Corr

Related Correlations Analysis

	GLVNX	GLVAX	GCVIX	LCORX	PEO	EIM	DSU	FEATX	OPP	HRAAX
GLVNX		1.0	0.87	0.5	0.03	0.52	-0.09	0.83	-0.53	0.87	GLVNX
GLVAX	1.0		0.87	0.5	0.03	0.53	-0.1	0.83	-0.53	0.87	GLVAX
GCVIX	0.87	0.87		0.41	0.32	0.57	-0.02	0.77	-0.48	0.83	GCVIX
LCORX	0.5	0.5	0.41		-0.18	0.33	0.19	0.37	0.22	0.32	LCORX
PEO	0.03	0.03	0.32	-0.18		0.15	0.52	0.03	0.07	0.12	PEO
EIM	0.52	0.53	0.57	0.33	0.15		0.07	0.45	-0.06	0.55	EIM
DSU	-0.09	-0.1	-0.02	0.19	0.52	0.07		-0.23	0.57	-0.16	DSU
FEATX	0.83	0.83	0.77	0.37	0.03	0.45	-0.23		-0.65	0.94	FEATX
OPP	-0.53	-0.53	-0.48	0.22	0.07	-0.06	0.57	-0.65		-0.61	OPP
HRAAX	0.87	0.87	0.83	0.32	0.12	0.55	-0.16	0.94	-0.61		HRAAX
	GLVNX	GLVAX	GCVIX	LCORX	PEO	EIM	DSU	FEATX	OPP	HRAAX

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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

GLVAX	+ 1.0	GLVNX
HRAAX	+ 0.94	FEATX
GCVIX	+ 0.87	GLVNX
HRAAX	+ 0.87	GLVNX
GCVIX	+ 0.87	GLVAX
HRAAX	+ 0.87	GLVAX

High negative correlations

OPP	- 0.65	FEATX
HRAAX	- 0.61	OPP
OPP	- 0.53	GLVAX
OPP	- 0.53	GLVNX
OPP	- 0.48	GCVIX
FEATX	- 0.23	DSU

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 Deviation	Jensen Alpha	Sortino Ratio	Treynor Ratio	Semi Deviation	Expected Shortfall	Potential Upside	Value @Risk	Maximum Drawdown
GLVNX	0.73	(0.03)	(0.03)	0.01	1.00	(0.72)	1.39	(1.24)	5.29
GLVAX	0.73	(0.03)	(0.02)	0.01	1.00	(0.73)	1.39	(1.23)	5.29
GCVIX	0.47	0.01	0.01	0.05	0.57	(0.52)	1.11	(0.99)	3.82
LCORX	0.47	(0.09)	0.00	(0.08)	0.00	0.00	0.76	(0.67)	8.53
PEO	0.63	0.07	0.04	0.20	0.88	(0.56)	1.34	(1.52)	3.63
EIM	0.46	0.08	0.08	7.85	0.45	(0.53)	0.84	(0.81)	5.84
DSU	0.38	(0.02)	0.00	(0.06)	0.00	0.00	0.87	(0.88)	2.96
FEATX	0.79	0.11	0.07	(17.12)	1.00	(0.86)	1.61	(1.34)	6.47
OPP	0.45	(0.07)	0.00	(0.45)	0.00	0.00	0.88	(1.10)	2.84
HRAAX	0.42	0.03	0.00	0.85	0.58	(0.42)	0.89	(0.89)	3.45

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