Calvert Green Correlations

CGAFX Fund

USD 14.35 0.01 0.07%

The current 90-days correlation between Calvert Green Bond and Vanguard Energy Index is -0.01 (i.e., Good diversification). The correlation of Calvert Green 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, which includes a position in Calvert Green Bond. 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 price.

Moving together with Calvert Mutual Fund

0.71	CDICX	Calvert Short Duration	Pair Corr
0.62	CVMRX	Calvert Emerging Markets	Pair Corr
0.68	CVMCX	Calvert Emerging Markets	Pair Corr
0.68	CEFAX	Calvert Emerging Markets	Pair Corr
0.67	CEFIX	Congressional Effect	Pair Corr
0.75	CFAIX	Calvert Conservative	Pair Corr
0.62	CWVGX	Calvert International	Pair Corr
0.87	CFICX	Calvert Income	Pair Corr
0.67	CGARX	Calvert Responsible Index	Pair Corr
0.65	CGAEX	Calvert Global Energy	Pair Corr
0.66	CGACX	Calvert Global Energy	Pair Corr
0.99	CGBIX	Calvert Green Bond	Pair Corr
0.75	CGLIX	Calvert Global Equity	Pair Corr
0.7	CGLAX	Calvert Global Equity	Pair Corr

Related Correlations Analysis

	VENAX	PNRCX	FRNRX	PSPFX	XGNTX	IGNAX	SNPIX
VENAX		0.35	0.38	0.19	0.25	0.18	-0.98	VENAX
PNRCX	0.35		0.87	0.94	0.87	0.88	-0.33	PNRCX
FRNRX	0.38	0.87		0.83	0.96	0.96	-0.37	FRNRX
PSPFX	0.19	0.94	0.83		0.87	0.87	-0.18	PSPFX
XGNTX	0.25	0.87	0.96	0.87		0.95	-0.26	XGNTX
IGNAX	0.18	0.88	0.96	0.87	0.95		-0.17	IGNAX
SNPIX	-0.98	-0.33	-0.37	-0.18	-0.26	-0.17		SNPIX
	VENAX	PNRCX	FRNRX	PSPFX	XGNTX	IGNAX	SNPIX

Correlation Matchups

Over a given time period, the two securities move together when the Correlation Coefficient is positive. Conversely, the two assets move in opposite directions when the Correlation Coefficient is negative. Determining your positions' relationship to each other is valuable for analyzing and projecting your portfolio's future expected return and risk.

High positive correlations

XGNTX	+ 0.96	FRNRX
IGNAX	+ 0.96	FRNRX
IGNAX	+ 0.95	XGNTX
PSPFX	+ 0.94	PNRCX
IGNAX	+ 0.88	PNRCX
FRNRX	+ 0.87	PNRCX

High negative correlations

SNPIX	- 0.98	VENAX
SNPIX	- 0.37	FRNRX
SNPIX	- 0.33	PNRCX
SNPIX	- 0.26	XGNTX
SNPIX	- 0.18	PSPFX
SNPIX	- 0.17	IGNAX

Risk-Adjusted Indicators

There is a big difference between Calvert Mutual Fund performing well and Calvert Green 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 Green'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
VENAX	0.89	(0.05)	0.00	(0.03)	0.00	0.00	1.62	(1.78)	5.10
PNRCX	1.09	0.10	0.06	0.16	1.41	(1.08)	2.24	(2.62)	6.80
FRNRX	0.85	0.10	0.04	0.52	1.08	(0.89)	1.60	(1.93)	4.74
PSPFX	1.36	0.25	0.15	0.32	1.44	(1.57)	3.25	(3.00)	7.71
XGNTX	0.64	0.10	0.05	0.49	0.73	(0.69)	1.53	(1.41)	3.09
IGNAX	0.89	0.16	0.07	1.08	1.10	(0.91)	1.62	(2.10)	5.41
SNPIX	0.90	0.04	(0.07)	(0.01)	0.97	(1.00)	1.89	(1.45)	5.19

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