Calvert Global Correlations

Mutual Funds . USA . 
Fund . Calvert Global Energy
CAEIX Fund  USD 14.01  0.17  1.23%   
The current 90-days correlation between Calvert Global Energy and Calvert Developed Market is 0.87 (i.e., Very poor 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

Poor diversification

The correlation between Calvert Global Energy and DJI is 0.68 (i.e., Poor diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Calvert Global Energy 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 Energy. 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

  0.97CDHIX Calvert Developed MarketPairCorr
  0.78CDHAX Calvert Developed MarketPairCorr
  0.87CDICX Calvert Short DurationPairCorr
  0.73CDHRX Calvert InternationalPairCorr
  0.64CDSIX Calvert Short DurationPairCorr
  0.72CVMAX Calvert Emerging MarketsPairCorr
  0.69CVMRX Calvert Emerging MarketsPairCorr
  0.69CVMIX Calvert Emerging MarketsPairCorr
  0.69CVMCX Calvert Emerging MarketsPairCorr
  0.94CEFAX Calvert Emerging MarketsPairCorr
  0.81CEMCX Calvert Emerging MarketsPairCorr
  0.81CEMAX Calvert Emerging MarketsPairCorr
  0.94CFAIX Calvert ConservativePairCorr
  0.62CWVIX Calvert InternationalPairCorr
  0.85CFICX Calvert IncomePairCorr
  0.74CFJIX Calvert Large CapPairCorr
  0.83CFJAX Calvert Large CapPairCorr
  0.76CFWCX Calvert Global WaterPairCorr
  0.75CFWAX Calvert Global WaterPairCorr
  0.77CFWIX Calvert Global WaterPairCorr
  0.97CGARX Calvert Responsible IndexPairCorr
  0.76CGAEX Calvert Global EnergyPairCorr
  0.84CGAFX Calvert Green BondPairCorr
  0.96CGACX Calvert Global EnergyPairCorr
  0.81CGBIX Calvert Green BondPairCorr
  0.92CGJAX Calvert Large CapPairCorr
  0.78CGJIX Calvert Large CapPairCorr
  0.82CGLIX Calvert Global EquityPairCorr
  0.77CGLAX Calvert Global EquityPairCorr
  0.73CYBAX Calvert High YieldPairCorr
  0.73CYBRX Calvert High YieldPairCorr
  0.73CYBIX Calvert High YieldPairCorr
  0.72CHBCX Calvert High YieldPairCorr

Related Correlations Analysis


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  0.62  0.05  0.06  0.12  0.67 
(0.65)
 1.46 
(1.20)
 4.28 
CDHAX  0.62  0.03  0.03  0.10  0.68 
(0.66)
 1.45 
(1.19)
 4.29 
CDICX  0.08  0.02 (0.57) 1.57  0.00 
(0.14)
 0.26 
(0.13)
 0.58 
CDHRX  0.63  0.05  0.05  0.12  0.68 
(0.66)
 1.46 
(1.21)
 4.23 
CDSRX  0.08  0.02 (0.56)(2.09) 0.00 
(0.12)
 0.25 
(0.13)
 0.63 
CDSIX  0.09  0.02 (0.49)(2.21) 0.00 
(0.13)
 0.38 
(0.13)
 0.63 
CVMAX  0.67  0.08  0.07  0.16  0.74 
(0.73)
 1.30 
(0.86)
 5.07 
CVMRX  0.70  0.10  0.09  0.18  0.73 
(0.76)
 1.31 
(0.85)
 5.12 
CVMIX  0.69  0.10  0.09  0.18  0.71 
(0.76)
 1.31 
(0.85)
 5.01 
CVMCX  0.69  0.09  0.09  0.17  0.73 
(0.78)
 1.30 
(0.85)
 5.06 

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