Calvert Equity Correlations

Mutual Funds . USA . 
Fund . Calvert Equity Portfolio
CSECX Fund  USD 19.10  0.07  0.37%   
The current 90-days correlation between Calvert Equity Portfolio and Calvert Developed Market is 0.05 (i.e., Significant diversification). The correlation of Calvert Equity 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 Equity Correlation With Market

Good diversification

The correlation between Calvert Equity Portfolio and DJI is -0.14 (i.e., Good diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Calvert Equity Portfolio 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 Equity Portfolio. 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 persons.

Moving together with Calvert Mutual Fund

  0.99CEYIX Calvert Equity PortfolioPairCorr
  0.78CFJIX Calvert Large CapPairCorr
  0.78CFJAX Calvert Large CapPairCorr

Moving against Calvert Mutual Fund

  0.98CEYRX Calvert EquityPairCorr
  0.49CDICX Calvert Short DurationPairCorr
  0.47CDSRX Calvert Short DurationPairCorr
  0.47CDSIX Calvert Short DurationPairCorr
  0.34CFAIX Calvert ConservativePairCorr
  0.5CYBRX Calvert High YieldPairCorr
  0.49CYBAX Calvert High YieldPairCorr
  0.49CYBIX Calvert High YieldPairCorr
  0.48CHBCX Calvert High YieldPairCorr
  0.43CFOAX Calvert Floating RatePairCorr
  0.42CFOIX Calvert Floating RatePairCorr
  0.34CGARX Calvert Responsible IndexPairCorr
  0.31CGLIX Calvert Global EquityPairCorr
  0.31CGLAX Calvert Global EquityPairCorr

Related Correlations Analysis


Risk-Adjusted Indicators

There is a big difference between Calvert Mutual Fund performing well and Calvert Equity 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 Equity'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  0.69 (0.04)(0.04) 0.01  1.01 
(0.62)
 1.28 
(1.55)
 4.05 
CDHAX  0.68 (0.04)(0.04) 0.01  1.00 
(0.61)
 1.27 
(1.52)
 3.93 
CDICX  0.07  0.00 (0.60) 0.13  0.00 
(0.12)
 0.19 
(0.13)
 0.45 
CDHRX  0.69 (0.04)(0.05) 0.01  1.01 
(0.61)
 1.28 
(1.52)
 4.13 
CDSRX  0.08  0.01 (0.58) 0.36  0.00 
(0.13)
 0.13 
(0.06)
 0.70 
CDSIX  0.08  0.00 (0.56) 0.32  0.00 
(0.12)
 0.13 
(0.06)
 0.70 
CVMAX  0.72 (0.03)(0.04) 0.02  0.93 
(0.79)
 1.34 
(1.21)
 4.94 
CVMRX  0.72 (0.03)(0.04) 0.02  0.94 
(0.79)
 1.32 
(1.16)
 4.95 
CVMIX  0.71 (0.03)(0.04) 0.02  0.91 
(0.81)
 1.28 
(1.20)
 4.89 
CVMCX  0.71 (0.02)(0.03) 0.03  0.89 
(0.81)
 1.30 
(1.18)
 4.89 

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