Parametric Emerging Correlations

EIEMX Fund

USD 14.74 0.09 0.61%

The current 90-days correlation between Parametric Emerging and Tiaa Cref Lifestyle Moderate is -0.09 (i.e., Good diversification). The correlation of Parametric 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.

Parametric Emerging Correlation With Market

Good diversification

The correlation between Parametric Emerging Markets and DJI is -0.02 (i.e., Good diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Parametric Emerging Markets 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 Parametric 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 population.

Moving together with Parametric Mutual Fund

0.95	EAEMX	Parametric Emerging	Pair Corr
0.82	EVCGX	Eaton Vance Greater	Pair Corr
0.74	EIDIX	Eaton Vance Tax	Pair Corr
0.95	VEMAX	Vanguard Emerging Markets	Pair Corr
0.93	VEIEX	Vanguard Emerging Markets	Pair Corr
0.93	VEMIX	Vanguard Emerging Markets	Pair Corr
0.93	VEMRX	Vanguard Emerging Markets	Pair Corr
0.98	FWWNX	American Funds New	Pair Corr
0.98	FNFWX	American Funds New	Pair Corr
0.94	NEWFX	New World Fund	Pair Corr
0.94	NWFFX	New World Fund	Pair Corr
0.94	NEWCX	New World Fund	Pair Corr
0.92	ODVYX	Oppenheimer Developing	Pair Corr
0.81	BISMX	Brandes International	Pair Corr

Moving against Parametric Mutual Fund

0.47

Procter Gamble

Pair Corr

Related Correlations Analysis

	TSIMX	TDIFX	HBAAX	URFRX	SCGCX	MRMYX	FRTCX	JTSSX
TSIMX		0.91	0.97	0.88	0.86	0.76	0.89	0.93	TSIMX
TDIFX	0.91		0.81	0.71	0.61	0.88	0.89	0.71	TDIFX
HBAAX	0.97	0.81		0.92	0.95	0.68	0.85	0.97	HBAAX
URFRX	0.88	0.71	0.92		0.9	0.68	0.87	0.93	URFRX
SCGCX	0.86	0.61	0.95	0.9		0.49	0.72	0.96	SCGCX
MRMYX	0.76	0.88	0.68	0.68	0.49		0.93	0.55	MRMYX
FRTCX	0.89	0.89	0.85	0.87	0.72	0.93		0.78	FRTCX
JTSSX	0.93	0.71	0.97	0.93	0.96	0.55	0.78		JTSSX
	TSIMX	TDIFX	HBAAX	URFRX	SCGCX	MRMYX	FRTCX	JTSSX

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Risk-Adjusted Indicators

There is a big difference between Parametric Mutual Fund performing well and Parametric 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 Parametric 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
TSIMX	0.32	0.00	(0.17)	0.12	0.35	(0.34)	0.67	(0.66)	1.99
TDIFX	0.16	0.00	(0.47)	0.10	0.08	(0.19)	0.35	(0.26)	0.95
HBAAX	0.33	0.00	(0.14)	0.14	0.33	(0.36)	0.76	(0.68)	2.07
URFRX	0.41	0.06	(0.12)	1.65	0.38	(0.48)	0.95	(0.79)	2.44
SCGCX	0.40	0.02	(0.07)	0.16	0.32	(0.47)	0.87	(0.71)	2.67
MRMYX	0.25	0.02	(0.28)	0.70	0.23	(0.29)	0.54	(0.54)	1.40
FRTCX	0.21	0.02	(0.32)	0.64	0.14	(0.24)	0.39	(0.47)	1.14
JTSSX	0.46	0.00	(0.08)	0.13	0.46	(0.52)	1.15	(0.93)	3.14

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