First Eagle Correlations

FESCX Fund

USD 12.17 0.12 1.00%

The current 90-days correlation between First Eagle Small and Ab Small Cap is 0.68 (i.e., Poor diversification). The correlation of First Eagle 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.

First Eagle Correlation With Market

Poor diversification

The correlation between First Eagle Small and DJI is 0.73 (i.e., Poor diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding First Eagle Small 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 First Eagle Small. 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 unemployment.

Moving together with First Mutual Fund

0.95	VSIIX	Vanguard Small Cap	Pair Corr
0.83	VISVX	Vanguard Small Cap	Pair Corr
0.76	DFSVX	Us Small Cap	Pair Corr
0.75	DFFVX	Us Targeted Value	Pair Corr
0.82	UBVCX	Undiscovered Managers	Pair Corr
0.83	UBVAX	Undiscovered Managers	Pair Corr
0.83	UBVSX	Undiscovered Managers	Pair Corr
0.67	VSMCX	Invesco Small Cap	Pair Corr
0.77	RSNRX	Victory Global Natural	Pair Corr
0.77	RSNYX	Victory Global Natural	Pair Corr
0.77	RGNCX	Victory Global Natural	Pair Corr
0.75	FSELX	Fidelity Select Semi	Pair Corr
0.67	BA	Boeing	Pair Corr

Related Correlations Analysis

	SCYVX	MMSCX	ANTMX	DRSVX	TVOYX	GSQRX	HSMSX
SCYVX		0.9	0.87	0.96	0.85	0.93	0.98	SCYVX
MMSCX	0.9		0.83	0.81	0.71	0.91	0.92	MMSCX
ANTMX	0.87	0.83		0.9	0.73	0.76	0.87	ANTMX
DRSVX	0.96	0.81	0.9		0.87	0.83	0.95	DRSVX
TVOYX	0.85	0.71	0.73	0.87		0.79	0.84	TVOYX
GSQRX	0.93	0.91	0.76	0.83	0.79		0.95	GSQRX
HSMSX	0.98	0.92	0.87	0.95	0.84	0.95		HSMSX
	SCYVX	MMSCX	ANTMX	DRSVX	TVOYX	GSQRX	HSMSX

Risk-Adjusted Indicators

There is a big difference between First Mutual Fund performing well and First Eagle 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 First Eagle'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
SCYVX	0.86	0.02	0.02	0.09	1.06	(0.94)	2.27	(1.91)	4.47
MMSCX	1.02	0.18	0.09	5.92	0.92	(1.17)	1.95	(1.77)	10.10
ANTMX	0.72	0.00	(0.01)	0.07	0.93	(0.73)	1.40	(1.60)	3.31
DRSVX	0.80	(0.03)	(0.01)	0.05	0.98	(0.90)	1.80	(1.43)	4.19
TVOYX	0.82	0.02	0.03	0.09	0.91	(0.88)	1.75	(1.39)	4.44
GSQRX	1.44	0.38	0.43	0.24	0.48	(1.82)	2.18	(1.70)	33.13
HSMSX	1.01	0.06	0.08	0.12	1.00	(1.22)	2.45	(1.88)	7.65

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First Eagle Correlations

First Eagle Correlation With Market

Poor diversification

Moving together with First Mutual Fund

Related Correlations Analysis

Risk-Adjusted Indicators

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