Calvert Emerging Correlations

Mutual Funds . USA . 
Fund . Calvert Emerging Markets
CMERX Fund  USD 11.84  0.18  1.50%   
The current 90-days correlation between Calvert Emerging Markets and Calvert Developed Market is 0.62 (i.e., 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

Very weak diversification

The correlation between Calvert Emerging Markets and DJI is 0.46 (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 metropolitan statistical area.

Moving together with Calvert Mutual Fund

  0.95CDHIX Calvert Developed MarketPairCorr
  0.95CDHAX Calvert Developed MarketPairCorr
  0.79CDICX Calvert Short DurationPairCorr
  0.95CDHRX Calvert InternationalPairCorr
  0.81CDSRX Calvert Short DurationPairCorr
  0.8CDSIX Calvert Short DurationPairCorr
  0.94CVMAX Calvert Emerging MarketsPairCorr
  0.94CVMRX Calvert Emerging MarketsPairCorr
  0.94CVMIX Calvert Emerging MarketsPairCorr
  0.94CVMCX Calvert Emerging MarketsPairCorr
  0.89CEFAX Calvert Emerging MarketsPairCorr
  0.88CEFIX Congressional EffectPairCorr
  1.0CEMCX Calvert Emerging MarketsPairCorr
  1.0CEMAX Calvert Emerging MarketsPairCorr
  0.93CEYIX Calvert Equity PortfolioPairCorr
  0.93CEYRX Calvert EquityPairCorr
  0.92CFAIX Calvert ConservativePairCorr
  0.95CWVIX Calvert InternationalPairCorr
  0.95CWVGX Calvert InternationalPairCorr
  0.94CWVCX Calvert InternationalPairCorr
  0.86CFICX Calvert IncomePairCorr
  0.89CFJIX Calvert Large CapPairCorr
  0.89CFJAX Calvert Large CapPairCorr
  0.87CFOIX Calvert Floating RatePairCorr
  0.87CFOAX Calvert Floating RatePairCorr
  0.94CFWCX Calvert Global WaterPairCorr
  0.94CFWAX Calvert Global WaterPairCorr
  0.94CFWIX Calvert Global WaterPairCorr
  0.93CGARX Calvert Responsible IndexPairCorr
  0.9CGAEX Calvert Global EnergyPairCorr
  0.68CGAFX Calvert Green BondPairCorr
  0.9CGACX Calvert Global EnergyPairCorr
  0.69CGBIX Calvert Green BondPairCorr
  0.91CGJAX Calvert Large CapPairCorr
  0.91CGJIX Calvert Large CapPairCorr
  0.93CGLIX Calvert Global EquityPairCorr
  0.93CGLAX Calvert Global EquityPairCorr
  0.93CYBAX Calvert High YieldPairCorr
  0.93CYBRX Calvert High YieldPairCorr
  0.93CYBIX Calvert High YieldPairCorr

Related Correlations Analysis

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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 DeviationJensen AlphaSortino RatioTreynor RatioSemi DeviationExpected ShortfallPotential UpsideValue @RiskMaximum Drawdown
CDHIX  0.53  0.14  0.10  0.44  0.35 
(0.59)
 1.30 
(1.00)
 3.42 
CDHAX  0.53  0.14  0.10  0.45  0.33 
(0.59)
 1.29 
(1.01)
 3.38 
CDICX  0.10  0.02 (0.90)(2.45) 0.00 
(0.13)
 0.26 
(0.19)
 0.58 
CDHRX  0.53  0.14  0.10  0.45  0.33 
(0.59)
 1.30 
(1.00)
 3.40 
CDSRX  0.10  0.02 (0.80) 3.64  0.00 
(0.16)
 0.26 
(0.19)
 0.77 
CDSIX  0.10  0.02 (0.79) 7.62  0.00 
(0.16)
 0.26 
(0.19)
 0.77 
CVMAX  0.58  0.20  0.18  0.54  0.19 
(0.70)
 1.94 
(1.21)
 4.79 
CVMRX  0.57  0.20  0.17  0.54  0.18 
(0.71)
 1.87 
(1.15)
 4.80 
CVMIX  0.57  0.20  0.17  0.54  0.15 
(0.66)
 1.86 
(1.20)
 4.84 
CVMCX  0.57  0.19  0.17  0.53  0.22 
(0.71)
 1.90 
(1.21)
 4.77 

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