Calvert Emerging Correlations

CEMAX Fund

USD 12.44 0.23 1.82%

The current 90-days correlation between Calvert Emerging Markets and Prudential Government Income is 0.13 (i.e., Average 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

Poor diversification

The correlation between Calvert Emerging Markets and DJI is 0.68 (i.e., 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

0.89	VEMAX	Vanguard Emerging Markets	Pair Corr
0.88	VEIEX	Vanguard Emerging Markets	Pair Corr
0.89	VEMIX	Vanguard Emerging Markets	Pair Corr
0.89	VEMRX	Vanguard Emerging Markets	Pair Corr
0.98	NEWFX	New World Fund	Pair Corr
0.98	NWFFX	New World Fund	Pair Corr
0.98	NEWCX	New World Fund	Pair Corr
0.98	FWWNX	American Funds New	Pair Corr
0.98	FNFWX	American Funds New	Pair Corr
0.88	GAAKX	Gmo Alternative Allo	Pair Corr
0.78	GPBFX	Gmo E Plus	Pair Corr
0.94	GPMFX	Guidepath Managed Futures	Pair Corr
0.95	PQTAX	Pimco Trends Managed	Pair Corr
0.95	PQTNX	Pimco Trends Managed	Pair Corr
0.95	PQTIX	Aa Pimco Tr	Pair Corr
0.87	WARCX	Wells Fargo Advantage	Pair Corr
0.7	CVX	Chevron Corp	Pair Corr
0.63	INTC	Intel Aggressive Push	Pair Corr
0.61	CAT	Caterpillar	Pair Corr
0.79	BA	Boeing	Pair Corr

Moving against Calvert Mutual Fund

0.64	ODVYX	Oppenheimer Developing	Pair Corr
0.47	MMM	3M Company	Pair Corr

Related Correlations Analysis

	DIPXX	UGSFX	DACGX	INGXX	CGTCX	MSGVX	GSDSX	PGIQX
DIPXX		0.0	0.0	0.0	0.0	0.0	0.0	0.0	DIPXX
UGSFX	0.0		0.62	0.0	0.72	0.61	0.7	0.9	UGSFX
DACGX	0.0	0.62		0.0	0.74	0.6	0.66	0.69	DACGX
INGXX	0.0	0.0	0.0		0.0	0.0	0.0	0.0	INGXX
CGTCX	0.0	0.72	0.74	0.0		0.87	0.59	0.65	CGTCX
MSGVX	0.0	0.61	0.6	0.0	0.87		0.3	0.58	MSGVX
GSDSX	0.0	0.7	0.66	0.0	0.59	0.3		0.62	GSDSX
PGIQX	0.0	0.9	0.69	0.0	0.65	0.58	0.62		PGIQX
	DIPXX	UGSFX	DACGX	INGXX	CGTCX	MSGVX	GSDSX	PGIQX

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

PGIQX	+ 0.9	UGSFX
MSGVX	+ 0.87	CGTCX
CGTCX	+ 0.74	DACGX
CGTCX	+ 0.72	UGSFX
GSDSX	+ 0.7	UGSFX
PGIQX	+ 0.69	DACGX

High negative correlations

PGIQX	- 0.0	INGXX
GSDSX	- 0.0	INGXX
MSGVX	- 0.0	INGXX
CGTCX	- 0.0	INGXX
INGXX	- 0.0	DACGX
INGXX	- 0.0	UGSFX

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 Deviation	Jensen Alpha	Sortino Ratio	Treynor Ratio	Expected Shortfall	Potential Upside	Value @Risk	Maximum Drawdown
DIPXX	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00
UGSFX	0.13	(0.01)	0.00	(0.38)	0.00	0.25	(0.25)	0.58
DACGX	0.14	(0.02)	0.00	(0.34)	0.00	0.24	(0.32)	0.64
INGXX	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00
CGTCX	0.13	(0.01)	0.00	(0.26)	0.00	0.25	(0.25)	0.67
MSGVX	0.29	(0.02)	0.00	(0.19)	0.00	0.43	(0.70)	1.84
GSDSX	0.06	0.00	(0.29)	0.13	(0.14)	0.11	(0.11)	0.43
PGIQX	0.15	(0.02)	0.00	(0.35)	0.00	0.25	(0.25)	0.75

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