Calvert International Correlations

COIIX Fund

USD 16.47 0.03 0.18%

The current 90-days correlation between Calvert International and Aqr Risk Parity is 0.24 (i.e., Modest 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

Weak diversification

The correlation between Calvert International Opportun and DJI is 0.37 (i.e., Weak diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Calvert International Opportun 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 Opportunities. 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	CDHIX	Calvert Developed Market	Pair Corr
0.9	CDHAX	Calvert Developed Market	Pair Corr
0.89	CDHRX	Calvert International	Pair Corr
0.79	CVMAX	Calvert Emerging Markets	Pair Corr
0.72	CVMRX	Calvert Emerging Markets	Pair Corr
0.79	CVMIX	Calvert Emerging Markets	Pair Corr
0.79	CVMCX	Calvert Emerging Markets	Pair Corr
0.79	CEMCX	Calvert Emerging Markets	Pair Corr
0.81	CEMAX	Calvert Emerging Markets	Pair Corr
0.81	CEYIX	Calvert Equity Portfolio	Pair Corr
0.81	CEYRX	Calvert Equity	Pair Corr
0.79	CFAIX	Calvert Conservative	Pair Corr
0.83	CWVIX	Calvert International	Pair Corr
0.83	CWVGX	Calvert International	Pair Corr
0.84	CWVCX	Calvert International	Pair Corr
0.76	CFICX	Calvert Income	Pair Corr
0.69	CFJIX	Calvert Large Cap	Pair Corr
0.7	CFJAX	Calvert Large Cap	Pair Corr
0.85	CFWCX	Calvert Global Water	Pair Corr
0.86	CFWAX	Calvert Global Water	Pair Corr
0.86	CFWIX	Calvert Global Water	Pair Corr
0.81	CGARX	Calvert Responsible Index	Pair Corr
0.88	CGAEX	Calvert Global Energy	Pair Corr
0.92	CGAFX	Calvert Green Bond	Pair Corr
0.87	CGACX	Calvert Global Energy	Pair Corr
0.92	CGBIX	Calvert Green Bond	Pair Corr
0.67	CGLIX	Calvert Global Equity	Pair Corr
0.78	CGLAX	Calvert Global Equity	Pair Corr

Moving against Calvert Mutual Fund

0.54	CFOAX	Calvert Floating Rate	Pair Corr
0.52	CFOIX	Calvert Floating Rate	Pair Corr

Related Correlations Analysis

	AQRRX	MFHVX	NEAIX	FYAIX	MWHIX	TAHFX
AQRRX		0.73	0.87	0.77	0.74	0.79	AQRRX
MFHVX	0.73		0.83	0.67	0.74	0.88	MFHVX
NEAIX	0.87	0.83		0.84	0.76	0.83	NEAIX
FYAIX	0.77	0.67	0.84		0.82	0.78	FYAIX
MWHIX	0.74	0.74	0.76	0.82		0.95	MWHIX
TAHFX	0.79	0.88	0.83	0.78	0.95		TAHFX
	AQRRX	MFHVX	NEAIX	FYAIX	MWHIX	TAHFX

Click cells to compare fundamentals

Check Volatility

Backtest Portfolio

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
AQRRX	0.43	0.02	(0.02)	0.21	0.52	(0.50)	0.93	(0.86)	3.04
MFHVX	0.10	0.02	(0.11)	0.62	0.00	(0.16)	0.24	(0.12)	0.59
NEAIX	1.11	0.07	0.04	0.15	1.15	(1.25)	2.28	(1.60)	8.12
FYAIX	0.20	0.00	(0.12)	0.01	0.27	(0.21)	0.30	(0.37)	1.44
MWHIX	0.11	0.00	(0.22)	(0.05)	0.07	(0.23)	0.54	(0.22)	0.97
TAHFX	0.14	0.01	(0.12)	0.28	0.05	(0.23)	0.37	(0.25)	1.22

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