Causeway Emerging Correlations

CEMIX Fund

USD 11.28 0.05 0.44%

The current 90-days correlation between Causeway Emerging Markets and Franklin Mutual Global is 0.63 (i.e., Poor diversification). The correlation of Causeway 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.

Causeway Emerging Correlation With Market

Weak diversification

The correlation between Causeway Emerging Markets and DJI is 0.32 (i.e., Weak diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Causeway 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 Causeway 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 gross domestic product.

Moving together with Causeway Mutual Fund

0.8	CVISX	Causeway International	Pair Corr
1.0	CEMVX	Causeway Emerging Markets	Pair Corr
0.73	CGVVX	Causeway Global Value	Pair Corr
0.74	CGVIX	Causeway Global Value	Pair Corr
0.8	CIISX	Causeway International	Pair Corr
0.8	CIOIX	Causeway International	Pair Corr
0.79	CIOVX	Causeway International	Pair Corr
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
0.95	FWWNX	American Funds New	Pair Corr
0.95	FNFWX	American Funds New	Pair Corr
0.95	NEWFX	New World Fund	Pair Corr
0.95	NWFFX	New World Fund	Pair Corr
0.95	NEWCX	New World Fund	Pair Corr
0.95	ODVYX	Oppenheimer Developing	Pair Corr

Related Correlations Analysis

	TEDIX	TEPLX	FREEX	444859BR2	AQUI	BRRAY	MSTSX	ABHYX	LBHIX	SCAXF
TEDIX		0.77	0.28	0.02	0.0	-0.26	0.63	0.33	0.29	0.13	TEDIX
TEPLX	0.77		0.17	-0.24	0.0	-0.27	0.77	0.04	0.37	0.04	TEPLX
FREEX	0.28	0.17		0.04	0.0	-0.25	0.15	0.48	0.26	0.0	FREEX
444859BR2	0.02	-0.24	0.04		0.0	0.3	-0.5	-0.06	-0.55	0.5	444859BR2
AQUI	0.0	0.0	0.0	0.0		0.0	0.0	0.0	0.0	0.0	AQUI
BRRAY	-0.26	-0.27	-0.25	0.3	0.0		-0.44	-0.34	-0.33	-0.07	BRRAY
MSTSX	0.63	0.77	0.15	-0.5	0.0	-0.44		0.27	0.69	-0.06	MSTSX
ABHYX	0.33	0.04	0.48	-0.06	0.0	-0.34	0.27		0.56	-0.14	ABHYX
LBHIX	0.29	0.37	0.26	-0.55	0.0	-0.33	0.69	0.56		-0.38	LBHIX
SCAXF	0.13	0.04	0.0	0.5	0.0	-0.07	-0.06	-0.14	-0.38		SCAXF
	TEDIX	TEPLX	FREEX	444859BR2	AQUI	BRRAY	MSTSX	ABHYX	LBHIX	SCAXF

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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

TEPLX	+ 0.77	TEDIX
MSTSX	+ 0.77	TEPLX
LBHIX	+ 0.69	MSTSX
MSTSX	+ 0.63	TEDIX
LBHIX	+ 0.56	ABHYX
SCAXF	+ 0.5	444859BR2

High negative correlations

LBHIX	- 0.55	444859BR2
MSTSX	- 0.5	444859BR2
MSTSX	- 0.44	BRRAY
SCAXF	- 0.38	LBHIX
ABHYX	- 0.34	BRRAY
LBHIX	- 0.33	BRRAY

Risk-Adjusted Indicators

There is a big difference between Causeway Mutual Fund performing well and Causeway 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 Causeway 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
TEDIX	0.51	(0.08)	(0.18)	0.01	0.66	(0.50)	0.88	(1.05)	2.77
TEPLX	0.56	(0.10)	(0.17)	0.00	0.70	(0.61)	1.21	(0.87)	3.23
FREEX	0.69	0.05	(0.08)	1.56	0.82	(0.69)	1.17	(1.24)	3.92
444859BR2	1.36	(0.01)	0.00	0.16	0.00	0.00	5.93	(5.79)	16.62
AQUI	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00
BRRAY	1.27	(0.11)	0.00	0.01	0.00	0.00	0.00	(2.98)	34.02
MSTSX	0.49	(0.03)	(0.13)	0.07	0.50	(0.61)	1.21	(1.02)	2.80
ABHYX	0.18	0.03	(0.23)	(0.15)	0.24	(0.24)	0.34	(0.33)	1.91
LBHIX	0.12	0.01	(0.44)	0.51	0.00	(0.28)	0.24	(0.24)	0.96
SCAXF	0.70	(0.37)	0.00	(19.66)	0.00	0.00	0.00	0.00	23.47

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