Emerging Markets Correlations

EMRCX Fund

USD 12.34 0.17 1.40%

The current 90-days correlation between Emerging Markets and Fidelity Managed Retirement is 0.85 (i.e., Very poor diversification). The correlation of Emerging Markets 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.

Emerging Markets Correlation With Market

Poor diversification

The correlation between Emerging Markets Fund and DJI is 0.72 (i.e., Poor diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Emerging Markets Fund and DJI in the same portfolio, assuming nothing else is changed.

Check out Investing Opportunities to better understand how to build diversified portfolios, which includes a position in Emerging Markets Fund. 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 main economic indicators.

Moving together with Emerging Mutual Fund

1.0	EMRIX	Emerging Markets	Pair Corr
1.0	EMRZX	Vaneck Emerging Markets	Pair Corr
1.0	EMRYX	Emerging Markets	Pair Corr
0.77	GHAIX	Global Hard Assets	Pair Corr
0.77	GHAYX	Global Hard Assets	Pair Corr
0.78	GHACX	Global Hard Assets	Pair Corr
0.7	CMCAX	Cm Modity Index	Pair Corr
0.7	CMCYX	Cm Modity Index	Pair Corr
0.7	COMIX	Cm Modity Index	Pair Corr
0.85	VEMAX	Vanguard Emerging Markets	Pair Corr
0.86	VEIEX	Vanguard Emerging Markets	Pair Corr
0.83	VEMIX	Vanguard Emerging Markets	Pair Corr
0.86	VEMRX	Vanguard Emerging Markets	Pair Corr
0.78	FWWNX	American Funds New	Pair Corr
0.78	FNFWX	American Funds New	Pair Corr
0.84	NEWFX	New World Fund	Pair Corr
0.84	NWFFX	New World Fund	Pair Corr
0.85	NEWCX	New World Fund	Pair Corr
0.91	ODVYX	Oppenheimer Developing	Pair Corr
0.9	CII	Blackrock Enhanced	Pair Corr
0.71	ETV	Eaton Vance Tax	Pair Corr

Moving against Emerging Mutual Fund

0.54	FRFXX	Money Market Obligations	Pair Corr
0.37	DPG	Duff And Phelps	Pair Corr
0.35	AVEFX	Ave Maria Bond	Pair Corr
0.33	IBM	International Business Sell-off Trend	Pair Corr

Related Correlations Analysis

	FHRVX	SAMAX	BIMPX	CMACX	BAMPX	TDIFX	URFRX
FHRVX		0.81	0.93	0.92	0.96	0.99	0.79	FHRVX
SAMAX	0.81		0.79	0.85	0.84	0.78	0.88	SAMAX
BIMPX	0.93	0.79		0.95	0.93	0.91	0.87	BIMPX
CMACX	0.92	0.85	0.95		0.91	0.91	0.94	CMACX
BAMPX	0.96	0.84	0.93	0.91		0.93	0.83	BAMPX
TDIFX	0.99	0.78	0.91	0.91	0.93		0.76	TDIFX
URFRX	0.79	0.88	0.87	0.94	0.83	0.76		URFRX
	FHRVX	SAMAX	BIMPX	CMACX	BAMPX	TDIFX	URFRX

Click cells to compare fundamentals

Check Volatility

Backtest Portfolio

Risk-Adjusted Indicators

There is a big difference between Emerging Mutual Fund performing well and Emerging Markets 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 Emerging Markets' 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
FHRVX	0.31	0.02	(0.14)	0.17	0.22	(0.35)	0.75	(0.55)	1.76
SAMAX	0.50	(0.04)	(0.08)	0.06	0.77	(0.55)	1.04	(1.18)	4.12
BIMPX	0.38	0.05	(0.12)	1.13	0.35	(0.49)	1.01	(0.62)	2.49
CMACX	0.44	0.06	(0.08)	15.53	0.50	(0.49)	0.95	(0.92)	2.74
BAMPX	0.38	0.02	(0.13)	0.19	0.37	(0.50)	1.02	(0.69)	2.60
TDIFX	0.19	0.02	(0.25)	0.21	0.00	(0.25)	0.44	(0.35)	1.14
URFRX	0.50	0.05	(0.07)	1.08	0.65	(0.60)	1.06	(1.37)	3.39

Macroaxis helps investors of all levels and skills to maximize the upside of all their holdings and minimize the risk associated with market volatility, economic swings, and company-specific events. View terms and conditions

Feedback Blog

Made with optimal in San Francisco

2024 Macroaxis LLC