International Small Correlations

IRCYX Fund

USD 11.93 0.13 1.10%

The current 90-days correlation between International Small Cap and Fisher Large Cap is 0.54 (i.e., Very weak diversification). The correlation of International Small 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.

International Small Correlation With Market

Very weak diversification

The correlation between International Small Cap and DJI is 0.42 (i.e., Very weak diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding International Small Cap 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 International Small Cap. 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 manufacturing.

Moving together with International Mutual Fund

0.88	GCEAX	Ab Global E	Pair Corr
0.89	GCECX	Ab Global E	Pair Corr
0.88	GCEYX	Ab Global E	Pair Corr
0.71	AMTAX	Ab All Market	Pair Corr
0.7	AMTZX	Ab All Market	Pair Corr
0.7	AMTYX	Ab All Market	Pair Corr
0.71	AMTOX	Ab All Market	Pair Corr
0.62	ANACX	Ab Global Bond	Pair Corr
0.64	STEYX	International Strategic	Pair Corr
0.65	STEZX	International Strategic	Pair Corr
0.65	STESX	International Strategic	Pair Corr
0.82	STHAX	Ab Sustainable Thematic	Pair Corr
0.74	STHYX	Ab Sustainable Thematic	Pair Corr
0.7	SCRSX	Small Cap Core	Pair Corr
0.69	SCRYX	Small Cap Core	Pair Corr
0.69	SCRZX	Small Cap Core	Pair Corr
0.67	APGYX	Ab Large Cap	Pair Corr
0.69	APGAX	Ab Large Cap	Pair Corr
0.7	APGCX	Ab Large Cap	Pair Corr

Related Correlations Analysis

	ILESX	LMUSX	DFELX	GBAYX	RETSX	QGRIX	JAAIX
ILESX		0.96	0.78	0.88	0.86	0.87	0.47	ILESX
LMUSX	0.96		0.84	0.85	0.91	0.88	0.58	LMUSX
DFELX	0.78	0.84		0.66	0.98	0.83	0.83	DFELX
GBAYX	0.88	0.85	0.66		0.77	0.91	0.48	GBAYX
RETSX	0.86	0.91	0.98	0.77		0.88	0.79	RETSX
QGRIX	0.87	0.88	0.83	0.91	0.88		0.66	QGRIX
JAAIX	0.47	0.58	0.83	0.48	0.79	0.66		JAAIX
	ILESX	LMUSX	DFELX	GBAYX	RETSX	QGRIX	JAAIX

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Risk-Adjusted Indicators

There is a big difference between International Mutual Fund performing well and International Small 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 International Small'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
ILESX	0.70	(0.01)	(0.06)	0.06	1.00	(0.69)	1.24	(1.84)	6.28
LMUSX	0.74	0.00	(0.03)	0.09	1.19	(0.70)	1.27	(1.59)	6.30
DFELX	0.62	0.03	(0.03)	0.16	0.86	(0.64)	1.28	(1.42)	5.57
GBAYX	0.30	(0.01)	(0.16)	0.02	0.41	(0.33)	0.60	(0.59)	2.22
RETSX	0.58	0.02	(0.04)	0.15	0.79	(0.61)	1.19	(1.46)	5.40
QGRIX	0.39	(0.01)	(0.11)	0.06	0.56	(0.42)	0.72	(0.77)	3.29
JAAIX	0.16	0.01	(0.28)	0.22	0.12	(0.21)	0.31	(0.31)	1.13

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International Small Correlations

International Small Correlation With Market

Very weak diversification

Moving together with International Mutual Fund

Related Correlations Analysis

Risk-Adjusted Indicators

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