Calvert Global Correlations

CGRAX Fund  USD 9.31  0.00  0.00%   
The current 90-days correlation between Calvert Global Real and Calvert Developed Market is 0.17 (i.e., Average diversification). The correlation of Calvert Global 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 Global Correlation With Market

Modest diversification

The correlation between Calvert Global Real and DJI is 0.21 (i.e., Modest diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Calvert Global Real 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 Global Real. 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 nation.

Moving together with Calvert Mutual Fund

  0.75CDICX Calvert Short DurationPairCorr
  0.67CDSIX Calvert Short DurationPairCorr
  0.65CEFAX Calvert Emerging MarketsPairCorr
  0.64CEFIX Congressional EffectPairCorr
  0.71CFICX Calvert IncomePairCorr
  0.71CGAFX Calvert Green BondPairCorr
  0.71CGBIX Calvert Green BondPairCorr
  1.0CGEIX Columbia Select GlobalPairCorr
  1.0CGECX Calvert FundPairCorr

Moving against Calvert Mutual Fund

  0.6CFOIX Calvert Floating RatePairCorr
  0.6CFOAX Calvert Floating RatePairCorr
  0.4CGJIX Calvert Large CapPairCorr
  0.39CGJAX Calvert Large CapPairCorr

Related Correlations Analysis

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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   
CDHAXCDHIX
CDHRXCDHIX
CDHRXCDHAX
CVMRXCVMAX
CVMIXCVMAX
CVMCXCVMAX
  
High negative correlations   
CVMCXCDSRX
CVMIXCDSRX
CVMRXCDSRX
CVMAXCDSRX

Risk-Adjusted Indicators

There is a big difference between Calvert Mutual Fund performing well and Calvert Global 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 Global'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 DeviationJensen AlphaSortino RatioTreynor RatioSemi DeviationExpected ShortfallPotential UpsideValue @RiskMaximum Drawdown
CDHIX  0.64 (0.17) 0.00 (0.41) 0.00 
 1.06 
 5.46 
CDHAX  0.64 (0.17) 0.00 (0.41) 0.00 
 1.07 
 5.28 
CDICX  0.08 (0.02) 0.00 (4.23) 0.00 
 0.13 
 0.58 
CDHRX  0.65 (0.17) 0.00 (0.41) 0.00 
 1.06 
 5.56 
CDSRX  0.09 (0.01) 0.00 (0.79) 0.00 
 0.19 
 0.83 
CDSIX  0.08 (0.02) 0.00 (3.15) 0.00 
 0.19 
 0.64 
CVMAX  0.74 (0.04) 0.00 (0.10) 0.00 
 1.56 
 5.41 
CVMRX  0.74 (0.04) 0.00 (0.11) 0.00 
 1.60 
 5.37 
CVMIX  0.74 (0.04) 0.00 (0.10) 0.00 
 1.60 
 5.46 
CVMCX  0.73 (0.03) 0.00 (0.09) 0.00 
 1.57 
 5.47