Calvert International Correlations

CWVIX Fund

USD 28.04 0.15 0.54%

The current 90-days correlation between Calvert International and Calvert International Equity is 1.0 (i.e., No risk reduction). 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 -0.15 (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 gross domestic product.

Moving together with Calvert Mutual Fund

0.78	RERFX	Europacific Growth	Pair Corr
0.78	AEPFX	Europacific Growth	Pair Corr
0.78	CEUAX	Europacific Growth	Pair Corr
0.79	CEUCX	Europacific Growth	Pair Corr
0.78	RERCX	Europacific Growth	Pair Corr
0.78	REREX	Europacific Growth	Pair Corr
0.78	RERGX	Europacific Growth	Pair Corr
0.78	CEUFX	Europacific Growth	Pair Corr
0.78	CEUEX	Europacific Growth	Pair Corr
0.79	RERAX	Europacific Growth	Pair Corr
0.61	CAT	Caterpillar	Pair Corr
0.69	AA	Alcoa Corp Earnings Call This Week	Pair Corr
0.68	INTC	Intel	Pair Corr
0.65	IBM	International Business Earnings Call This Week	Pair Corr
0.62	DD	Dupont De Nemours	Pair Corr

Moving against Calvert Mutual Fund

0.68	USPSX	Profunds Ultrashort	Pair Corr
0.68	USPIX	Profunds Ultrashort	Pair Corr
0.47	UIPIX	Ultrashort Mid Cap	Pair Corr
0.39	VZ	Verizon Communications	Pair Corr
0.37	BA	Boeing	Pair Corr

Related Correlations Analysis

	CWVGX	TQSMX	DHMIX	OBMCX	ESMAX	COVAX	APHQX	EAALX	DISSX	PHSKX
CWVGX		0.52	0.18	0.45	0.0	0.39	0.14	0.59	0.53	-0.01	CWVGX
TQSMX	0.52		0.72	0.96	-0.6	0.96	0.4	0.55	0.99	0.11	TQSMX
DHMIX	0.18	0.72		0.58	-0.19	0.81	0.86	0.67	0.77	0.4	DHMIX
OBMCX	0.45	0.96	0.58		-0.65	0.92	0.2	0.42	0.94	-0.03	OBMCX
ESMAX	0.0	-0.6	-0.19	-0.65		-0.56	0.13	0.04	-0.51	0.27	ESMAX
COVAX	0.39	0.96	0.81	0.92	-0.56		0.52	0.55	0.98	0.03	COVAX
APHQX	0.14	0.4	0.86	0.2	0.13	0.52		0.62	0.49	0.46	APHQX
EAALX	0.59	0.55	0.67	0.42	0.04	0.55	0.62		0.59	0.34	EAALX
DISSX	0.53	0.99	0.77	0.94	-0.51	0.98	0.49	0.59		0.08	DISSX
PHSKX	-0.01	0.11	0.4	-0.03	0.27	0.03	0.46	0.34	0.08		PHSKX
	CWVGX	TQSMX	DHMIX	OBMCX	ESMAX	COVAX	APHQX	EAALX	DISSX	PHSKX

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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

DISSX	+ 0.99	TQSMX
DISSX	+ 0.98	COVAX
OBMCX	+ 0.96	TQSMX
COVAX	+ 0.96	TQSMX
DISSX	+ 0.94	OBMCX
COVAX	+ 0.92	OBMCX

High negative correlations

ESMAX	- 0.65	OBMCX
ESMAX	- 0.6	TQSMX
COVAX	- 0.56	ESMAX
DISSX	- 0.51	ESMAX
ESMAX	- 0.19	DHMIX
PHSKX	- 0.03	OBMCX

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
CWVGX	0.70	0.07	0.01	(0.31)	0.85	(0.69)	1.33	(1.59)	4.03
TQSMX	0.68	0.09	0.04	(0.31)	0.71	(0.78)	1.74	(1.08)	5.58
DHMIX	0.75	0.03	(0.03)	(0.17)	0.73	(1.01)	2.00	(1.24)	5.82
OBMCX	1.09	0.21	0.11	(0.64)	1.09	(1.22)	2.80	(2.01)	7.97
ESMAX	0.62	(0.07)	0.00	0.49	0.00	0.00	1.20	(1.58)	4.45
COVAX	0.83	0.11	0.05	(0.52)	0.80	(1.00)	1.99	(1.43)	6.48
APHQX	0.66	0.00	(0.07)	0.04	0.72	(0.89)	2.06	(1.08)	4.64
EAALX	0.53	0.03	(0.05)	(0.07)	0.59	(0.56)	1.02	(0.94)	2.83
DISSX	0.84	0.09	0.03	(0.32)	0.87	(1.03)	2.12	(1.38)	6.95
PHSKX	0.73	(0.02)	0.00	0.09	0.00	0.00	1.47	(1.69)	5.74

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