Calvert Emerging Correlations
CMERX Fund | USD 11.64 0.01 0.09% |
The current 90-days correlation between Calvert Emerging Markets and Vanguard Total International is 0.66 (i.e., 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
Very weak diversification
The correlation between Calvert Emerging Markets and NYA is 0.47 (i.e., Very weak diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Calvert Emerging Markets and NYA in the same portfolio, assuming nothing else is changed.
Calvert |
Moving together with Calvert Mutual Fund
0.84 | VGTSX | Vanguard Total Inter | PairCorr |
0.84 | VTIAX | Vanguard Total Inter | PairCorr |
0.84 | VTSNX | Vanguard Total Inter | PairCorr |
0.84 | VTPSX | Vanguard Total Inter | PairCorr |
0.84 | VTISX | Vanguard Total Inter | PairCorr |
0.83 | VTMGX | Vanguard Developed | PairCorr |
0.83 | VDVIX | Vanguard Developed | PairCorr |
0.83 | VTMNX | Vanguard Developed | PairCorr |
0.83 | VDIPX | Vanguard Developed | PairCorr |
0.81 | FSPSX | Fidelity International | PairCorr |
0.86 | VTSAX | Vanguard Total Stock | PairCorr |
0.83 | VFIAX | Vanguard 500 Index | PairCorr |
0.86 | VTSMX | Vanguard Total Stock | PairCorr |
0.86 | VSMPX | Vanguard Total Stock | PairCorr |
0.86 | VSTSX | Vanguard Total Stock | PairCorr |
0.86 | VITSX | Vanguard Total Stock | PairCorr |
0.83 | VFINX | Vanguard 500 Index | PairCorr |
0.83 | VFFSX | Vanguard 500 Index | PairCorr |
0.71 | MSFT | Microsoft Sell-off Trend | PairCorr |
0.63 | PFE | Pfizer Inc Financial Report 6th of August 2024 | PairCorr |
Related Correlations Analysis
1.0 | 1.0 | 1.0 | 0.97 | 0.97 | 0.98 | VGTSX | ||
1.0 | 1.0 | 1.0 | 0.98 | 0.98 | 0.98 | VTIAX | ||
1.0 | 1.0 | 1.0 | 0.98 | 0.98 | 0.98 | VTSNX | ||
1.0 | 1.0 | 1.0 | 0.98 | 0.98 | 0.98 | VTISX | ||
0.97 | 0.98 | 0.98 | 0.98 | 1.0 | 0.99 | VTMGX | ||
0.97 | 0.98 | 0.98 | 0.98 | 1.0 | 0.99 | VDVIX | ||
0.98 | 0.98 | 0.98 | 0.98 | 0.99 | 0.99 | FSPSX | ||
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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 | ||
---|---|---|---|---|---|---|---|---|---|---|
VGTSX | 0.50 | 0.03 | 0.05 | 0.04 | 0.62 | 0.96 | 3.26 | |||
VTIAX | 0.51 | 0.03 | 0.05 | 0.04 | 0.63 | 0.99 | 3.22 | |||
VTSNX | 0.50 | 0.03 | 0.05 | 0.04 | 0.62 | 0.97 | 3.23 | |||
VTISX | 0.50 | 0.03 | 0.05 | 0.04 | 0.62 | 0.97 | 3.22 | |||
VTMGX | 0.55 | 0.03 | 0.03 | 0.03 | 0.73 | 1.09 | 3.20 | |||
VDVIX | 0.56 | 0.03 | 0.03 | 0.03 | 0.71 | 1.06 | 3.24 | |||
FSPSX | 0.54 | 0.04 | 0.05 | 0.05 | 0.60 | 1.26 | 3.19 |