Calvert Emerging Correlations

CVMAX Fund

USD 22.46 0.01 0.04%

The current 90-days correlation between Calvert Emerging Markets and Johcm Emerging Markets is 0.86 (i.e., Very poor 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

Good diversification

The correlation between Calvert Emerging Markets and DJI is -0.08 (i.e., Good 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

0.98	VEMAX	Vanguard Emerging Markets	Pair Corr
0.98	VEIEX	Vanguard Emerging Markets	Pair Corr
0.98	VEMIX	Vanguard Emerging Markets	Pair Corr
0.98	VEMRX	Vanguard Emerging Markets	Pair Corr
0.98	FWWNX	American Funds New	Pair Corr
0.98	FNFWX	American Funds New	Pair Corr
0.98	NEWFX	New World Fund	Pair Corr
0.98	NWFFX	New World Fund	Pair Corr
0.98	NEWCX	New World Fund	Pair Corr
0.98	ODVYX	Oppenheimer Developing	Pair Corr
0.9	SMPSX	Semiconductor Ultrasector	Pair Corr
0.9	SMPIX	Semiconductor Ultrasector	Pair Corr
0.98	FELIX	Fidelity Advisor Sem	Pair Corr
0.95	ONERX	One Rock Fund	Pair Corr
0.96	RYVYX	Nasdaq 100 2x	Pair Corr
0.96	RYVLX	Nasdaq 100 2x	Pair Corr
0.97	FSELX	Fidelity Select Semi	Pair Corr
0.72	AXP	American Express	Pair Corr
0.74	BAC	Bank of America	Pair Corr
0.74	JNJ	Johnson Johnson	Pair Corr
0.71	WMT	Walmart	Pair Corr
0.78	AA	Alcoa Corp Earnings Call This Week	Pair Corr

Moving against Calvert Mutual Fund

0.68	DIS	Walt Disney	Pair Corr
0.65	KO	Coca Cola Earnings Call This Week	Pair Corr
0.42	CEE	Central Europe Russia	Pair Corr
0.4	PG	Procter Gamble Earnings Call This Week	Pair Corr

Related Correlations Analysis

	JOEAX	WAAEX	CDHRX	CDHIX	CDHAX	ETIHX	HAVLX	NEFJX	NEJYX	MRFOX
JOEAX		-0.29	0.94	0.94	0.94	0.89	0.29	0.83	0.83	0.0	JOEAX
WAAEX	-0.29		-0.33	-0.33	-0.33	-0.41	0.35	-0.02	-0.03	0.0	WAAEX
CDHRX	0.94	-0.33		1.0	1.0	0.88	0.31	0.81	0.81	0.0	CDHRX
CDHIX	0.94	-0.33	1.0		1.0	0.88	0.31	0.81	0.81	0.0	CDHIX
CDHAX	0.94	-0.33	1.0	1.0		0.87	0.31	0.81	0.81	0.0	CDHAX
ETIHX	0.89	-0.41	0.88	0.88	0.87		0.33	0.87	0.87	0.0	ETIHX
HAVLX	0.29	0.35	0.31	0.31	0.31	0.33		0.67	0.67	0.0	HAVLX
NEFJX	0.83	-0.02	0.81	0.81	0.81	0.87	0.67		1.0	0.0	NEFJX
NEJYX	0.83	-0.03	0.81	0.81	0.81	0.87	0.67	1.0		0.0	NEJYX
MRFOX	0.0	0.0	0.0	0.0	0.0	0.0	0.0	0.0	0.0		MRFOX
	JOEAX	WAAEX	CDHRX	CDHIX	CDHAX	ETIHX	HAVLX	NEFJX	NEJYX	MRFOX

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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

CDHIX	+ 1.0	CDHRX
CDHAX	+ 1.0	CDHRX
CDHAX	+ 1.0	CDHIX
NEJYX	+ 1.0	NEFJX
CDHRX	+ 0.94	JOEAX
CDHIX	+ 0.94	JOEAX

High negative correlations

ETIHX	- 0.41	WAAEX
CDHAX	- 0.33	WAAEX
CDHIX	- 0.33	WAAEX
CDHRX	- 0.33	WAAEX
WAAEX	- 0.29	JOEAX
NEJYX	- 0.03	WAAEX

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
JOEAX	0.59	0.12	0.09	0.52	0.72	(0.68)	1.33	(0.75)	5.21
WAAEX	0.88	(0.04)	0.00	0.14	0.00	0.00	2.04	(1.79)	5.65
CDHRX	0.61	0.12	0.07	(0.46)	0.65	(0.64)	1.46	(1.21)	4.23
CDHIX	0.61	0.12	0.07	(0.47)	0.66	(0.65)	1.46	(1.20)	4.28
CDHAX	0.61	0.12	0.07	(0.46)	0.66	(0.65)	1.45	(1.19)	4.29
ETIHX	0.86	0.35	0.26	(1.54)	0.69	(1.00)	2.02	(1.50)	4.61
HAVLX	0.54	0.02	(0.06)	(0.04)	0.61	(0.70)	1.29	(0.90)	4.41
NEFJX	0.81	0.10	0.03	(0.35)	0.92	(0.87)	1.98	(1.47)	6.97
NEJYX	0.81	0.10	0.04	(0.37)	0.87	(0.87)	1.99	(1.42)	6.98
MRFOX	0.45	0.07	0.03	(0.43)	0.34	(0.51)	1.29	(0.68)	2.56

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