Calvert Emerging Correlations

CEMAX Fund

USD 11.83 0.12 1.00%

The current 90-days correlation between Calvert Emerging Markets and Principal Lifetime Hybrid is -0.29 (i.e., Very 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 0.73 (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

0.98	CDHIX	Calvert Developed Market	Pair Corr
0.77	CDICX	Calvert Short Duration	Pair Corr
0.98	CVMRX	Calvert Emerging Markets	Pair Corr
0.98	CVMCX	Calvert Emerging Markets	Pair Corr
0.96	CEFIX	Congressional Effect	Pair Corr
0.96	CEYIX	Calvert Equity Portfolio	Pair Corr
0.97	CWVCX	Calvert International	Pair Corr
0.94	CGAEX	Calvert Global Energy	Pair Corr
0.94	CGLAX	Calvert Global Equity	Pair Corr
0.97	CYBAX	Calvert High Yield	Pair Corr
0.98	CYBIX	Calvert High Yield	Pair Corr
0.96	CIESX	Calvert International	Pair Corr
0.81	CIFCX	Calvert Income	Pair Corr
0.94	CMACX	Calvert Moderate All	Pair Corr
0.94	CMAAX	Calvert Moderate All	Pair Corr
0.98	CMERX	Calvert Emerging Markets	Pair Corr
0.88	CMPAX	Calvert Smallmid Cap	Pair Corr
0.97	COIIX	Calvert International	Pair Corr
0.96	CAARX	Calvert Conservative	Pair Corr
0.96	CAEIX	Calvert Global Energy	Pair Corr
0.93	CSIEX	Calvert Equity Portfolio	Pair Corr
0.94	CSXCX	Calvert Large Cap	Pair Corr
0.92	CSXAX	Calvert Large Cap	Pair Corr
0.98	VEMAX	Vanguard Emerging Markets	Pair Corr
0.98	VEIEX	Vanguard Emerging Markets	Pair Corr
0.98	VEMIX	Vanguard Emerging Markets	Pair Corr
0.98	VEMRX	Vanguard Emerging Markets	Pair Corr
0.97	FWWNX	American Funds New	Pair Corr
0.97	FNFWX	American Funds New	Pair Corr
0.96	NEWFX	New World Fund	Pair Corr
0.97	NWFFX	New World Fund	Pair Corr
0.96	NEWCX	New World Fund	Pair Corr
0.98	ODVYX	Oppenheimer Developing	Pair Corr
0.9	PFN	Pimco Income Strategy	Pair Corr
0.95	CIF	Mfs Intermediate High	Pair Corr

Related Correlations Analysis

	PLMTX	PLAAX	MSTSX	PBLIX	LSAIX	TRBCX	LSAAX
PLMTX		1.0	1.0	1.0	-0.02	0.99	-0.02	PLMTX
PLAAX	1.0		0.99	1.0	-0.01	1.0	-0.01	PLAAX
MSTSX	1.0	0.99		1.0	-0.03	0.99	-0.02	MSTSX
PBLIX	1.0	1.0	1.0		-0.04	0.99	-0.03	PBLIX
LSAIX	-0.02	-0.01	-0.03	-0.04		0.03	1.0	LSAIX
TRBCX	0.99	1.0	0.99	0.99	0.03		0.03	TRBCX
LSAAX	-0.02	-0.01	-0.02	-0.03	1.0	0.03		LSAAX
	PLMTX	PLAAX	MSTSX	PBLIX	LSAIX	TRBCX	LSAAX

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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

PLAAX	+ 1.0	PLMTX
MSTSX	+ 1.0	PLMTX
PBLIX	+ 1.0	PLMTX
PBLIX	+ 1.0	PLAAX
TRBCX	+ 1.0	PLAAX
PBLIX	+ 1.0	MSTSX

High negative correlations

LSAIX	- 0.04	PBLIX
LSAAX	- 0.03	PBLIX
LSAIX	- 0.03	MSTSX
LSAAX	- 0.02	MSTSX
LSAAX	- 0.02	PLMTX
LSAIX	- 0.02	PLMTX

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
PLMTX	0.63	0.30	0.00	(0.92)	0.53	(0.69)	1.53	(1.27)	8.89
PLAAX	0.88	0.41	0.07	(0.86)	0.71	(0.99)	2.02	(1.46)	12.85
MSTSX	0.70	0.34	0.03	(0.83)	0.54	(0.81)	1.87	(1.48)	10.06
PBLIX	0.70	0.36	0.05	(0.95)	0.49	(0.81)	1.90	(1.38)	10.31
LSAIX	0.31	0.14	(0.22)	(4.90)	0.00	(0.41)	1.01	(0.54)	2.50
TRBCX	1.13	0.53	0.14	(1.01)	0.94	(1.34)	2.83	(1.56)	16.05
LSAAX	0.32	0.14	(0.22)	(4.81)	0.00	(0.41)	1.01	(0.63)	2.49

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