Emerging Markets Correlations

AMKIX Fund

USD 17.65 0.09 0.51%

The current 90-days correlation between Emerging Markets and Hennessy Focus Fund is 0.3 (i.e., 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 poor diversification

The correlation between Emerging Markets Fund and DJI is 0.82 (i.e., Very poor diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Emerging Markets Fund 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 Fund. 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 gross domestic product.

Moving together with Emerging Mutual Fund

0.94	AMDVX	Mid Cap Value	Pair Corr
0.84	AMGIX	Income Growth	Pair Corr
0.76	CDBCX	Diversified Bond	Pair Corr
0.86	TWACX	Short Term Government	Pair Corr
0.94	TWADX	Value Fund A	Pair Corr
0.88	TWARX	Short Term Government	Pair Corr
0.86	TWAVX	Short Term Government	Pair Corr
0.85	AMVYX	Mid Cap Value	Pair Corr
0.85	AMVRX	Mid Cap Value	Pair Corr
0.85	AMVGX	Mid Cap Value	Pair Corr
0.92	TWEAX	Equity Income	Pair Corr
0.93	TWEIX	Equity Income	Pair Corr
0.9	TWGAX	International Growth	Pair Corr
0.92	TWIEX	International Growth	Pair Corr
1.0	TWMIX	Emerging Markets	Pair Corr
0.95	TWTCX	Intermediate Term Tax	Pair Corr
0.95	TWTIX	Intermediate Term Tax	Pair Corr
0.96	TWSCX	Strategic Allocation	Pair Corr
0.97	TWSAX	Strategic Allocation	Pair Corr
0.96	TWSMX	Strategic Allocation	Pair Corr
0.84	TWUSX	Short Term Government	Pair Corr
0.95	TWVLX	Value Fund Investor	Pair Corr
0.89	TWUOX	Short Term Government	Pair Corr
0.95	TWWOX	Intermediate Term Tax	Pair Corr
0.9	NPHIX	High Income Fund	Pair Corr

Moving against Emerging Mutual Fund

0.71	TWCGX	Growth Fund Investor	Pair Corr
0.49	TWCIX	Select Fund Investor	Pair Corr
0.43	TWCAX	Select Fund A	Pair Corr
0.71	TWGIX	Growth Fund I	Pair Corr
0.6	TWCUX	Ultra Fund Investor	Pair Corr
0.48	TWSIX	Select Fund I	Pair Corr
0.59	TWUIX	Ultra Fund I	Pair Corr
0.56	TWUAX	Ultra Fund A	Pair Corr

Related Correlations Analysis

	TEDMX	TDMTX	GCMAX	SMBYX	GEMAX	FGADX	RLITX	LISIX	SEQFX	HFCIX
TEDMX		1.0	0.8	0.77	1.0	0.92	0.82	0.97	0.99	-0.28	TEDMX
TDMTX	1.0		0.79	0.76	1.0	0.91	0.8	0.97	0.99	-0.27	TDMTX
GCMAX	0.8	0.79		0.95	0.81	0.86	0.89	0.86	0.81	-0.56	GCMAX
SMBYX	0.77	0.76	0.95		0.77	0.86	0.87	0.85	0.78	-0.57	SMBYX
GEMAX	1.0	1.0	0.81	0.77		0.91	0.81	0.97	0.99	-0.29	GEMAX
FGADX	0.92	0.91	0.86	0.86	0.91		0.86	0.95	0.93	-0.36	FGADX
RLITX	0.82	0.8	0.89	0.87	0.81	0.86		0.86	0.84	-0.4	RLITX
LISIX	0.97	0.97	0.86	0.85	0.97	0.95	0.86		0.98	-0.36	LISIX
SEQFX	0.99	0.99	0.81	0.78	0.99	0.93	0.84	0.98		-0.29	SEQFX
HFCIX	-0.28	-0.27	-0.56	-0.57	-0.29	-0.36	-0.4	-0.36	-0.29		HFCIX
	TEDMX	TDMTX	GCMAX	SMBYX	GEMAX	FGADX	RLITX	LISIX	SEQFX	HFCIX

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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

TDMTX	+ 1.0	TEDMX
GEMAX	+ 1.0	TEDMX
GEMAX	+ 1.0	TDMTX
SEQFX	+ 0.99	TEDMX
SEQFX	+ 0.99	TDMTX
SEQFX	+ 0.99	GEMAX

High negative correlations

HFCIX	- 0.57	SMBYX
HFCIX	- 0.56	GCMAX
HFCIX	- 0.4	RLITX
HFCIX	- 0.36	LISIX
HFCIX	- 0.36	FGADX
HFCIX	- 0.29	SEQFX

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
TEDMX	0.73	0.37	0.36	(5.23)	0.11	(0.85)	1.99	(1.17)	3.95
TDMTX	0.72	0.35	0.33	(4.89)	0.15	(0.83)	2.00	(1.16)	3.97
GCMAX	0.99	0.49	0.50	(1.58)	0.00	(1.26)	2.08	(1.19)	18.52
SMBYX	0.77	0.14	0.18	0.20	0.54	(0.99)	1.51	(1.09)	10.24
GEMAX	0.69	0.30	0.27	(3.54)	0.29	(0.81)	1.91	(1.26)	4.14
FGADX	2.09	0.77	0.21	1.03	2.75	(2.35)	4.85	(4.58)	16.65
RLITX	1.15	0.60	1.00	0.82	0.00	(1.53)	1.20	(0.95)	34.51
LISIX	0.53	0.13	0.16	0.30	0.29	(0.63)	1.15	(0.95)	2.58
SEQFX	0.63	0.26	0.39	0.54	0.00	(0.83)	1.48	(0.77)	3.67
HFCIX	1.79	(0.46)	0.00	(0.25)	0.00	0.00	2.94	(2.90)	32.61

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