Calvert Equity Correlations
| CEYRX Fund | USD 103.10 0.11 0.11% |
The current 90-days correlation between Calvert Equity and Victory Sycamore Small is 0.63 (i.e., Poor 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 Fund 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 Fund and DJI in the same portfolio, assuming nothing else is changed.
Calvert |
Moving together with Calvert Mutual Fund
| 0.82 | CEYIX | Calvert Equity Portfolio | PairCorr |
| 0.71 | CFAIX | Calvert Conservative | PairCorr |
| 0.79 | CGARX | Calvert Responsible Index | PairCorr |
| 0.72 | CGLIX | Calvert Global Equity | PairCorr |
| 0.72 | CGLAX | Calvert Global Equity | PairCorr |
Related Correlations Analysis
| 0.83 | 0.86 | 0.36 | 0.95 | VSORX | ||
| 0.83 | 0.88 | 0.45 | 0.94 | BAFWX | ||
| 0.86 | 0.88 | 0.62 | 0.92 | VEVRX | ||
| 0.36 | 0.45 | 0.62 | 0.42 | CEYIX | ||
| 0.95 | 0.94 | 0.92 | 0.42 | WIGRX | ||
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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 | ||
|---|---|---|---|---|---|---|---|---|---|---|
| VSORX | 0.84 | (0.03) | 0.01 | 0.10 | 0.74 | 1.78 | 7.38 | |||
| BAFWX | 0.72 | (0.02) | (0.02) | 0.10 | 0.96 | 1.66 | 5.09 | |||
| VEVRX | 0.57 | (0.02) | (0.07) | 0.10 | 0.58 | 1.18 | 3.51 | |||
| CEYIX | 0.49 | 0.02 | (0.16) | 1.42 | 0.61 | 0.91 | 2.95 | |||
| WIGRX | 0.82 | 0.05 | 0.09 | 0.17 | 0.79 | 1.99 | 6.18 |