Calvert Emerging Correlations

CVMAX Fund

USD 17.52 0.02 0.11%

The current 90-days correlation between Calvert Emerging Markets and Calvert Developed Market is 0.8 (i.e., Very poor 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 0.36 (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

0.95	CVMRX	Calvert Emerging Markets	Pair Corr
1.0	CVMIX	Calvert Emerging Markets	Pair Corr
1.0	CVMCX	Calvert Emerging Markets	Pair Corr
0.76	CFWCX	Calvert Global Water	Pair Corr
0.77	CFWAX	Calvert Global Water	Pair Corr
0.77	CFWIX	Calvert Global Water	Pair Corr
0.61	CGARX	Calvert Responsible Index	Pair Corr
0.77	CGAEX	Calvert Global Energy	Pair Corr
0.74	CGACX	Calvert Global Energy	Pair Corr
0.68	CGLIX	Calvert Global Equity	Pair Corr
0.68	CGLAX	Calvert Global Equity	Pair Corr

Related Correlations Analysis

	CDHIX	CDHAX	CDICX	CDHRX	CDSRX	CDSIX	CVMAX	CVMRX	CVMIX	CVMCX
CDHIX		1.0	0.46	1.0	0.24	0.23	0.42	0.29	0.41	0.43	CDHIX
CDHAX	1.0		0.46	1.0	0.23	0.23	0.41	0.28	0.41	0.42	CDHAX
CDICX	0.46	0.46		0.46	0.88	0.88	0.16	0.06	0.16	0.17	CDICX
CDHRX	1.0	1.0	0.46		0.23	0.23	0.42	0.29	0.41	0.43	CDHRX
CDSRX	0.24	0.23	0.88	0.23		1.0	0.31	0.23	0.31	0.31	CDSRX
CDSIX	0.23	0.23	0.88	0.23	1.0		0.32	0.24	0.32	0.32	CDSIX
CVMAX	0.42	0.41	0.16	0.42	0.31	0.32		0.95	1.0	1.0	CVMAX
CVMRX	0.29	0.28	0.06	0.29	0.23	0.24	0.95		0.95	0.95	CVMRX
CVMIX	0.41	0.41	0.16	0.41	0.31	0.32	1.0	0.95		1.0	CVMIX
CVMCX	0.43	0.42	0.17	0.43	0.31	0.32	1.0	0.95	1.0		CVMCX
	CDHIX	CDHAX	CDICX	CDHRX	CDSRX	CDSIX	CVMAX	CVMRX	CVMIX	CVMCX

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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
CDHIX	0.68	(0.12)	0.00	(0.09)	0.00	0.00	1.41	(1.34)	3.93
CDHAX	0.68	(0.12)	0.00	(0.09)	0.00	0.00	1.43	(1.33)	3.93
CDICX	0.09	0.00	(0.98)	0.32	0.07	(0.12)	0.19	(0.13)	0.64
CDHRX	0.68	(0.12)	0.00	(0.09)	0.00	0.00	1.41	(1.35)	3.94
CDSRX	0.10	0.00	(1.02)	0.30	0.04	(0.13)	0.19	(0.13)	0.76
CDSIX	0.09	0.00	(1.02)	0.24	0.03	(0.12)	0.19	(0.13)	0.76
CVMAX	0.80	(0.05)	(0.10)	0.03	0.98	(0.85)	1.60	(1.78)	5.41
CVMRX	0.82	0.01	(0.12)	0.04	0.99	(0.87)	1.64	(1.82)	5.37
CVMIX	0.80	(0.05)	(0.11)	0.03	0.97	(0.85)	1.63	(1.76)	5.46
CVMCX	0.80	(0.05)	(0.11)	0.02	0.98	(0.84)	1.61	(1.80)	5.47

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Calvert Emerging Correlations

Calvert Emerging Correlation With Market

Weak diversification

Moving together with Calvert Mutual Fund

Related Correlations Analysis

Risk-Adjusted Indicators

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