Calvert Emerging Correlations

CVMCX Fund

USD 22.84 0.06 0.26%

The current 90-days correlation between Calvert Emerging Markets and Schwab Health Care is 0.14 (i.e., Average 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

Poor diversification

The correlation between Calvert Emerging Markets and DJI is 0.62 (i.e., 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 signals in unemployment.

Moving together with Calvert Mutual Fund

0.87	CDHIX	Calvert Developed Market	Pair Corr
0.87	CDHAX	Calvert Developed Market	Pair Corr
0.87	CDHRX	Calvert International	Pair Corr
1.0	CVMAX	Calvert Emerging Markets	Pair Corr
1.0	CVMRX	Calvert Emerging Markets	Pair Corr
1.0	CVMIX	Calvert Emerging Markets	Pair Corr
0.88	CEFAX	Calvert Emerging Markets	Pair Corr
0.86	CEFIX	Congressional Effect	Pair Corr
0.63	CEYIX	Calvert Equity Portfolio	Pair Corr
0.8	CFAIX	Calvert Conservative	Pair Corr
0.77	CWVIX	Calvert International	Pair Corr
0.77	CWVGX	Calvert International	Pair Corr
0.76	CWVCX	Calvert International	Pair Corr
0.7	CFJIX	Calvert Large Cap	Pair Corr
0.7	CFJAX	Calvert Large Cap	Pair Corr
0.76	CFWCX	Calvert Global Water	Pair Corr
0.76	CFWAX	Calvert Global Water	Pair Corr
0.76	CFWIX	Calvert Global Water	Pair Corr
0.88	CGAEX	Calvert Global Energy	Pair Corr
0.87	CGACX	Calvert Global Energy	Pair Corr
0.74	CGJAX	Calvert Large Cap	Pair Corr
0.74	CGJIX	Calvert Large Cap	Pair Corr
0.64	CYBAX	Calvert High Yield	Pair Corr
0.64	CYBRX	Calvert High Yield	Pair Corr
0.63	CYBIX	Calvert High Yield	Pair Corr
0.66	CHBCX	Calvert High Yield	Pair Corr

Moving against Calvert Mutual Fund

0.32	CGLIX	Calvert Global Equity	Pair Corr
0.31	CGLAX	Calvert Global Equity	Pair Corr

Related Correlations Analysis

	SWHFX	HGHYX	BHCHX	ETAHX	VGHCX	DLRHX	HBGHX
SWHFX		0.93	0.79	0.84	0.94	0.89	0.93	SWHFX
HGHYX	0.93		0.94	0.96	0.99	0.9	1.0	HGHYX
BHCHX	0.79	0.94		0.92	0.92	0.73	0.94	BHCHX
ETAHX	0.84	0.96	0.92		0.95	0.9	0.96	ETAHX
VGHCX	0.94	0.99	0.92	0.95		0.91	0.99	VGHCX
DLRHX	0.89	0.9	0.73	0.9	0.91		0.9	DLRHX
HBGHX	0.93	1.0	0.94	0.96	0.99	0.9		HBGHX
	SWHFX	HGHYX	BHCHX	ETAHX	VGHCX	DLRHX	HBGHX

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
SWHFX	0.61	0.15	0.13	0.46	0.40	(0.74)	2.04	(1.00)	4.56
HGHYX	0.62	0.13	0.14	0.31	0.39	(0.72)	1.91	(1.05)	3.95
BHCHX	0.63	0.10	0.06	0.35	0.58	(0.71)	1.66	(1.18)	4.22
ETAHX	1.11	0.26	0.21	0.59	0.75	(1.30)	3.27	(1.61)	5.64
VGHCX	0.60	0.12	0.10	0.33	0.48	(0.69)	1.94	(1.24)	4.26
DLRHX	0.83	0.22	0.24	0.41	0.39	(1.02)	2.09	(1.15)	7.28
HBGHX	0.62	0.13	0.14	0.32	0.38	(0.80)	1.87	(1.03)	3.93

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