Calvert Emerging Correlations

CEMAX Fund

USD 12.30 0.02 0.16%

The current 90-days correlation between Calvert Emerging Markets and Gmo Alternative Allocation is -0.02 (i.e., 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

Very poor diversification

The correlation between Calvert Emerging Markets and DJI is 0.82 (i.e., Very 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 various price indices.

Moving together with Calvert Mutual Fund

0.89	CDHIX	Calvert Developed Market	Pair Corr
0.89	CDHAX	Calvert Developed Market	Pair Corr
0.88	CDICX	Calvert Short Duration	Pair Corr
0.89	CDHRX	Calvert International	Pair Corr
0.87	CDSRX	Calvert Short Duration	Pair Corr
0.86	CDSIX	Calvert Short Duration	Pair Corr
0.85	CVMAX	Calvert Emerging Markets	Pair Corr
0.86	CVMRX	Calvert Emerging Markets	Pair Corr
0.85	CVMIX	Calvert Emerging Markets	Pair Corr
0.9	CEFIX	Congressional Effect	Pair Corr
0.74	CEYIX	Calvert Equity Portfolio	Pair Corr
0.82	CEYRX	Calvert Equity	Pair Corr
0.95	CWVIX	Calvert International	Pair Corr
0.87	CFJIX	Calvert Large Cap	Pair Corr
0.89	CFWCX	Calvert Global Water	Pair Corr
0.88	CFWAX	Calvert Global Water	Pair Corr
0.88	CFWIX	Calvert Global Water	Pair Corr
0.91	CGARX	Calvert Responsible Index	Pair Corr
0.72	CGAEX	Calvert Global Energy	Pair Corr
0.71	CGACX	Calvert Global Energy	Pair Corr
0.88	CYBAX	Calvert High Yield	Pair Corr
0.89	CYBIX	Calvert High Yield	Pair Corr
0.95	CIESX	Calvert International	Pair Corr
0.73	CIOAX	Calvert International	Pair Corr
0.86	CISIX	Calvert Large Cap	Pair Corr
0.66	CLDIX	Calvert Long Term	Pair Corr
0.64	CLDAX	Calvert Long Term	Pair Corr
0.86	CLVRX	Columbia International	Pair Corr
0.91	CMACX	Calvert Moderate All	Pair Corr
0.86	CMAAX	Calvert Moderate All	Pair Corr
1.0	CMERX	Calvert Emerging Markets	Pair Corr
0.85	CMJIX	Calvert Mid Cap	Pair Corr
0.85	CMJAX	Calvert Mid Cap	Pair Corr
0.78	CMPAX	Calvert Small/mid-cap	Pair Corr
0.73	COIIX	Calvert International	Pair Corr
0.72	COICX	Calvert International	Pair Corr
0.73	COIRX	Calvert International	Pair Corr

Moving against Calvert Mutual Fund

0.79

CSECX

Calvert Equity Portfolio

Pair Corr

Related Correlations Analysis

	GGRYX	AACCX	AMONX	CBSYX	DFELX	GMYPX	GAAKX
GGRYX		0.86	0.84	0.91	0.88	0.93	0.84	GGRYX
AACCX	0.86		0.94	0.94	0.91	0.9	0.84	AACCX
AMONX	0.84	0.94		0.91	0.95	0.9	0.83	AMONX
CBSYX	0.91	0.94	0.91		0.94	0.98	0.86	CBSYX
DFELX	0.88	0.91	0.95	0.94		0.95	0.86	DFELX
GMYPX	0.93	0.9	0.9	0.98	0.95		0.89	GMYPX
GAAKX	0.84	0.84	0.83	0.86	0.86	0.89		GAAKX
	GGRYX	AACCX	AMONX	CBSYX	DFELX	GMYPX	GAAKX

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
GGRYX	0.54	0.10	0.12	0.21	0.38	(0.64)	0.91	(0.96)	8.85
AACCX	0.33	0.04	0.00	0.15	0.17	(0.47)	0.76	(0.57)	4.29
AMONX	1.23	0.49	0.39	1.21	0.43	(1.57)	1.42	(1.85)	33.19
CBSYX	0.42	0.04	0.03	0.14	0.32	(0.47)	0.82	(0.74)	5.49
DFELX	0.78	0.22	0.21	0.36	0.45	(0.96)	1.26	(1.23)	17.48
GMYPX	0.82	0.20	0.31	0.22	0.26	(1.00)	1.45	(1.02)	16.60
GAAKX	0.34	0.14	0.30	1.24	0.00	(0.48)	0.91	(0.43)	3.02

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