Calvert Global Correlations

Mutual Funds USA . 
Fund . Calvert Global Equity
CGLIX Fund   17.39  0.08  0.46%   
The current 90-days correlation between Calvert Global Equity and Calvert Developed Market is -0.09 (i.e., Good 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

Almost no diversification

The correlation between Calvert Global Equity and DJI is 0.94 (i.e., Almost no 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.
  
Check out Trending Equities to better understand how to build diversified portfolios, which includes a position in Calvert Global 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 gross domestic product.

Moving together with Calvert Mutual Fund

  0.72CDHIX Calvert Developed MarketPairCorr
  0.72CDHAX Calvert Developed MarketPairCorr
  0.79CDHRX Calvert InternationalPairCorr
  0.82CVMAX Calvert Emerging MarketsPairCorr
  0.82CVMRX Calvert Emerging MarketsPairCorr
  0.82CVMIX Calvert Emerging MarketsPairCorr
  0.83CVMCX Calvert Emerging MarketsPairCorr
  0.78CEFAX Calvert Emerging MarketsPairCorr
  0.71CEFIX Congressional EffectPairCorr
  0.87CEYIX Calvert Equity PortfolioPairCorr
  0.97CEYRX Calvert EquityPairCorr
  0.84CFAIX Calvert ConservativePairCorr
  0.91CWVIX Calvert InternationalPairCorr
  0.92CWVGX Calvert InternationalPairCorr
  0.85CWVCX Calvert InternationalPairCorr
  0.85CFJIX Calvert Large CapPairCorr
  0.95CFJAX Calvert Large CapPairCorr
  0.87CFOIX Calvert Floating RatePairCorr
  0.7CFOAX Calvert Floating RatePairCorr
  0.78CFWCX Calvert Global WaterPairCorr
  0.84CFWAX Calvert Global WaterPairCorr
  0.77CFWIX Calvert Global WaterPairCorr
  0.99CGARX Calvert Responsible IndexPairCorr
  0.84CGAEX Calvert Global EnergyPairCorr
  0.85CGACX Calvert Global EnergyPairCorr
  0.82CGJAX Calvert Large CapPairCorr
  0.88CGJIX Calvert Large CapPairCorr
  1.0CGLAX Calvert Global EquityPairCorr
  0.78CYBAX Calvert High YieldPairCorr
  0.82CYBRX Calvert High YieldPairCorr
  0.82CYBIX Calvert High YieldPairCorr

Related Correlations Analysis

Click cells to compare fundamentals   Check Volatility   Backtest Portfolio

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 DeviationJensen AlphaSortino RatioTreynor RatioSemi DeviationExpected ShortfallPotential UpsideValue @RiskMaximum Drawdown
CDHIX  0.92  0.08  0.09 (1.15) 1.42 
(0.92)
 1.96 
(1.88)
 8.45 
CDHAX  0.93  0.08  0.09 (1.13) 1.40 
(0.92)
 1.96 
(1.88)
 8.47 
CDICX  0.11  0.01  0.38 (0.37) 0.00 
(0.14)
 0.26 
(0.19)
 0.84 
CDHRX  0.94  0.15  0.10  0.14  1.44 
(0.93)
 1.96 
(1.89)
 8.47 
CDSRX  0.13  0.01  0.38 (1.13) 0.00 
(0.17)
 0.32 
(0.25)
 0.96 
CDSIX  0.12  0.01  0.40 (0.64) 0.00 
(0.17)
 0.32 
(0.25)
 0.89 
CVMAX  1.07  0.15  0.10  0.16  1.40 
(1.12)
 2.64 
(2.18)
 8.34 
CVMRX  1.06  0.15  0.10  0.16  1.40 
(1.09)
 2.69 
(2.18)
 8.34 
CVMIX  1.06  0.15  0.09  0.16  1.40 
(1.06)
 2.68 
(2.18)
 8.32 
CVMCX  1.07  0.15  0.10  0.15  1.43 
(1.15)
 2.63 
(2.16)
 8.33 

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