Calvert Emerging Correlations

CEMAX Fund

USD 11.98 0.16 1.35%

The current 90-days correlation between Calvert Emerging Markets and Hennessy Bp Energy is 0.44 (i.e., Very weak 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

Weak diversification

The correlation between Calvert Emerging Markets and DJI is 0.35 (i.e., Weak 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

1.0

CEMCX

Calvert Emerging Markets

Pair Corr

Moving against Calvert Mutual Fund

0.74	CWVCX	Calvert International	Pair Corr
0.71	CWVGX	Calvert International	Pair Corr
0.7	CWVIX	Calvert International	Pair Corr
0.64	CEYRX	Calvert Equity	Pair Corr
0.41	CDHIX	Calvert Developed Market	Pair Corr
0.41	CDHAX	Calvert Developed Market	Pair Corr
0.41	CDHRX	Calvert International	Pair Corr
0.38	CEYIX	Calvert Equity Portfolio	Pair Corr
0.34	CFJIX	Calvert Large Cap	Pair Corr
0.7	CIESX	Calvert International	Pair Corr
0.64	CFWCX	Calvert Global Water	Pair Corr
0.61	CFWAX	Calvert Global Water	Pair Corr
0.61	CFWIX	Calvert Global Water	Pair Corr
0.35	CFJAX	Calvert Large Cap	Pair Corr

Related Correlations Analysis

	HNRGX	DNLAX	CAEIX	PSPFX	XGNTX	TMCLX	PEO	ENPSX
HNRGX		0.7	0.35	0.53	0.57	0.55	0.92	0.89	HNRGX
DNLAX	0.7		0.38	0.91	0.97	0.58	0.83	0.49	DNLAX
CAEIX	0.35	0.38		0.37	0.29	-0.13	0.33	0.18	CAEIX
PSPFX	0.53	0.91	0.37		0.95	0.41	0.66	0.24	PSPFX
XGNTX	0.57	0.97	0.29	0.95		0.55	0.7	0.34	XGNTX
TMCLX	0.55	0.58	-0.13	0.41	0.55		0.64	0.67	TMCLX
PEO	0.92	0.83	0.33	0.66	0.7	0.64		0.82	PEO
ENPSX	0.89	0.49	0.18	0.24	0.34	0.67	0.82		ENPSX
	HNRGX	DNLAX	CAEIX	PSPFX	XGNTX	TMCLX	PEO	ENPSX

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

XGNTX	+ 0.97	DNLAX
XGNTX	+ 0.95	PSPFX
PEO	+ 0.92	HNRGX
PSPFX	+ 0.91	DNLAX
ENPSX	+ 0.89	HNRGX
PEO	+ 0.83	DNLAX

High negative correlations

TMCLX

- 0.13

CAEIX

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	Semi Deviation	Expected Shortfall	Potential Upside	Value @Risk	Maximum Drawdown
HNRGX	0.93	0.04	0.02	0.11	1.27	(0.87)	1.76	(1.58)	5.72
DNLAX	1.02	0.08	0.06	0.13	1.28	(1.05)	1.96	(2.29)	5.14
CAEIX	0.75	0.03	0.03	0.09	0.94	(0.76)	1.49	(1.70)	4.41
PSPFX	1.36	0.21	0.13	0.26	1.43	(1.55)	3.28	(3.02)	7.78
XGNTX	0.64	0.05	0.03	0.14	0.78	(0.68)	1.53	(1.41)	3.15
TMCLX	0.62	(0.03)	0.00	(0.04)	0.00	0.00	1.06	(1.39)	3.11
PEO	0.71	0.04	0.01	0.14	0.81	(0.71)	1.39	(1.39)	4.03
ENPSX	1.32	(0.03)	(0.02)	0.02	1.71	(1.35)	2.50	(2.26)	7.36

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