Calvert Equity Correlations

CSIEX Fund

USD 80.65 1.61 2.04%

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

Significant diversification

The correlation between Calvert Equity Portfolio and DJI is 0.08 (i.e., Significant 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 commodities.

Moving together with CALVERT Mutual Fund

0.77	CMJIX	Calvert Mid Cap	Pair Corr
0.77	CMJAX	Calvert Mid Cap	Pair Corr
0.61	CMPAX	Calvert Smallmid Cap	Pair Corr
1.0	CSECX	Calvert Equity Portfolio	Pair Corr
0.76	CSMAX	Calvert Global Small	Pair Corr
0.73	CSVIX	Calvert Small Cap	Pair Corr

Moving against CALVERT Mutual Fund

0.35	CMERX	Calvert Emerging Markets	Pair Corr
0.64	UIPIX	Ultrashort Mid Cap	Pair Corr
0.44	FTCAX	Templeton Strained Bond	Pair Corr

Related Correlations Analysis

	PNRCX	GMOWX	IGNAX	VENAX	DNLAX	BACCX	FIKAX	AIWEX
PNRCX		0.75	0.93	0.25	0.76	0.23	0.35	0.93	PNRCX
GMOWX	0.75		0.8	0.39	0.72	0.43	0.59	0.75	GMOWX
IGNAX	0.93	0.8		0.17	0.86	0.17	0.36	0.86	IGNAX
VENAX	0.25	0.39	0.17		0.4	0.98	0.73	0.41	VENAX
DNLAX	0.76	0.72	0.86	0.4		0.4	0.6	0.72	DNLAX
BACCX	0.23	0.43	0.17	0.98	0.4		0.77	0.37	BACCX
FIKAX	0.35	0.59	0.36	0.73	0.6	0.77		0.41	FIKAX
AIWEX	0.93	0.75	0.86	0.41	0.72	0.37	0.41		AIWEX
	PNRCX	GMOWX	IGNAX	VENAX	DNLAX	BACCX	FIKAX	AIWEX

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 Deviation	Jensen Alpha	Sortino Ratio	Treynor Ratio	Semi Deviation	Expected Shortfall	Potential Upside	Value @Risk	Maximum Drawdown
PNRCX	0.89	0.14	0.09	0.18	1.29	(0.89)	1.96	(2.62)	6.80
GMOWX	0.97	0.11	0.07	(1.99)	1.06	(1.11)	2.11	(1.83)	7.29
IGNAX	0.76	0.15	0.10	(5.93)	1.10	(0.76)	1.62	(2.10)	5.41
VENAX	0.86	0.02	0.01	0.07	1.20	(0.80)	1.65	(1.87)	4.81
DNLAX	0.86	0.09	0.05	(1.95)	1.16	(0.86)	1.83	(2.29)	6.33
BACCX	0.67	0.02	0.00	0.08	0.90	(0.64)	1.36	(1.50)	3.81
FIKAX	0.80	0.13	0.09	2.83	0.94	(0.86)	1.64	(1.77)	5.19
AIWEX	0.82	0.08	0.06	0.11	1.10	(0.81)	1.57	(1.68)	5.69

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