Calvert Global Correlations

Mutual Funds USA . 
Fund . Calvert Global Water
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.
  
Check out Trending Equities to better understand how to build diversified portfolios. Also, note that the market value of any mutual fund could be closely tied with the direction of predictive economic indicators such as various price indices.

Moving together with Calvert Mutual Fund

  0.78VMIAX Vanguard Materials IndexPairCorr
  0.69PRNEX T Rowe PricePairCorr
  0.74GEACX Gmo TrustPairCorr
  0.73GAAHX Gmo ResourcesPairCorr
  0.74GMOWX Gmo ResourcesPairCorr
  0.71GHAIX Global Hard AssetsPairCorr
  0.77VSTSX Vanguard Total StockPairCorr
  0.77VSMPX Vanguard Total StockPairCorr
  0.77VITSX Vanguard Total StockPairCorr
  0.76VFFSX Vanguard 500 IndexPairCorr
  0.76VFIAX Vanguard 500 IndexPairCorr
  0.85VTISX Vanguard Total InterPairCorr
  0.85VTSNX Vanguard Total InterPairCorr
  0.85VTPSX Vanguard Total InterPairCorr
  0.76VINIX Vanguard InstitutionalPairCorr
  0.77VTSAX Vanguard Total StockPairCorr
  0.85PVFAX Paradigm ValuePairCorr
  0.69RYATX Nasdaq 100 FundPairCorr
  0.77POSKX Primecap Odyssey StockPairCorr
  0.78FAUTX American Funds 2040PairCorr
  0.69MMM 3M Company Earnings Call This WeekPairCorr
  0.63HD Home DepotPairCorr
  0.64AA Alcoa Corp Earnings Call This WeekPairCorr
  0.65JNJ Johnson JohnsonPairCorr
  0.61TRV The Travelers CompaniesPairCorr

Moving against Calvert Mutual Fund

  0.49DIS Walt DisneyPairCorr

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
GLVNX  0.68  0.06  0.00 (0.19) 0.89 
(0.69)
 1.21 
(1.13)
 5.52 
GLVAX  0.68 (0.01) 0.00  0.04  0.89 
(0.70)
 1.21 
(1.12)
 5.52 
GCVIX  0.45  0.05  0.00 (0.31) 0.52 
(0.53)
 1.34 
(0.99)
 3.82 
LCORX  0.32  0.09  0.08 (0.68) 0.16 
(0.36)
 0.80 
(0.57)
 1.91 
PEO  0.64 (0.02) 0.00 (0.24) 0.00 
 0.00 
 1.07 
(1.60)
 4.09 
EIM  0.47  0.08  0.05  1.66  0.50 
(0.52)
 0.83 
(0.80)
 6.01 
DSU  0.33 (0.02) 0.00  0.20  0.00 
 0.00 
 0.86 
(0.88)
 2.93 
FEATX  0.72  0.17  0.10 (2.36) 0.91 
(0.75)
 1.61 
(1.34)
 6.47 
OPP  0.33  0.01 (0.06) 0.13  0.55 
(0.32)
 0.58 
(0.71)
 2.74 
HRAAX  0.39  0.08  0.03 (0.34) 0.42 
(0.45)
 1.06 
(0.56)
 3.45 

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