Calvert Emerging Correlations

Mutual Funds . USA . 
Fund . Calvert Emerging Markets
CEFAX Fund  USD 17.66  0.19  1.09%   
The current 90-days correlation between Calvert Emerging Markets and Calvert Emerging Markets is 0.9 (i.e., Almost no diversification). The correlation of Calvert Emerging 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 Emerging Correlation With Market

Very poor diversification

The correlation between Calvert Emerging Markets and DJI is 0.83 (i.e., Very poor diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Calvert Emerging Markets 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 Emerging Markets. 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 nation.

Moving together with Calvert Mutual Fund

  0.98CDHIX Calvert Developed MarketPairCorr
  0.97CDHAX Calvert Developed MarketPairCorr
  0.92CDICX Calvert Short DurationPairCorr
  0.98CDHRX Calvert InternationalPairCorr
  0.93CDSRX Calvert Short DurationPairCorr
  0.93CDSIX Calvert Short DurationPairCorr
  0.98CVMAX Calvert Emerging MarketsPairCorr
  0.99CVMRX Calvert Emerging MarketsPairCorr
  0.99CVMIX Calvert Emerging MarketsPairCorr
  0.99CVMCX Calvert Emerging MarketsPairCorr
  0.99CEFIX Congressional EffectPairCorr
  0.96CEMCX Calvert Emerging MarketsPairCorr
  0.96CEMAX Calvert Emerging MarketsPairCorr
  0.92CFAIX Calvert ConservativePairCorr
  0.84CWVIX Calvert InternationalPairCorr
  0.85CWVGX Calvert InternationalPairCorr
  0.83CWVCX Calvert InternationalPairCorr
  0.9CFICX Calvert IncomePairCorr
  0.94CFJIX Calvert Large CapPairCorr
  0.93CFJAX Calvert Large CapPairCorr
  0.97CFWCX Calvert Global WaterPairCorr
  0.97CFWAX Calvert Global WaterPairCorr
  0.97CFWIX Calvert Global WaterPairCorr
  0.91CGARX Calvert Responsible IndexPairCorr
  0.96CGAEX Calvert Global EnergyPairCorr
  0.86CGAFX Calvert Green BondPairCorr
  0.97CGACX Calvert Global EnergyPairCorr
  0.85CGBIX Calvert Green BondPairCorr
  0.84CGLIX Calvert Global EquityPairCorr
  0.86CGLAX Calvert Global EquityPairCorr
  0.85CYBAX Calvert High YieldPairCorr
  0.84CYBRX Calvert High YieldPairCorr
  0.84CYBIX Calvert High YieldPairCorr
  0.82CHBCX Calvert High YieldPairCorr

Moving against Calvert Mutual Fund

  0.51CEYIX Calvert Equity PortfolioPairCorr

Related Correlations Analysis


Risk-Adjusted Indicators

There is a big difference between Calvert Mutual Fund performing well and Calvert Emerging 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 Emerging'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 DeviationJensen AlphaSortino RatioTreynor RatioSemi DeviationExpected ShortfallPotential UpsideValue @RiskMaximum Drawdown
CDHIX  0.58  0.21  0.24  0.40  0.13 
(0.69)
 1.51 
(1.03)
 3.42 
CDHAX  0.60  0.28  0.19 (1.52) 0.37 
(0.69)
 1.52 
(1.16)
 3.45 
CDICX  0.06  0.01 (1.27) 0.33  0.00 
(0.11)
 0.13 
(0.06)
 0.38 
CDHRX  0.58  0.21  0.24  0.40  0.14 
(0.69)
 1.52 
(1.03)
 3.43 
CDSRX  0.07  0.02 (1.27)(0.71) 0.00 
(0.12)
 0.19 
(0.06)
 0.51 
CDSIX  0.07  0.02 (1.35)(0.62) 0.00 
(0.12)
 0.19 
(0.06)
 0.57 
CVMAX  0.75  0.31  0.22 (2.26) 0.37 
(0.88)
 2.01 
(1.18)
 4.25 
CVMRX  0.73  0.23  0.25  0.47  0.26 
(0.88)
 1.97 
(1.16)
 4.27 
CVMIX  0.74  0.23  0.25  0.46  0.28 
(0.91)
 1.99 
(1.19)
 4.30 
CVMCX  0.74  0.23  0.25  0.45  0.30 
(0.93)
 1.97 
(1.15)
 4.29 

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