Emerging Markets Correlations

EMRIX Fund

USD 14.55 0.24 1.62%

The current 90-days correlation between Emerging Markets and Aig Government Money is 0.1 (i.e., Average diversification). The correlation of Emerging Markets 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.

Emerging Markets Correlation With Market

Modest diversification

The correlation between Emerging Markets Fund and DJI is 0.21 (i.e., Modest diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Emerging Markets Fund and DJI in the same portfolio, assuming nothing else is changed.

Check out Investing Opportunities to better understand how to build diversified portfolios, which includes a position in Emerging Markets Fund. 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 gross domestic product.

Moving together with Emerging Mutual Fund

0.67	EMBAX	Unconstrained Emerging	Pair Corr
0.68	EMBYX	Unconstrained Emerging	Pair Corr
0.67	EMBUX	Unconstrained Emerging	Pair Corr
1.0	EMRCX	Emerging Markets	Pair Corr
0.91	EMRZX	Vaneck Emerging Markets	Pair Corr
1.0	EMRYX	Emerging Markets	Pair Corr
0.61	GHAIX	Global Hard Assets	Pair Corr
0.61	GHAYX	Global Hard Assets	Pair Corr
0.61	GHAAX	Global Hard Assets	Pair Corr
0.61	GHACX	Global Hard Assets	Pair Corr
1.0	GBFAX	Emerging Markets	Pair Corr
0.88	VEMAX	Vanguard Emerging Markets	Pair Corr
0.88	VEIEX	Vanguard Emerging Markets	Pair Corr
0.88	VEMIX	Vanguard Emerging Markets	Pair Corr
0.87	VEMRX	Vanguard Emerging Markets	Pair Corr
0.92	FWWNX	American Funds New Potential Growth	Pair Corr
0.92	FNFWX	American Funds New Potential Growth	Pair Corr
0.92	NEWFX	New World Fund	Pair Corr
0.92	NWFFX	New World Fund Potential Growth	Pair Corr
0.84	NEWCX	New World Fund	Pair Corr
0.86	ODVYX	Oppenheimer Developing	Pair Corr

Related Correlations Analysis

	SMAAX	DNCGX	FHNFX	TAMXX	FITSX	VSIGX	BIGLX
SMAAX		0.82	0.85	0.0	0.83	0.89	0.84	SMAAX
DNCGX	0.82		0.98	0.0	0.98	0.92	0.98	DNCGX
FHNFX	0.85	0.98		0.0	0.99	0.93	0.99	FHNFX
TAMXX	0.0	0.0	0.0		0.0	0.0	0.0	TAMXX
FITSX	0.83	0.98	0.99	0.0		0.92	1.0	FITSX
VSIGX	0.89	0.92	0.93	0.0	0.92		0.92	VSIGX
BIGLX	0.84	0.98	0.99	0.0	1.0	0.92		BIGLX
	SMAAX	DNCGX	FHNFX	TAMXX	FITSX	VSIGX	BIGLX

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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

BIGLX	+ 1.0	FITSX
FITSX	+ 0.99	FHNFX
BIGLX	+ 0.99	FHNFX
FHNFX	+ 0.98	DNCGX
FITSX	+ 0.98	DNCGX
BIGLX	+ 0.98	DNCGX

High negative correlations

BIGLX	- 0.0	TAMXX
VSIGX	- 0.0	TAMXX
FITSX	- 0.0	TAMXX
TAMXX	- 0.0	FHNFX
TAMXX	- 0.0	DNCGX
TAMXX	- 0.0	SMAAX

Risk-Adjusted Indicators

There is a big difference between Emerging Mutual Fund performing well and Emerging Markets 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 Emerging Markets' 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
SMAAX	0.13	0.00	0.09	(0.20)	0.18	(0.15)	0.30	(0.30)	1.09
DNCGX	0.22	0.02	0.16	0.32	0.16	(0.26)	0.48	(0.40)	1.21
FHNFX	0.23	0.03	0.17	0.38	0.16	(0.27)	0.55	(0.44)	1.44
TAMXX	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00
FITSX	0.27	0.03	0.15	0.30	0.24	(0.32)	0.57	(0.46)	1.60
VSIGX	0.20	0.02	0.18	(0.31)	0.11	(0.27)	0.46	(0.31)	1.28
BIGLX	0.27	0.03	0.13	0.30	0.24	(0.34)	0.66	(0.55)	1.78

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