Emerging Markets Correlations

Mutual Funds . USA . 
Fund . Emerging Markets Portfolio
SNEMX Fund  USD 33.08  1.11  3.25%   
The current 90-days correlation between Emerging Markets Por and Ab Global E is 0.02 (i.e., Significant 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

Very weak diversification

The correlation between Emerging Markets Portfolio and DJI is 0.49 (i.e., Very weak diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Emerging Markets Portfolio and DJI in the same portfolio, assuming nothing else is changed.
  
Check out World Market Map to better understand how to build diversified portfolios, which includes a position in Emerging Markets Portfolio. 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 industry.

Moving together with Emerging Mutual Fund

  0.62GCEAX Ab Global EPairCorr
  0.66GCECX Ab Global EPairCorr
  0.71GCEYX Ab Global EPairCorr
  0.96AMTAX Ab All MarketPairCorr
  0.96AMTZX Ab All MarketPairCorr
  0.96AMTYX Ab All MarketPairCorr
  0.96AMTOX Ab All MarketPairCorr
  0.81ANAZX Ab Global BondPairCorr
  0.82ANAYX Ab Global BondPairCorr
  0.74ANAGX Ab Global BondPairCorr
  0.81ANAIX Ab Global BondPairCorr
  0.76ANACX Ab Global BondPairCorr
  0.75ANBIX Ab Bond InflationPairCorr
  0.94ANIAX New York MunicipalPairCorr
  0.94ANIYX New York MunicipalPairCorr
  0.92ANMCX New York MunicipalPairCorr
  0.92ANYCX Ab New YorkPairCorr
  0.96STEYX International StrategicPairCorr
  0.96STEZX International StrategicPairCorr
  0.96STESX International StrategicPairCorr
  0.88STHAX Ab Sustainable ThematicPairCorr
  0.85STHYX Ab Sustainable ThematicPairCorr
  0.61SCAVX Ab Small CapPairCorr
  0.87SCRSX Small Cap CorePairCorr
  0.87SCRYX Small Cap CorePairCorr
  0.87SCRZX Small Cap CorePairCorr
  0.62SCYVX Ab Small CapPairCorr
  0.94APGZX Ab Large CapPairCorr
  0.94APGYX Ab Large CapPairCorr
  0.92APGAX Ab Large CapPairCorr
  0.92APGCX Ab Large CapPairCorr
  0.9SUTAX Ab Sustainable ThematicPairCorr
  0.89SUTCX Ab Sustainable ThematicPairCorr
  0.9SUTZX Ab Sustainable ThematicPairCorr
  0.95APWIX Ab Servative WealthPairCorr
  0.83CHCLX Ab Discovery GrowthPairCorr
  0.86CHCIX Ab Discovery GrowthPairCorr
  0.82CHCCX Ab Discovery GrowthPairCorr
  0.86CHCYX Ab Discovery GrowthPairCorr

Related Correlations Analysis


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 DeviationJensen AlphaSortino RatioTreynor RatioSemi DeviationExpected ShortfallPotential UpsideValue @RiskMaximum Drawdown
GCEAX  0.46  0.03 (0.06)(0.15) 0.49 
(0.51)
 1.08 
(0.84)
 2.96 
GCECX  0.46 (0.03)(0.07) 0.02  0.49 
(0.53)
 1.05 
(0.81)
 2.99 
GCEYX  0.47 (0.03)(0.07) 0.02  0.49 
(0.52)
 1.02 
(0.84)
 2.95 
AMTAX  0.33  0.11  0.11 (10.46) 0.10 
(0.40)
 0.71 
(0.60)
 2.08 
AMTZX  0.35  0.07  0.08  0.18  0.21 
(0.40)
 0.69 
(0.72)
 2.03 
AMTYX  0.34  0.07  0.07  0.19  0.24 
(0.38)
 0.71 
(0.71)
 2.08 
AMTOX  0.36  0.07  0.08  0.18  0.29 
(0.42)
 0.73 
(0.73)
 2.15 
ANAZX  0.13  0.01 (0.21) 0.22  0.00 
(0.21)
 0.29 
(0.29)
 0.58 
ANAYX  0.14  0.01 (0.22) 0.20  0.00 
(0.20)
 0.29 
(0.29)
 0.72 
ANAGX  0.13  0.01 (0.24) 2.71  0.00 
(0.20)
 0.29 
(0.29)
 0.72 

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