Emerging Markets Correlations

AECSX Fund

USD 14.85 0.08 0.54%

The current 90-days correlation between Emerging Markets Small and Mid Cap Value is 0.43 (i.e., Very weak diversification). The correlation of Emerging Markets 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.

Emerging Markets Correlation With Market

Very weak diversification

The correlation between Emerging Markets Small and DJI is 0.53 (i.e., Very weak diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Emerging Markets Small 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 Emerging Markets Small. 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 state.

Moving together with Emerging Mutual Fund

0.64	CDBCX	Diversified Bond	Pair Corr
0.69	AMKIX	Emerging Markets	Pair Corr
0.7	TWACX	Short Term Government	Pair Corr
0.65	TWARX	Short Term Government	Pair Corr
0.66	TWAVX	Short Term Government	Pair Corr
0.91	TWGAX	International Growth	Pair Corr
0.92	TWIEX	International Growth	Pair Corr
0.61	TWMIX	Emerging Markets	Pair Corr
0.68	TWUSX	Short Term Government	Pair Corr
0.67	TWUOX	Short Term Government	Pair Corr

Moving against Emerging Mutual Fund

0.41	AMEIX	Equity Growth	Pair Corr
0.37	TWADX	Value Fund A	Pair Corr
0.35	AMDVX	Mid Cap Value	Pair Corr
0.35	AMGIX	Income Growth	Pair Corr
0.35	AMVYX	Mid Cap Value	Pair Corr
0.35	AMVGX	Mid Cap Value	Pair Corr
0.34	TWCCX	Ultra Fund C	Pair Corr
0.34	TWCIX	Select Fund Investor	Pair Corr
0.34	AMVRX	Mid Cap Value	Pair Corr
0.33	TWCGX	Growth Fund Investor	Pair Corr
0.5	TWHIX	Heritage Fund Investor	Pair Corr
0.41	TWCUX	Ultra Fund Investor	Pair Corr
0.33	TWEAX	Equity Income	Pair Corr
0.42	TWVLX	Value Fund Investor	Pair Corr
0.35	TWUAX	Ultra Fund A	Pair Corr
0.35	TWUIX	Ultra Fund I	Pair Corr
0.33	ANOHX	American Century Small	Pair Corr
0.32	ANORX	Small Cap Growth	Pair Corr
0.32	ANONX	Small Cap Growth	Pair Corr

Related Correlations Analysis

	AMDVX	AMEIX	AMGIX	CDBCX	AMKIX	TWACX	TWADX	TWCCX	TWCAX	TWCIX
AMDVX		0.8	0.91	-0.49	-0.07	-0.51	0.95	0.78	0.75	0.72	AMDVX
AMEIX	0.8		0.93	-0.8	0.17	-0.74	0.9	0.95	0.94	0.98	AMEIX
AMGIX	0.91	0.93		-0.7	0.13	-0.68	0.97	0.92	0.91	0.88	AMGIX
CDBCX	-0.49	-0.8	-0.7		-0.01	0.95	-0.67	-0.79	-0.76	-0.78	CDBCX
AMKIX	-0.07	0.17	0.13	-0.01		0.14	0.08	0.24	0.31	0.24	AMKIX
TWACX	-0.51	-0.74	-0.68	0.95	0.14		-0.66	-0.73	-0.69	-0.72	TWACX
TWADX	0.95	0.9	0.97	-0.67	0.08	-0.66		0.87	0.86	0.84	TWADX
TWCCX	0.78	0.95	0.92	-0.79	0.24	-0.73	0.87		0.99	0.94	TWCCX
TWCAX	0.75	0.94	0.91	-0.76	0.31	-0.69	0.86	0.99		0.94	TWCAX
TWCIX	0.72	0.98	0.88	-0.78	0.24	-0.72	0.84	0.94	0.94		TWCIX
	AMDVX	AMEIX	AMGIX	CDBCX	AMKIX	TWACX	TWADX	TWCCX	TWCAX	TWCIX

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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

TWCAX	+ 0.99	TWCCX
TWCIX	+ 0.98	AMEIX
TWADX	+ 0.97	AMGIX
TWADX	+ 0.95	AMDVX
TWCCX	+ 0.95	AMEIX
TWACX	+ 0.95	CDBCX

High negative correlations

CDBCX	- 0.8	AMEIX
TWCCX	- 0.79	CDBCX
TWCIX	- 0.78	CDBCX
TWCAX	- 0.76	CDBCX
TWACX	- 0.74	AMEIX
TWCCX	- 0.73	TWACX

Risk-Adjusted Indicators

There is a big difference between Emerging Mutual Fund performing well and Emerging Markets 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 Emerging Markets' 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
AMDVX	0.53	(0.01)	(0.09)	0.11	0.42	(0.63)	0.89	(0.82)	3.22
AMEIX	0.56	0.10	(0.03)	(6.78)	0.69	(0.61)	1.12	(1.55)	3.88
AMGIX	0.54	(0.01)	(0.05)	0.12	0.43	(0.61)	1.15	(0.89)	3.48
CDBCX	0.24	(0.02)	0.00	0.39	0.00	0.00	0.43	(0.55)	1.28
AMKIX	0.75	(0.08)	0.00	(0.04)	0.00	0.00	1.51	(1.86)	4.82
TWACX	0.08	(0.01)	(0.86)	0.43	0.10	(0.14)	0.11	(0.11)	0.78
TWADX	0.48	(0.01)	(0.11)	0.11	0.39	(0.56)	0.94	(0.70)	2.91
TWCCX	0.75	0.00	(0.01)	0.13	1.14	(0.71)	1.69	(2.23)	5.13
TWCAX	0.70	(0.01)	(0.02)	0.11	1.04	(0.65)	1.70	(2.20)	5.36
TWCIX	0.71	0.08	(0.04)	(1.12)	1.07	(0.65)	1.70	(2.20)	5.37

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