Calvert Responsible Correlations

Mutual Funds . USA . 
Fund . Calvert Responsible Index
CGARX Fund  USD 28.78  0.15  0.52%   
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

Almost no diversification

The correlation between Calvert Responsible Index and DJI is 0.91 (i.e., Almost no 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 metropolitan statistical area.

Moving together with Calvert Mutual Fund

  0.99CDHIX Calvert Developed MarketPairCorr
  0.97CDHAX Calvert Developed MarketPairCorr
  0.87CDICX Calvert Short DurationPairCorr
  0.97CDHRX Calvert InternationalPairCorr
  0.89CDSRX Calvert Short DurationPairCorr
  0.88CDSIX Calvert Short DurationPairCorr
  0.98CVMAX Calvert Emerging MarketsPairCorr
  0.98CVMRX Calvert Emerging MarketsPairCorr
  0.99CVMIX Calvert Emerging MarketsPairCorr
  0.99CVMCX Calvert Emerging MarketsPairCorr
  0.98CEFAX Calvert Emerging MarketsPairCorr
  0.98CEFIX Congressional EffectPairCorr
  0.93CEMCX Calvert Emerging MarketsPairCorr
  0.93CEMAX Calvert Emerging MarketsPairCorr
  0.96CEYIX Calvert Equity PortfolioPairCorr
  0.96CEYRX Calvert EquityPairCorr
  0.99CFAIX Calvert ConservativePairCorr
  0.97CWVIX Calvert InternationalPairCorr
  0.95CWVGX Calvert InternationalPairCorr
  0.95CWVCX Calvert InternationalPairCorr
  0.9CFICX Calvert IncomePairCorr
  0.99CFJIX Calvert Large CapPairCorr
  0.97CFJAX Calvert Large CapPairCorr
  0.97CFOIX Calvert Floating RatePairCorr
  0.97CFOAX Calvert Floating RatePairCorr
  0.98CFWCX Calvert Global WaterPairCorr
  0.98CFWAX Calvert Global WaterPairCorr
  0.99CFWIX Calvert Global WaterPairCorr
  0.98CGAEX Calvert Global EnergyPairCorr
  0.73CGAFX Calvert Green BondPairCorr
  0.99CGACX Calvert Global EnergyPairCorr
  0.75CGBIX Calvert Green BondPairCorr
  0.98CGJAX Calvert Large CapPairCorr
  1.0CGJIX Calvert Large CapPairCorr
  0.99CGLIX Calvert Global EquityPairCorr
  0.98CGLAX Calvert Global EquityPairCorr
  0.97CYBAX Calvert High YieldPairCorr
  0.97CYBRX Calvert High YieldPairCorr
  0.98CYBIX 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 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  0.53  0.16  0.10  0.49  0.27 
(0.60)
 1.30 
(1.00)
 3.42 
CDHAX  0.57  0.26  0.14 (4.95) 0.22 
(0.64)
 1.61 
(1.01)
 3.99 
CDICX  0.10  0.02 (0.96) 8.58  0.00 
(0.14)
 0.32 
(0.19)
 0.58 
CDHRX  0.57  0.26  0.14 (5.04) 0.20 
(0.64)
 1.60 
(1.00)
 4.03 
CDSRX  0.11  0.02 (0.87)(2.87) 0.00 
(0.17)
 0.32 
(0.19)
 0.77 
CDSIX  0.11  0.02 (0.88) 3.90  0.00 
(0.17)
 0.32 
(0.19)
 0.77 
CVMAX  0.64  0.31  0.23  7.03  0.00 
(0.79)
 2.45 
(1.21)
 4.79 
CVMRX  0.63  0.31  0.22  6.50  0.00 
(0.80)
 2.43 
(1.15)
 4.80 
CVMIX  0.59  0.21  0.17  0.56  0.06 
(0.70)
 1.86 
(1.20)
 4.84 
CVMCX  0.59  0.20  0.17  0.56  0.14 
(0.74)
 1.90 
(1.21)
 4.77 

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