Calvert Emerging Correlations

CMERX Fund

USD 12.72 0.35 2.68%

The current 90-days correlation between Calvert Emerging Markets and Harbor Large Cap is 0.09 (i.e., Significant 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

Significant diversification

The correlation between Calvert Emerging Markets and DJI is 0.08 (i.e., Significant 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 real.

Moving together with Calvert Mutual Fund

1.0	CEMCX	Calvert Emerging Markets	Pair Corr
0.82	CEMAX	Calvert Emerging Markets	Pair Corr
0.72	CFOIX	Calvert Floating Rate	Pair Corr
0.67	CFOAX	Calvert Floating Rate	Pair Corr
0.69	CYBAX	Calvert High Yield	Pair Corr

Related Correlations Analysis

	HILVX	BPAVX	LVAEX	USSCX	FSEAX	QQQX	GTMUX	JDHCX
HILVX		0.23	0.81	-0.02	-0.21	0.49	0.35	0.72	HILVX
BPAVX	0.23		0.17	0.8	0.1	0.37	0.53	0.35	BPAVX
LVAEX	0.81	0.17		-0.08	-0.27	0.65	0.27	0.82	LVAEX
USSCX	-0.02	0.8	-0.08		0.44	0.47	0.49	0.26	USSCX
FSEAX	-0.21	0.1	-0.27	0.44		0.29	0.11	0.0	FSEAX
QQQX	0.49	0.37	0.65	0.47	0.29		0.52	0.79	QQQX
GTMUX	0.35	0.53	0.27	0.49	0.11	0.52		0.5	GTMUX
JDHCX	0.72	0.35	0.82	0.26	0.0	0.79	0.5		JDHCX
	HILVX	BPAVX	LVAEX	USSCX	FSEAX	QQQX	GTMUX	JDHCX

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

JDHCX	+ 0.82	LVAEX
LVAEX	+ 0.81	HILVX
USSCX	+ 0.8	BPAVX
JDHCX	+ 0.79	QQQX
JDHCX	+ 0.72	HILVX
QQQX	+ 0.65	LVAEX

High negative correlations

FSEAX	- 0.27	LVAEX
FSEAX	- 0.21	HILVX
USSCX	- 0.08	LVAEX
USSCX	- 0.02	HILVX
JDHCX	- 0.0	FSEAX

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
HILVX	0.56	(0.05)	(0.07)	0.02	0.69	(0.63)	1.21	(1.11)	3.45
BPAVX	0.70	(0.14)	0.00	(0.06)	0.00	0.00	1.18	(1.28)	10.77
LVAEX	0.60	0.01	0.01	0.09	0.73	(0.63)	1.39	(1.30)	3.43
USSCX	1.09	(0.07)	0.00	0.27	0.00	0.00	2.03	(2.62)	14.06
FSEAX	0.77	(0.05)	(0.05)	0.02	1.12	(0.82)	1.39	(1.51)	5.73
QQQX	0.68	0.00	(0.01)	0.07	0.99	(0.65)	1.33	(1.53)	3.92
GTMUX	1.11	(0.20)	0.00	(0.39)	0.00	0.00	1.79	(1.94)	16.01
JDHCX	0.16	(0.01)	(0.31)	0.02	0.13	(0.24)	0.40	(0.27)	0.94

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