Emerging Markets funds invest in equity or debt of emerging (less mature i.e. less efficient and less liquid) markets, which tend to have higher inflation and volatile growth.

Some Emerging Markets funds allocate all their capital to individual regions while others diversify their investments and shift their weightings among these regions according to their market views.

Short selling is not permitted in many emerging markets, and, therefore, effective hedging is often not available, although Brady debt can be partially hedged via U.S. Treasury futures and currency markets.

Emerging Markets strategies are generally characterized by a relatively high return and a significant correlation with major bond and/or stock indexes. Hence, Emerging Markets strategies may be used as “Return Enhancers” in portfolios.

Monthly returns201620172018
January-4.07%2.46%3.56%
February-0.35%1.71%-1.51%
March4.28%1.05%-1.09%
April1.52%1.09%n.a.
May-0.12%0.18%n.a.
June1.49%0.61%n.a.
July2.33%2.35%n.a.
August1.69%1.48%n.a.
September0.97%0.91%n.a.
October0.64%1.37%n.a.
November-1.26%0.80%n.a.
December0.35%1.62%n.a.
Annual7.48%16.77%0.89%
S&P 50011.96%21.83%-0.76%
Lehman Treasury1.04%2.31%-1.18%
Quarterly returns201620172018
1st Quarter-0.31%5.30%0.89%
2nd Quarter2.91%1.89%n.a.
3rd Quarter5.06%4.82%n.a.
4th Quarter-0.29%3.83%n.a.
Annual7.48%16.77%0.89%
S&P 50011.96%21.83%-0.76%
Lehman Treasury1.04%2.31%-1.18%
Risk ProfileEdhec Emerging Markets IndexS&P 500Lehman Treasury
Monthly Std Dev Ann'd9.35%14.37%4.47%
Sharpe Ratio0.510.230.04
Information ratio0.15n.a.n.a.
Min. Monthly Return-13.31%-16.80%-4.39%
Max. Monthly Return8.84%10.93%5.31%
Mean Monthly Return0.70%0.59%0.34%
Median Monthly Return1.01%1.08%0.40%
Exc. Kurtosis3.841.371.49
Skewness-1.06-0.660.01
% of winning Months69.08%65.22%58.94%
Average Winning Return2.06%2.90%1.15%
% of losing Months30.92%34.78%41.06%
Average Losing Return-2.33%-3.75%-0.81%
Correlation AnalysisEdhec Emerging Markets IndexS&P 500Lehman Treasury
S&P 5000.711.00-0.35
S&P 500 Value0.690.97-0.35
S&P 500 Growth0.700.97-0.34
S&P Mid Cap0.730.92-0.35
S&P Small Cap0.650.86-0.36
Lehman Treasury-0.23-0.351.00
Baa-Aaa-0.03-0.070.05
Chg in Baa - Aaa-0.19-0.120.18
10 years - 3 Months-0.08-0.050.11
Chg in 10 years - 3 Months-0.03-0.03-0.05
VIX-0.38-0.440.27
Chg in VIX-0.52-0.660.20
in %CSFBHennesseeHFRHF NetBarclayCISDMGreenwichAltvest
2006 Q212.5%12.0%12.7%12.6%12.8%12.5%12.6%12.3%
2006 Q312.5%12.2%12.7%12.6%12.8%12.6%12.1%12.5%
2006 Q412.4%12.2%12.7%12.7%12.8%12.6%12.1%12.5%
2007 Q112.5%12.1%12.7%12.6%12.8%12.5%12.1%12.6%
2007 Q212.5%12.1%12.7%12.6%12.8%12.5%12.1%12.5%
2007 Q312.4%12.3%12.8%12.6%12.8%12.6%12.1%12.5%
2007 Q412.4%12.4%12.7%12.6%12.8%12.6%12.1%12.4%
2008 Q112.5%12.4%12.7%12.6%12.7%12.6%12.2%12.4%
2008 Q212.3%12.4%12.7%12.6%12.7%12.5%12.3%12.5%
2008 Q312.2%12.4%12.7%12.6%12.7%12.5%12.3%12.5%
2008 Q412.2%12.5%12.6%12.6%12.6%12.5%12.4%12.6%
2009 Q112.3%12.4%12.6%12.6%12.6%12.6%12.4%12.5%
2009 Q212.3%12.3%12.6%12.6%12.6%12.6%12.5%12.5%
2009 Q312.3%12.3%12.6%12.6%12.6%12.6%12.6%12.5%
2009 Q412.3%12.3%12.6%12.6%12.6%12.6%12.6%12.5%
2010 Q112.3%12.3%12.6%12.6%12.6%12.6%12.6%12.5%
2010 Q212.4%12.3%12.6%12.6%12.6%12.5%12.6%12.5%
2010 Q312.4%12.3%12.6%12.6%12.6%12.5%12.5%12.5%
2010 Q412.4%12.3%12.6%12.6%12.6%12.5%12.5%12.5%
2011 Q112.4%12.3%12.7%12.6%12.6%12.3%12.6%12.5%
2011 Q212.4%12.3%12.7%12.7%12.7%12.2%12.6%12.5%
2011 Q312.5%12.3%12.7%12.7%12.7%12.1%12.6%12.5%
2011 Q412.6%12.3%12.7%12.7%12.7%12.1%12.5%12.5%
2012 Q112.6%12.3%12.9%12.8%12.8%11.6%12.5%12.5%
2012 Q214.5%14.2%14.7%14.6%14.7%13.0%14.3%n.a.
2012 Q316.7%16.4%16.9%16.8%16.8%n.a.16.4%n.a.
2012 Q416.7%16.4%16.9%16.7%16.8%n.a.16.5%n.a.
2013 Q116.7%16.5%16.9%16.7%16.8%n.a.16.4%n.a.
2013 Q216.8%16.6%17.0%16.2%16.9%n.a.16.5%n.a.
2013 Q316.8%16.5%17.1%16.1%17.0%n.a.16.4%n.a.
2013 Q416.8%16.5%17.1%16.1%17.1%n.a.16.4%n.a.
2014 Q116.8%16.4%17.1%16.0%17.1%n.a.16.5%n.a.
2014 Q216.8%16.5%17.2%16.0%17.1%n.a.16.5%n.a.
2014 Q316.7%16.5%17.2%16.0%17.2%n.a.16.5%n.a.
2014 Q419.9%n.a.20.7%18.8%20.7%n.a.19.9%n.a.
2015 Q119.3%n.a.21.0%18.6%21.0%n.a.20.1%n.a.
2015 Q218.7%n.a.21.3%18.2%21.3%n.a.20.6%n.a.
2015 Q318.7%n.a.21.5%17.7%21.6%n.a.20.4%n.a.
2015 Q419.1%n.a.21.3%18.1%21.4%n.a.20.1%n.a.
2016 Q119.0%n.a.21.3%18.1%21.4%n.a.20.2%n.a.
2016 Q218.8%n.a.20.8%19.7%20.8%n.a.19.8%n.a.
2016 Q318.6%n.a.20.8%19.9%20.8%n.a.19.9%n.a.
2016 Q418.8%n.a.20.8%19.8%20.7%n.a.19.8%n.a.
2017 Q118.8%n.a.20.8%19.8%20.8%n.a.19.7%n.a.
2017 Q219.0%n.a.20.7%19.8%20.7%n.a.19.7%n.a.
2017 Q319.1%n.a.20.7%19.6%20.8%n.a.19.7%n.a.
2017 Q419.3%n.a.20.7%19.6%20.7%n.a.19.7%n.a.
2018 Q119.9%n.a.20.5%19.5%20.6%n.a.19.5%n.a.
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