Calvert International Equity Fund’s performance
In this article, we’ll specifically outline the performance of the Calvert International Equity Fund – Class A (CWVGX), which is one of the classes available for retail investors. The fund is invested in stocks of companies like Lloyds Banking Group (LYG), Orange (ORAN), Unilever (UL), GlaxoSmithKline (GSK), and Apple (AAPL), among others.
From a purely NAV (net asset value) return standpoint, the CWVGX had a forgettable showing in both the one-year period until February 29 as well as in 2015 compared to the peer group chosen for this series. When we refer to the peer group, we mean the group of 12 funds chosen for this review. For return comparison, we have chosen two ETFs: the iShares MSCI ACWI ex U.S. ETF (ACWX) and the Vanguard FTSE All-World ex-US ETF (VEU). To evaluate benchmark-related metrics, we’ve chosen ACWX as the benchmark for all funds in this review, as it tracks the MSCI All Country World ex-U.S. Index.
The CWVGX’s standard deviation, or the volatility of returns, in the one-year period until February 29 was 16.0%. This is higher than both the ACWX’s 15.4% and the peer group’s average of 15.7%.
The fund’s risk-adjusted returns, calculated via the Sharpe Ratio, were negative for the one-year period ended February 29. Evaluating a negative Sharpe Ratio may be misleading, so we’ll avoid that. The ratio stood at 0.22 for 2015, placing it sixth among its peers.
The information ratio, calculated with ACWX as the benchmark, was 0.62 for the one-year period ended February 29, placing it ninth among its peers. The information ratio shows the consistency of fund managers and their ability to generate excess returns over a benchmark. The higher the reading, the better the consistency. For 2015, the fund’s information ratio ranked it seventh.
A note to investors
Apart from the information ratio, the CWVGX’s alpha also placed it as a below-average performer. Its alpha ranked it eighth for the one-year period ended February 29 and sixth in 2015. Its ranking in terms of this measure fell YTD in 2016. A comparatively higher volatility does not stand the fund in good stead. However, its extensive exposure to European equities can work for investors who don’t have exposure to stocks from the region, especially if the European Central Bank eases monetary policy further. However, this can only help these stocks in the short term.