Calvert Capital Correlations

CCPIX Fund

USD 44.80 0.62 1.37%

The current 90-days correlation between Calvert Capital Accu and Calvert Equity Portfolio is 0.06 (i.e., Significant 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

Modest diversification

The correlation between Calvert Capital Accumulation and DJI is 0.29 (i.e., Modest 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 gross domestic product.

Moving together with Calvert Mutual Fund

0.85	CEYIX	Calvert Equity Portfolio	Pair Corr
0.88	CEYRX	Calvert Equity	Pair Corr
0.83	CFAIX	Calvert Conservative	Pair Corr
0.91	CFJIX	Calvert Large Cap	Pair Corr
0.98	CFJAX	Calvert Large Cap	Pair Corr
0.71	CFWCX	Calvert Global Water	Pair Corr
0.76	CFWAX	Calvert Global Water	Pair Corr
0.76	CFWIX	Calvert Global Water	Pair Corr
0.84	CGARX	Calvert Responsible Index	Pair Corr
0.61	CGAFX	Calvert Green Bond	Pair Corr
0.61	CGBIX	Calvert Green Bond	Pair Corr
0.7	CGLIX	Calvert Global Equity	Pair Corr
0.7	CGLAX	Calvert Global Equity	Pair Corr

Related Correlations Analysis

	CEYIX	CISIX	CBDIX	CWVIX	CSVIX
CEYIX		0.03	0.7	0.6	0.49	CEYIX
CISIX	0.03		0.24	-0.31	0.67	CISIX
CBDIX	0.7	0.24		0.72	0.35	CBDIX
CWVIX	0.6	-0.31	0.72		-0.2	CWVIX
CSVIX	0.49	0.67	0.35	-0.2		CSVIX
	CEYIX	CISIX	CBDIX	CWVIX	CSVIX

Click cells to compare fundamentals

Check Volatility

Backtest Portfolio

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

CWVIX	+ 0.72	CBDIX
CBDIX	+ 0.7	CEYIX
CSVIX	+ 0.67	CISIX
CWVIX	+ 0.6	CEYIX
CSVIX	+ 0.49	CEYIX
CSVIX	+ 0.35	CBDIX

High negative correlations

CWVIX	- 0.31	CISIX
CSVIX	- 0.2	CWVIX

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
CEYIX	0.62	(0.12)	0.00	(1.59)	0.00	0.00	0.83	(1.34)	7.98
CISIX	0.59	0.03	0.03	0.03	0.83	(0.64)	1.14	(1.15)	5.97
CBDIX	0.22	(0.05)	0.00	(0.85)	0.00	0.00	0.35	(0.62)	1.53
CWVIX	0.61	(0.12)	0.00	(1.42)	0.00	0.00	0.91	(1.79)	3.60
CSVIX	0.78	0.01	0.02	0.08	0.96	(0.91)	1.48	(1.41)	9.12

Macroaxis helps investors of all levels and skills to maximize the upside of all their holdings and minimize the risk associated with market volatility, economic swings, and company-specific events. View terms and conditions

Feedback Blog

Made with optimal in San Francisco

2024 Macroaxis LLC