Emerging Markets Correlations

AEDMX Fund

USD 13.60 0.02 0.15%

The current 90-days correlation between Emerging Markets and Janus Triton Fund is 0.55 (i.e., Very weak 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

Good diversification

The correlation between Emerging Markets Fund and DJI is -0.09 (i.e., Good 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 Trending Equities 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 industry.

Moving together with Emerging Mutual Fund

0.61	AMDVX	Mid Cap Value	Pair Corr
1.0	AMKIX	Emerging Markets	Pair Corr
0.88	TWACX	Short Term Government	Pair Corr
0.63	TWCAX	Select Fund A	Pair Corr
0.93	AMVGX	Mid Cap Value	Pair Corr
0.86	TWGGX	Global Growth	Pair Corr
0.95	TWRCX	Growth Fund C	Pair Corr
0.69	TWTCX	Intermediate Term Tax	Pair Corr
0.74	TWTIX	Intermediate Term Tax	Pair Corr
0.98	TWSAX	Strategic Allocation:	Pair Corr
0.68	TWUAX	Ultra Fund A	Pair Corr
0.89	TWUOX	Short Term Government	Pair Corr
0.74	TWWOX	Intermediate Term Tax	Pair Corr
0.96	NPHIX	High Income Fund	Pair Corr

Related Correlations Analysis

	JGMNX	BTMKX	PFRSX	SSSYX	MPHQX
JGMNX		0.58	-0.01	0.62	0.64	JGMNX
BTMKX	0.58		-0.09	0.6	0.7	BTMKX
PFRSX	-0.01	-0.09		-0.21	-0.4	PFRSX
SSSYX	0.62	0.6	-0.21		0.5	SSSYX
MPHQX	0.64	0.7	-0.4	0.5		MPHQX
	JGMNX	BTMKX	PFRSX	SSSYX	MPHQX

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

MPHQX	+ 0.7	BTMKX
MPHQX	+ 0.64	JGMNX
SSSYX	+ 0.62	JGMNX
SSSYX	+ 0.6	BTMKX
BTMKX	+ 0.58	JGMNX
MPHQX	+ 0.5	SSSYX

High negative correlations

MPHQX	- 0.4	PFRSX
SSSYX	- 0.21	PFRSX
PFRSX	- 0.09	BTMKX
PFRSX	- 0.01	JGMNX

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
JGMNX	0.65	0.09	(0.04)	(0.57)	0.66	(0.75)	1.35	(1.45)	3.62
BTMKX	0.62	(0.05)	(0.08)	0.05	0.73	(0.72)	1.34	(1.38)	4.00
PFRSX	0.63	(0.07)	0.00	(0.02)	0.00	0.00	1.44	(1.56)	3.74
SSSYX	0.47	0.15	0.04	(0.75)	0.30	(0.55)	1.11	(0.78)	2.71
MPHQX	0.20	0.04	(0.30)	0.81	0.00	(0.25)	0.41	(0.31)	1.11

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