Calvert Equity Correlations

CSIEX Fund

USD 86.61 0.19 0.22%

The current 90-days correlation between Calvert Equity Portfolio and Calvert Bond Portfolio is 0.06 (i.e., Significant diversification). The correlation of Calvert Equity 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 Equity Correlation With Market

Poor diversification

The correlation between Calvert Equity Portfolio and DJI is 0.75 (i.e., Poor diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Calvert Equity Portfolio 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 Equity Portfolio. 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 income.

Moving together with Calvert Mutual Fund

1.0	CEYIX	Calvert Equity Portfolio	Pair Corr
1.0	CEYRX	Calvert Equity	Pair Corr
0.73	CFAIX	Calvert Conservative	Pair Corr
0.79	CGARX	Calvert Responsible Index	Pair Corr
0.72	CGLIX	Calvert Global Equity	Pair Corr
0.72	CGLAX	Calvert Global Equity	Pair Corr

Related Correlations Analysis

	CSIBX	CWVGX	CCAFX	CSIFX	CSXAX
CSIBX		0.78	-0.49	-0.55	-0.7	CSIBX
CWVGX	0.78		-0.56	-0.47	-0.63	CWVGX
CCAFX	-0.49	-0.56		0.86	0.92	CCAFX
CSIFX	-0.55	-0.47	0.86		0.93	CSIFX
CSXAX	-0.7	-0.63	0.92	0.93		CSXAX
	CSIBX	CWVGX	CCAFX	CSIFX	CSXAX

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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

CSXAX	+ 0.93	CSIFX
CSXAX	+ 0.92	CCAFX
CSIFX	+ 0.86	CCAFX
CWVGX	+ 0.78	CSIBX

High negative correlations

CSXAX	- 0.7	CSIBX
CSXAX	- 0.63	CWVGX
CCAFX	- 0.56	CWVGX
CSIFX	- 0.55	CSIBX
CCAFX	- 0.49	CSIBX
CSIFX	- 0.47	CWVGX

Risk-Adjusted Indicators

There is a big difference between Calvert Mutual Fund performing well and Calvert Equity 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 Equity'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
CSIBX	0.21	(0.02)	0.00	(0.26)	0.00	0.00	0.41	(0.48)	1.16
CWVGX	0.70	(0.13)	0.00	(0.17)	0.00	0.00	1.13	(1.55)	4.54
CCAFX	0.58	0.09	(0.02)	1.36	0.52	(0.66)	1.27	(1.07)	3.39
CSIFX	0.39	0.01	(0.08)	0.13	0.43	(0.43)	0.84	(1.10)	2.73
CSXAX	0.59	0.13	0.01	(42.00)	0.67	(0.66)	1.16	(1.34)	4.16

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