Calvert Green Correlations

Mutual Funds . USA . 
Fund . Calvert Green Bond
CGBIX Fund  USD 14.14  0.03  0.21%   
The current 90-days correlation between Calvert Green Bond and Calvert Developed Market is -0.05 (i.e., Good diversification). The correlation of Calvert Green 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 Green Correlation With Market

Significant diversification

The correlation between Calvert Green Bond and DJI is 0.02 (i.e., Significant diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Calvert Green Bond 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 Green Bond. 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

  0.73CDHIX Calvert Developed MarketPairCorr
  0.73CDHAX Calvert Developed MarketPairCorr
  0.95CDICX Calvert Short DurationPairCorr
  0.73CDHRX Calvert InternationalPairCorr
  0.94CDSRX Calvert Short DurationPairCorr
  0.92CDSIX Calvert Short DurationPairCorr
  0.7CVMAX Calvert Emerging MarketsPairCorr
  0.71CVMRX Calvert Emerging MarketsPairCorr
  0.71CVMIX Calvert Emerging MarketsPairCorr
  0.7CVMCX Calvert Emerging MarketsPairCorr
  0.73CEFAX Calvert Emerging MarketsPairCorr
  0.73CEFIX Congressional EffectPairCorr
  0.69CEMCX Calvert Emerging MarketsPairCorr
  0.69CEMAX Calvert Emerging MarketsPairCorr
  0.65CEYIX Calvert Equity PortfolioPairCorr
  0.65CEYRX Calvert EquityPairCorr
  0.82CFAIX Calvert ConservativePairCorr
  0.62CWVIX Calvert InternationalPairCorr
  0.64CWVGX Calvert InternationalPairCorr
  0.63CWVCX Calvert InternationalPairCorr
  0.95CFICX Calvert IncomePairCorr
  0.76CFJIX Calvert Large CapPairCorr
  0.76CFJAX Calvert Large CapPairCorr
  0.75CFOIX Calvert Floating RatePairCorr
  0.73CFOAX Calvert Floating RatePairCorr
  0.75CFWCX Calvert Global WaterPairCorr
  0.75CFWAX Calvert Global WaterPairCorr
  0.75CFWIX Calvert Global WaterPairCorr
  0.73CGARX Calvert Responsible IndexPairCorr
  0.74CGAEX Calvert Global EnergyPairCorr
  1.0CGAFX Calvert Green BondPairCorr
  0.75CGACX Calvert Global EnergyPairCorr
  0.72CGJAX Calvert Large CapPairCorr
  0.72CGJIX Calvert Large CapPairCorr
  0.67CGLIX Calvert Global EquityPairCorr
  0.67CGLAX Calvert Global EquityPairCorr
  0.82CYBAX Calvert High YieldPairCorr
  0.82CYBRX Calvert High YieldPairCorr
  0.83CYBIX 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 Green 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 Green'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  0.14  0.08  0.43  0.36 
(0.59)
 1.30 
(1.00)
 3.42 
CDHAX  0.53  0.21  0.09 (2.89) 0.33 
(0.59)
 1.29 
(1.01)
 3.38 
CDICX  0.10  0.01 (0.94) 1.95  0.00 
(0.13)
 0.26 
(0.19)
 0.58 
CDHRX  0.53  0.21  0.09 (2.90) 0.33 
(0.59)
 1.30 
(1.00)
 3.40 
CDSRX  0.10  0.00 (0.84) 0.00  0.00 
(0.16)
 0.26 
(0.19)
 0.77 
CDSIX  0.10  0.02 (0.83) 7.05  0.00 
(0.16)
 0.26 
(0.19)
 0.77 
CVMAX  0.58  0.26  0.17  8.55  0.19 
(0.70)
 1.94 
(1.21)
 4.79 
CVMRX  0.57  0.19  0.16  0.53  0.18 
(0.71)
 1.87 
(1.15)
 4.80 
CVMIX  0.57  0.19  0.16  0.53  0.16 
(0.66)
 1.86 
(1.20)
 4.84 
CVMCX  0.57  0.19  0.16  0.53  0.22 
(0.71)
 1.90 
(1.21)
 4.77 

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