Calvert Emerging Correlations

CVMAX Fund

USD 25.91 0.31 1.18%

The current 90-days correlation between Calvert Emerging Markets and Marshfield Centrated Opportunity is -0.15 (i.e., Good 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 0.79 (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

0.97	CDHIX	Calvert Developed Market	Pair Corr
0.98	CDHAX	Calvert Developed Market	Pair Corr
0.92	CDICX	Calvert Short Duration	Pair Corr
0.97	CDHRX	Calvert International	Pair Corr
0.93	CDSRX	Calvert Short Duration	Pair Corr
0.93	CDSIX	Calvert Short Duration	Pair Corr
0.99	CVMRX	Calvert Emerging Markets	Pair Corr
0.99	CVMIX	Calvert Emerging Markets	Pair Corr
0.99	CVMCX	Calvert Emerging Markets	Pair Corr
0.98	CEFAX	Calvert Emerging Markets	Pair Corr
0.94	CEMCX	Calvert Emerging Markets	Pair Corr
0.96	CEMAX	Calvert Emerging Markets	Pair Corr
0.88	CFAIX	Calvert Conservative	Pair Corr
0.8	CWVIX	Calvert International	Pair Corr
0.83	CWVGX	Calvert International	Pair Corr
0.79	CWVCX	Calvert International	Pair Corr
0.91	CFJAX	Calvert Large Cap	Pair Corr
0.95	CFWCX	Calvert Global Water	Pair Corr
0.97	CFWAX	Calvert Global Water	Pair Corr
0.96	CFWIX	Calvert Global Water	Pair Corr
0.88	CGARX	Calvert Responsible Index	Pair Corr
0.98	CGAEX	Calvert Global Energy	Pair Corr
0.89	CGAFX	Calvert Green Bond	Pair Corr
0.97	CGACX	Calvert Global Energy	Pair Corr
0.85	CGLIX	Calvert Global Equity	Pair Corr
0.83	CYBAX	Calvert High Yield	Pair Corr
0.82	CYBRX	Calvert High Yield	Pair Corr
0.8	CIESX	Calvert International	Pair Corr
0.9	CIFCX	Calvert Income	Pair Corr
0.92	CINCX	Calvert Income	Pair Corr
0.91	CIOAX	Calvert International	Pair Corr
0.64	CISIX	Calvert Large Cap	Pair Corr
0.88	CLAIX	Calvert Moderate All	Pair Corr
0.83	CLDIX	Calvert Long Term	Pair Corr

Moving against Calvert Mutual Fund

0.5

CEYIX

Calvert Equity Portfolio

Pair Corr

Related Correlations Analysis

	JOEAX	WAAEX	CDHRX	CDHIX	CDHAX	ETIHX	HAVLX	NEFJX	NEJYX	MRFOX
JOEAX		0.31	0.97	0.97	0.98	-0.09	0.89	0.9	0.9	0.44	JOEAX
WAAEX	0.31		0.36	0.36	0.33	0.51	0.46	0.43	0.46	0.82	WAAEX
CDHRX	0.97	0.36		1.0	0.99	0.03	0.95	0.95	0.95	0.5	CDHRX
CDHIX	0.97	0.36	1.0		0.99	0.03	0.95	0.95	0.95	0.5	CDHIX
CDHAX	0.98	0.33	0.99	0.99		-0.01	0.92	0.95	0.93	0.47	CDHAX
ETIHX	-0.09	0.51	0.03	0.03	-0.01		0.18	0.13	0.14	0.51	ETIHX
HAVLX	0.89	0.46	0.95	0.95	0.92	0.18		0.95	0.98	0.62	HAVLX
NEFJX	0.9	0.43	0.95	0.95	0.95	0.13	0.95		0.97	0.58	NEFJX
NEJYX	0.9	0.46	0.95	0.95	0.93	0.14	0.98	0.97		0.6	NEJYX
MRFOX	0.44	0.82	0.5	0.5	0.47	0.51	0.62	0.58	0.6		MRFOX
	JOEAX	WAAEX	CDHRX	CDHIX	CDHAX	ETIHX	HAVLX	NEFJX	NEJYX	MRFOX

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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

CDHIX	+ 1.0	CDHRX
CDHAX	+ 0.99	CDHRX
CDHAX	+ 0.99	CDHIX
CDHAX	+ 0.98	JOEAX
NEJYX	+ 0.98	HAVLX
CDHRX	+ 0.97	JOEAX

High negative correlations

ETIHX	- 0.09	JOEAX
ETIHX	- 0.01	CDHAX

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
JOEAX	0.73	0.25	0.17	(3.23)	0.53	(0.85)	1.93	(1.41)	3.58
WAAEX	0.89	(0.05)	(0.03)	0.05	1.00	(1.01)	2.46	(1.78)	5.80
CDHRX	0.60	0.18	0.20	0.33	0.38	(0.70)	1.52	(1.20)	3.43
CDHIX	0.60	0.18	0.20	0.33	0.38	(0.70)	1.51	(1.17)	3.42
CDHAX	0.61	0.23	0.15	(1.30)	0.48	(0.68)	1.52	(1.16)	3.45
ETIHX	1.13	0.07	0.02	0.22	1.31	(1.26)	2.69	(2.17)	7.30
HAVLX	0.55	0.05	0.05	0.16	0.44	(0.60)	1.24	(0.95)	3.36
NEFJX	0.80	0.22	0.13	(4.05)	0.59	(0.98)	2.51	(1.49)	4.63
NEJYX	0.81	0.11	0.15	0.19	0.59	(1.03)	2.57	(1.52)	5.02
MRFOX	0.49	(0.01)	(0.08)	0.07	0.51	(0.56)	1.55	(1.00)	3.65

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