Calvert International Correlations

CIESX Fund

USD 26.38 0.20 0.76%

The current 90-days correlation between Calvert International and Blackrock All Cap Energy is 0.02 (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

Good diversification

The correlation between Calvert International Equity and DJI is -0.03 (i.e., Good 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 main economic indicators.

Moving together with Calvert Mutual Fund

0.78	CWVIX	Calvert International	Pair Corr
0.99	CWVGX	Calvert International	Pair Corr
1.0	CWVCX	Calvert International	Pair Corr
0.61	CGLIX	Calvert Global Equity	Pair Corr

Moving against Calvert Mutual Fund

0.34	CDSIX	Calvert Short Duration	Pair Corr
0.31	CIFCX	Calvert Income	Pair Corr

Related Correlations Analysis

	BACAX	SEPIX	BACCX	GMOWX	FRNRX	PEO
BACAX		0.75	0.88	0.7	0.79	0.9	BACAX
SEPIX	0.75		0.89	0.85	0.84	0.91	SEPIX
BACCX	0.88	0.89		0.72	0.78	0.95	BACCX
GMOWX	0.7	0.85	0.72		0.96	0.78	GMOWX
FRNRX	0.79	0.84	0.78	0.96		0.81	FRNRX
PEO	0.9	0.91	0.95	0.78	0.81		PEO
	BACAX	SEPIX	BACCX	GMOWX	FRNRX	PEO

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
BACAX	0.72	0.11	0.01	1.68	0.79	(0.82)	1.51	(1.32)	4.89
SEPIX	0.69	0.04	(0.01)	0.19	0.72	(0.75)	1.41	(1.43)	4.00
BACCX	0.72	0.08	(0.01)	0.69	0.74	(0.79)	1.55	(1.37)	3.87
GMOWX	1.02	0.25	0.14	3.14	0.81	(1.24)	2.50	(1.61)	5.43
FRNRX	0.62	0.18	0.10	5.35	0.45	(0.72)	1.65	(1.00)	4.07
PEO	0.70	0.12	0.04	0.72	0.71	(0.77)	1.61	(1.37)	4.09

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