Calvert Capital Correlations

CCAFX Fund

USD 36.54 0.02 0.05%

The current 90-days correlation between Calvert Capital Accu and Morningstar Global Income is -0.1 (i.e., Good diversification). The correlation of Calvert Capital 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 Capital Correlation With Market

Very poor diversification

The correlation between Calvert Capital Accumulation and DJI is 0.86 (i.e., Very poor diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Calvert Capital Accumulation 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 Capital Accumulation. 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 census.

Moving together with Calvert Mutual Fund

0.64	CEMCX	Calvert Emerging Markets	Pair Corr
0.94	CEYIX	Calvert Equity Portfolio	Pair Corr
0.95	CEYRX	Calvert Equity	Pair Corr
0.8	CFJIX	Calvert Large Cap	Pair Corr
0.8	CFJAX	Calvert Large Cap	Pair Corr
0.89	CGARX	Calvert Responsible Index	Pair Corr
0.81	CGJAX	Calvert Large Cap	Pair Corr
0.81	CGJIX	Calvert Large Cap	Pair Corr
0.89	CGLIX	Calvert Global Equity	Pair Corr
0.84	CGLAX	Calvert Global Equity	Pair Corr

Moving against Calvert Mutual Fund

0.42	CDSRX	Calvert Short Duration	Pair Corr
0.38	CEFIX	Congressional Effect	Pair Corr
0.37	CEFAX	Calvert Emerging Markets	Pair Corr
0.4	CGAFX	Calvert Green Bond	Pair Corr
0.34	CGBIX	Calvert Green Bond	Pair Corr

Related Correlations Analysis

	MSTGX	LFLCX	MGKAX	WRLDX	BXFIX	ZGFIX	BCGDX
MSTGX		0.98	0.76	0.92	0.67	0.81	0.85	MSTGX
LFLCX	0.98		0.72	0.9	0.69	0.78	0.81	LFLCX
MGKAX	0.76	0.72		0.9	0.72	0.88	0.92	MGKAX
WRLDX	0.92	0.9	0.9		0.71	0.9	0.93	WRLDX
BXFIX	0.67	0.69	0.72	0.71		0.65	0.59	BXFIX
ZGFIX	0.81	0.78	0.88	0.9	0.65		0.88	ZGFIX
BCGDX	0.85	0.81	0.92	0.93	0.59	0.88		BCGDX
	MSTGX	LFLCX	MGKAX	WRLDX	BXFIX	ZGFIX	BCGDX

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Risk-Adjusted Indicators

There is a big difference between Calvert Mutual Fund performing well and Calvert Capital 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 Capital'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
MSTGX	0.30	0.05	0.11	(0.51)	0.33	(0.34)	0.74	(0.62)	1.58
LFLCX	0.17	0.01	0.07	(0.48)	0.12	(0.21)	0.43	(0.33)	0.98
MGKAX	0.82	0.06	0.05	(0.46)	1.12	(0.87)	1.62	(1.64)	4.75
WRLDX	0.59	0.05	0.07	(0.30)	0.76	(0.59)	1.24	(1.46)	2.96
BXFIX	0.08	0.00	0.01	0.04	0.00	(0.26)	0.23	(0.12)	0.93
ZGFIX	0.51	0.05	0.07	0.07	0.65	(0.54)	1.03	(1.12)	3.42
BCGDX	0.64	0.03	0.03	(0.15)	0.93	(0.66)	1.28	(1.27)	3.69

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