Calvert International Correlations

CWVIX Fund

USD 27.81 0.17 0.62%

The current 90-days correlation between Calvert International and Ab High Income is 0.09 (i.e., Significant diversification). The correlation of Calvert International 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 International Correlation With Market

Poor diversification

The correlation between Calvert International Equity and DJI is 0.69 (i.e., Poor diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Calvert International 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 International 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

0.87	CDHIX	Calvert Developed Market	Pair Corr
0.87	CDHAX	Calvert Developed Market	Pair Corr
0.78	CDICX	Calvert Short Duration	Pair Corr
0.96	CDHRX	Calvert International	Pair Corr
0.74	CDSRX	Calvert Short Duration	Pair Corr
0.74	CDSIX	Calvert Short Duration	Pair Corr
0.8	CVMAX	Calvert Emerging Markets	Pair Corr
0.86	CVMRX	Calvert Emerging Markets	Pair Corr
0.8	CEFAX	Calvert Emerging Markets	Pair Corr
0.92	CFAIX	Calvert Conservative	Pair Corr
0.81	CWVGX	Calvert International	Pair Corr
0.76	CFJIX	Calvert Large Cap	Pair Corr
0.84	CGAEX	Calvert Global Energy	Pair Corr
0.69	CGJAX	Calvert Large Cap	Pair Corr
0.85	CGJIX	Calvert Large Cap	Pair Corr
0.94	CGLIX	Calvert Global Equity	Pair Corr
0.79	CGLAX	Calvert Global Equity	Pair Corr
0.92	CIESX	Calvert International	Pair Corr
0.8	CINCX	Calvert Income	Pair Corr
0.79	CLDIX	Calvert Long Term	Pair Corr
0.62	CLVRX	Columbia International	Pair Corr
0.85	CMACX	Calvert Moderate All	Pair Corr
0.86	CMAAX	Calvert Moderate All	Pair Corr
0.64	CMMRX	Calvert Mortgage Access	Pair Corr
0.64	CMMIX	Calvert Mortgage Access	Pair Corr
0.66	CMMCX	Calvert Mortgage Access	Pair Corr
0.93	CAACX	Calvert Aggressive	Pair Corr
0.84	CAAAX	Calvert Aggressive	Pair Corr
0.87	CAARX	Calvert Conservative	Pair Corr
0.92	CAEIX	Calvert Global Energy	Pair Corr
0.8	CSBCX	Calvert Bond Portfolio	Pair Corr

Moving against Calvert Mutual Fund

0.39	CMPAX	Calvert Smallmid Cap	Pair Corr
0.38	CALRX	Calvert Smallcap Fund6	Pair Corr
0.38	CSVIX	Calvert Small Cap	Pair Corr
0.33	CSMAX	Calvert Global Small	Pair Corr

Related Correlations Analysis

	AGDAX	SISAX	AHYMX	CAYCX	JCTFX	GFRAX	GHVIX
AGDAX		0.69	0.69	0.63	0.66	0.67	0.81	AGDAX
SISAX	0.69		0.61	0.64	0.67	0.24	0.82	SISAX
AHYMX	0.69	0.61		0.9	0.89	0.42	0.77	AHYMX
CAYCX	0.63	0.64	0.9		0.99	0.29	0.81	CAYCX
JCTFX	0.66	0.67	0.89	0.99		0.27	0.83	JCTFX
GFRAX	0.67	0.24	0.42	0.29	0.27		0.37	GFRAX
GHVIX	0.81	0.82	0.77	0.81	0.83	0.37		GHVIX
	AGDAX	SISAX	AHYMX	CAYCX	JCTFX	GFRAX	GHVIX

Risk-Adjusted Indicators

There is a big difference between Calvert Mutual Fund performing well and Calvert International 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 International'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
AGDAX	0.14	0.01	(0.23)	2.46	0.00	(0.21)	0.29	(0.28)	1.00
SISAX	0.45	0.00	(0.01)	0.06	0.63	(0.43)	0.97	(1.00)	3.03
AHYMX	0.13	0.03	(0.21)	4.59	0.00	(0.20)	0.34	(0.11)	0.79
CAYCX	0.14	0.07	0.06	3.34	0.00	(0.23)	0.42	(0.21)	0.96
JCTFX	0.17	0.06	0.05	1.13	0.00	(0.29)	0.46	(0.29)	1.21
GFRAX	0.08	0.00	(0.34)	(0.04)	0.00	(0.23)	0.23	(0.12)	0.93
GHVIX	0.13	0.01	(0.23)	0.38	0.00	(0.16)	0.28	(0.22)	0.78

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