Calvert Developed Correlations

Mutual Funds . USA . 
Fund . Calvert Developed Market
CDHIX Fund  USD 41.59  0.05  0.12%   
The current 90-days correlation between Calvert Developed Market and Natixis Equity Opportunities is 0.06 (i.e., Significant diversification). The correlation of Calvert Developed 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 Developed Correlation With Market

Almost no diversification

The correlation between Calvert Developed Market and DJI is 0.92 (i.e., Almost no diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Calvert Developed Market 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 Developed Market. 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

  0.99CDHAX Calvert Developed MarketPairCorr
  0.94CDICX Calvert Short DurationPairCorr
  1.0CDHRX Calvert InternationalPairCorr
  0.93CDSIX Calvert Short DurationPairCorr
  0.96CVMAX Calvert Emerging MarketsPairCorr
  0.98CVMIX Calvert Emerging MarketsPairCorr
  0.96CVMCX Calvert Emerging MarketsPairCorr
  0.95CEFAX Calvert Emerging MarketsPairCorr
  0.96CEFIX Congressional EffectPairCorr
  0.95CEMCX Calvert Emerging MarketsPairCorr
  0.95CEMAX Calvert Emerging MarketsPairCorr
  0.94CFAIX Calvert ConservativePairCorr
  0.89CWVIX Calvert InternationalPairCorr
  0.88CWVCX Calvert InternationalPairCorr
  0.92CFICX Calvert IncomePairCorr
  0.96CFJIX Calvert Large CapPairCorr
  0.96CFJAX Calvert Large CapPairCorr
  0.97CFWAX Calvert Global WaterPairCorr
  0.93CGARX Calvert Responsible IndexPairCorr
  0.95CGAEX Calvert Global EnergyPairCorr
  0.86CGAFX Calvert Green BondPairCorr
  0.93CGACX Calvert Global EnergyPairCorr
  0.87CGBIX Calvert Green BondPairCorr
  0.87CGLIX Calvert Global EquityPairCorr
  0.87CGLAX Calvert Global EquityPairCorr
  0.9CYBAX Calvert High YieldPairCorr
  0.9CYBRX Calvert High YieldPairCorr
  0.9CYBIX Calvert High YieldPairCorr
  0.89CHBCX Calvert High YieldPairCorr

Related Correlations Analysis


Risk-Adjusted Indicators

There is a big difference between Calvert Mutual Fund performing well and Calvert Developed 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 Developed'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
CDHRX  0.61  0.14  0.16  0.24  0.54 
(0.68)
 1.52 
(1.32)
 3.43 
CDHAX  0.63  0.17  0.13 (19.56) 0.64 
(0.66)
 1.52 
(1.37)
 3.45 
WAAEX  0.88 (0.03)(0.02) 0.03  1.02 
(1.01)
 2.46 
(1.83)
 5.80 
CVMAX  0.71  0.19  0.18  4.72  0.53 
(0.82)
 1.56 
(1.19)
 4.25 
CYYYX  0.18  0.01 (0.11) 0.12  0.13 
(0.22)
 0.39 
(0.33)
 1.35 
RYTFX  1.02  0.31  0.40  0.27  0.16 
(1.36)
 2.39 
(1.29)
 16.09 
NESYX  0.61 (0.04)(0.06) 0.00  0.81 
(0.62)
 1.24 
(1.53)
 3.71 
AMFAX  0.73  0.09  0.03 (0.75) 0.96 
(0.76)
 1.27 
(1.68)
 4.33 
SLGFX  0.58  0.06  0.06  0.14  0.61 
(0.69)
 1.15 
(1.27)
 5.49 
NEFSX  0.62 (0.02) 0.00 (6.02) 0.00 
 0.00 
 1.24 
(1.54)
 3.74 

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