Calvert Responsible Correlations

CGARX Fund

USD 28.41 0.14 0.50%

The current 90-days correlation between Calvert Responsible Index and Franklin Lifesmart 2050 is 0.97 (i.e., Almost no diversification). The correlation of Calvert Responsible 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 Responsible Correlation With Market

Very poor diversification

The correlation between Calvert Responsible Index and DJI is 0.84 (i.e., Very poor diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Calvert Responsible Index 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 Responsible Index. 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 metropolitan statistical area.

Moving together with Calvert Mutual Fund

0.79	CEYIX	Calvert Equity Portfolio	Pair Corr
0.79	CEYRX	Calvert Equity	Pair Corr
0.84	CFJIX	Calvert Large Cap	Pair Corr
0.84	CFJAX	Calvert Large Cap	Pair Corr
0.87	CGJAX	Calvert Large Cap	Pair Corr
0.87	CGJIX	Calvert Large Cap	Pair Corr
0.69	CYBAX	Calvert High Yield	Pair Corr
0.7	CYBRX	Calvert High Yield	Pair Corr
0.67	CHBCX	Calvert High Yield	Pair Corr
0.87	CISIX	Calvert Large Cap	Pair Corr
0.98	CLAIX	Calvert Moderate All	Pair Corr

Moving against Calvert Mutual Fund

0.35	CGAFX	Calvert Green Bond	Pair Corr
0.35	CGBIX	Calvert Green Bond	Pair Corr
0.37	CLDIX	Calvert Long Term	Pair Corr
0.35	CSIBX	Calvert Bond Portfolio	Pair Corr

Related Correlations Analysis

	FLSOX	PARKX	TRRAX	PASUX	VTARX	QLMAFX	TREHX
FLSOX		0.98	0.92	0.99	0.89	0.95	0.96	FLSOX
PARKX	0.98		0.97	0.99	0.92	0.98	0.99	PARKX
TRRAX	0.92	0.97		0.93	0.89	0.97	0.99	TRRAX
PASUX	0.99	0.99	0.93		0.93	0.97	0.97	PASUX
VTARX	0.89	0.92	0.89	0.93		0.96	0.92	VTARX
QLMAFX	0.95	0.98	0.97	0.97	0.96		0.99	QLMAFX
TREHX	0.96	0.99	0.99	0.97	0.92	0.99		TREHX
	FLSOX	PARKX	TRRAX	PASUX	VTARX	QLMAFX	TREHX

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Risk-Adjusted Indicators

There is a big difference between Calvert Mutual Fund performing well and Calvert Responsible 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 Responsible'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
FLSOX	0.52	(0.04)	(0.10)	0.08	0.63	(0.60)	1.08	(1.18)	3.08
PARKX	0.41	(0.03)	(0.14)	0.08	0.49	(0.44)	0.83	(0.87)	2.42
TRRAX	0.25	(0.02)	(0.26)	0.08	0.29	(0.26)	0.50	(0.50)	1.58
PASUX	0.50	(0.03)	(0.10)	0.08	0.62	(0.55)	0.99	(1.05)	3.06
VTARX	0.36	0.01	(0.11)	0.15	0.41	(0.40)	0.84	(0.84)	2.37
QLMAFX	0.32	(0.01)	(0.17)	0.11	0.36	(0.34)	0.70	(0.77)	1.96
TREHX	0.29	(0.02)	(0.21)	0.08	0.36	(0.30)	0.57	(0.63)	1.84

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