Calvert Emerging Correlations

CVMAX Fund

USD 25.23 0.16 0.64%

The current 90-days correlation between Calvert Emerging Markets and Marshfield Centrated Opportunity is 0.04 (i.e., Significant 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 weak diversification

The correlation between Calvert Emerging Markets and DJI is 0.56 (i.e., Very 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

0.99	VEMAX	Vanguard Emerging Markets	Pair Corr
0.99	VEIEX	Vanguard Emerging Markets	Pair Corr
0.99	VEMIX	Vanguard Emerging Markets	Pair Corr
0.99	VEMRX	Vanguard Emerging Markets	Pair Corr
0.94	NEWFX	New World Fund	Pair Corr
0.94	NWFFX	New World Fund	Pair Corr
0.94	NEWCX	New World Fund	Pair Corr
0.94	FWWNX	American Funds New	Pair Corr
0.94	FNFWX	American Funds New	Pair Corr
0.76	GAAGX	Gmo Alternative Allo	Pair Corr
0.71	GPBFX	Gmo E Plus	Pair Corr
0.94	GPMFX	Guidepath Managed Futures	Pair Corr
0.94	PQTAX	Pimco Trends Managed	Pair Corr
0.93	PQTNX	Pimco Trends Managed	Pair Corr
0.93	PQTIX	Aa Pimco Tr	Pair Corr
0.95	WARCX	Wells Fargo Advantage	Pair Corr
0.65	INTC	Intel	Pair Corr
0.72	CVX	Chevron Corp Earnings Call Tomorrow	Pair Corr

Moving against Calvert Mutual Fund

0.47	ODVYX	Oppenheimer Developing	Pair Corr
0.54	TRV	The Travelers Companies	Pair Corr
0.53	VZ	Verizon Communications Earnings Call Tomorrow	Pair Corr
0.36	CSCO	Cisco Systems Aggressive Push	Pair Corr

Related Correlations Analysis

	JOEAX	WAAEX	CDHRX	CDHIX	CDHAX	ETIHX	HAVLX	NEFJX	NEJYX	MRFOX
JOEAX		0.78	0.73	0.96	0.74	0.35	0.71	0.71	0.7	0.62	JOEAX
WAAEX	0.78		0.9	0.86	0.91	0.5	0.89	0.92	0.91	0.77	WAAEX
CDHRX	0.73	0.9		0.79	1.0	0.48	0.89	0.92	0.92	0.78	CDHRX
CDHIX	0.96	0.86	0.79		0.8	0.46	0.81	0.81	0.81	0.72	CDHIX
CDHAX	0.74	0.91	1.0	0.8		0.48	0.9	0.92	0.92	0.78	CDHAX
ETIHX	0.35	0.5	0.48	0.46	0.48		0.75	0.69	0.69	0.82	ETIHX
HAVLX	0.71	0.89	0.89	0.81	0.9	0.75		0.97	0.97	0.93	HAVLX
NEFJX	0.71	0.92	0.92	0.81	0.92	0.69	0.97		1.0	0.89	NEFJX
NEJYX	0.7	0.91	0.92	0.81	0.92	0.69	0.97	1.0		0.89	NEJYX
MRFOX	0.62	0.77	0.78	0.72	0.78	0.82	0.93	0.89	0.89		MRFOX
	JOEAX	WAAEX	CDHRX	CDHIX	CDHAX	ETIHX	HAVLX	NEFJX	NEJYX	MRFOX

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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
JOEAX	0.72	0.20	0.22	0.40	0.46	(0.86)	1.95	(1.22)	3.76
WAAEX	0.87	0.00	0.00	0.05	0.98	(0.98)	2.29	(1.78)	4.74
CDHRX	0.61	0.12	0.12	0.20	0.66	(0.63)	1.31	(1.37)	2.89
CDHIX	0.60	0.10	0.10	0.17	0.63	(0.62)	1.30	(1.37)	2.88
CDHAX	0.61	0.11	0.11	0.20	0.64	(0.63)	1.30	(1.37)	2.92
ETIHX	1.11	0.15	0.09	0.53	1.08	(1.30)	3.22	(1.95)	6.49
HAVLX	0.53	0.04	0.05	0.11	0.53	(0.60)	1.23	(0.95)	3.36
NEFJX	0.75	0.10	0.12	0.15	0.63	(0.94)	2.06	(1.54)	4.63
NEJYX	0.75	0.11	0.13	0.15	0.65	(0.96)	2.06	(1.53)	4.59
MRFOX	0.50	0.07	0.07	0.16	0.40	(0.61)	1.55	(0.83)	3.65

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