Calvert Global Correlations
| CGLIX Fund | 18.89 0.18 0.96% |
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 Equity and DJI is 0.74 (i.e., 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.
Calvert |
Moving together with Calvert Mutual Fund
| 0.87 | FNFPX | American Funds New | PairCorr |
| 0.86 | FFPNX | American Funds New | PairCorr |
| 0.84 | NPFCX | New Perspective | PairCorr |
| 0.85 | ANWPX | New Perspective | PairCorr |
| 0.87 | NPFFX | New Perspective | PairCorr |
| 0.85 | CNPAX | New Perspective | PairCorr |
| 0.86 | CNPEX | New Perspective | PairCorr |
| 0.86 | CNPFX | New Perspective | PairCorr |
| 0.84 | CNPCX | New Perspective | PairCorr |
| 0.86 | RNPAX | New Perspective | PairCorr |
| 0.89 | FPXIX | Fidelity Advisor 529 | PairCorr |
| 0.89 | GPICX | Guidepath Conservative | PairCorr |
| 0.85 | AA | Alcoa Corp | PairCorr |
| 0.77 | AXP | American Express | PairCorr |
| 0.67 | MMM | 3M Company | PairCorr |
| 0.86 | GE | GE Aerospace | PairCorr |
Moving against Calvert Mutual Fund
| 0.81 | VZ | Verizon Communications | PairCorr |
| 0.52 | HD | Home Depot | PairCorr |
| 0.48 | BA | Boeing | PairCorr |
| 0.45 | CVX | Chevron Corp Sell-off Trend | PairCorr |
| 0.39 | DIS | Walt Disney | PairCorr |
Related Correlations Analysis
| 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | PBMXX | ||
| 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | JRSXX | ||
| 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | MPIXX | ||
| 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | ELMXX | ||
| 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | FMVUX | ||
| 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | AEYXX | ||
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
| High negative correlations
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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 Deviation | Jensen Alpha | Sortino Ratio | Treynor Ratio | Semi Deviation | Expected Shortfall | Potential Upside | Value @Risk | Maximum Drawdown | ||
|---|---|---|---|---|---|---|---|---|---|---|
| PBMXX | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | |||
| JRSXX | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | |||
| MPIXX | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | |||
| ELMXX | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | |||
| FMVUX | 0.63 | (0.02) | (0.02) | 0.00 | 0.89 | 1.41 | 4.41 | |||
| AEYXX | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 |