Emerging Markets Correlations

HCEMX Fund

USD 23.72 0.20 0.85%

The current 90-days correlation between Emerging Markets and Morningstar Defensive Bond is 0.22 (i.e., Modest 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

Very weak diversification

The correlation between The Emerging Markets and DJI is 0.54 (i.e., Very weak diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding The Emerging Markets and DJI in the same portfolio, assuming nothing else is changed.

Check out Risk vs Return Analysis to better understand how to build diversified portfolios, which includes a position in The 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 inflation.

Moving together with Emerging Mutual Fund

0.82	VTSAX	Vanguard Total Stock	Pair Corr
0.86	VFIAX	Vanguard 500 Index	Pair Corr
0.83	VTSMX	Vanguard Total Stock	Pair Corr
0.81	VITSX	Vanguard Total Stock	Pair Corr
0.83	VSMPX	Vanguard Total Stock	Pair Corr
0.82	VSTSX	Vanguard Total Stock	Pair Corr
0.9	VTIAX	Vanguard Total Inter	Pair Corr
0.86	VFINX	Vanguard 500 Index	Pair Corr
0.84	VFFSX	Vanguard 500 Index	Pair Corr
0.84	FCTKX	Fidelity Freedom 2055	Pair Corr
0.79	CRF	Cornerstone Total Return	Pair Corr
0.63	ZTR	Virtus Global Dividend Potential Growth	Pair Corr
0.66	AA	Alcoa Corp	Pair Corr
0.61	BAC	Bank of America	Pair Corr
0.82	IBM	International Business	Pair Corr
0.76	CAT	Caterpillar	Pair Corr

Moving against Emerging Mutual Fund

0.79	T	ATT Inc	Pair Corr
0.68	VZ	Verizon Communications	Pair Corr
0.57	PG	Procter Gamble	Pair Corr
0.47	HD	Home Depot	Pair Corr

Related Correlations Analysis

	MSTBX	PCMNX	DLTNX	TMSRX	MHEFX	OWCAX	PRFHX
MSTBX		0.85	0.87	0.61	0.42	0.89	0.77	MSTBX
PCMNX	0.85		0.83	0.77	0.49	0.94	0.97	PCMNX
DLTNX	0.87	0.83		0.51	0.24	0.79	0.82	DLTNX
TMSRX	0.61	0.77	0.51		0.79	0.7	0.73	TMSRX
MHEFX	0.42	0.49	0.24	0.79		0.46	0.42	MHEFX
OWCAX	0.89	0.94	0.79	0.7	0.46		0.87	OWCAX
PRFHX	0.77	0.97	0.82	0.73	0.42	0.87		PRFHX
	MSTBX	PCMNX	DLTNX	TMSRX	MHEFX	OWCAX	PRFHX

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
MSTBX	0.07	0.00	(0.57)	(0.14)	0.00	(0.13)	0.20	(0.10)	0.41
PCMNX	0.07	0.02	(0.43)	1.98	0.00	(0.11)	0.16	(0.08)	0.49
DLTNX	0.14	0.00	(0.35)	1.90	0.09	(0.20)	0.34	(0.23)	0.79
TMSRX	0.10	0.01	(0.29)	0.27	0.00	(0.16)	0.22	(0.22)	0.67
MHEFX	0.51	0.05	(0.01)	1.64	0.81	(0.52)	1.10	(1.17)	3.50
OWCAX	0.06	0.00	(0.53)	0.37	0.00	(0.11)	0.10	(0.10)	0.41
PRFHX	0.12	0.02	(0.26)	9.90	0.00	(0.18)	0.36	(0.18)	1.00

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