Active International Correlations

MSACX Fund

USD 19.54 0.60 3.17%

The current 90-days correlation between Active International and Walden Midcap Fund is 0.3 (i.e., Weak diversification). The correlation of Active International 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.

Active International Correlation With Market

Poor diversification

The correlation between Active International Allocatio and DJI is 0.74 (i.e., Poor diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Active International Allocatio and DJI in the same portfolio, assuming nothing else is changed.

Check out Correlation Analysis to better understand how to build diversified portfolios, which includes a position in Active International Allocation. 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 Active Mutual Fund

0.85	MLMAX	Global E Portfolio	Pair Corr
0.85	MLMCX	Global E Portfolio	Pair Corr
0.88	MLNSX	Global Centrated Por	Pair Corr
0.91	MLMIX	Global E Portfolio	Pair Corr
0.91	MLMSX	Global E Portfolio	Pair Corr
0.87	MLNCX	Global Centrated Por	Pair Corr
0.76	MLNAX	Global Centrated Por	Pair Corr
0.88	MLNIX	Global Centrated Por	Pair Corr
0.77	TIEUX	International Equity	Pair Corr
0.75	MPBAX	Global Strategist	Pair Corr
0.73	MRHYX	Msift High Yield	Pair Corr
0.75	MSAAX	Active International	Pair Corr
0.62	MSALX	International Advantage	Pair Corr

Moving against Active Mutual Fund

0.59	MMKBX	Emerging Markets Por	Pair Corr
0.56	MMMPX	Msif Emerging Markets	Pair Corr
0.56	MRGEX	Msif Emerging Markets	Pair Corr
0.35	TILUX	Inflation Linked Fixed	Pair Corr
0.32	MAIJX	Morgan Stanley Insti	Pair Corr
0.54	MSECX	Msif Intl Equity	Pair Corr
0.34	MAIHX	Morgan Stanley Insti	Pair Corr

Related Correlations Analysis

	WAMFX	EPVIX	DSMLX	TPVIX	ACTIX	DNINX	TVSVX	TASCX	TGUNX	FTGWX
WAMFX		0.9	-0.15	0.87	0.4	0.16	0.8	0.67	0.0	0.66	WAMFX
EPVIX	0.9		-0.27	0.85	0.33	0.16	0.83	0.72	0.0	0.74	EPVIX
DSMLX	-0.15	-0.27		-0.1	0.28	0.03	-0.35	-0.36	0.0	0.12	DSMLX
TPVIX	0.87	0.85	-0.1		0.43	0.26	0.83	0.71	0.0	0.76	TPVIX
ACTIX	0.4	0.33	0.28	0.43		-0.01	0.22	0.21	0.0	0.45	ACTIX
DNINX	0.16	0.16	0.03	0.26	-0.01		0.42	0.5	0.0	0.6	DNINX
TVSVX	0.8	0.83	-0.35	0.83	0.22	0.42		0.96	0.0	0.75	TVSVX
TASCX	0.67	0.72	-0.36	0.71	0.21	0.5	0.96		0.0	0.75	TASCX
TGUNX	0.0	0.0	0.0	0.0	0.0	0.0	0.0	0.0		0.0	TGUNX
FTGWX	0.66	0.74	0.12	0.76	0.45	0.6	0.75	0.75	0.0		FTGWX
	WAMFX	EPVIX	DSMLX	TPVIX	ACTIX	DNINX	TVSVX	TASCX	TGUNX	FTGWX

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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

TASCX	+ 0.96	TVSVX
EPVIX	+ 0.9	WAMFX
TPVIX	+ 0.87	WAMFX
TPVIX	+ 0.85	EPVIX
TVSVX	+ 0.83	EPVIX
TVSVX	+ 0.83	TPVIX

High negative correlations

TASCX	- 0.36	DSMLX
TVSVX	- 0.35	DSMLX
DSMLX	- 0.27	EPVIX
DSMLX	- 0.15	WAMFX
TPVIX	- 0.1	DSMLX
DNINX	- 0.01	ACTIX

Risk-Adjusted Indicators

There is a big difference between Active Mutual Fund performing well and Active International 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 Active International'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
WAMFX	0.64	0.08	0.07	0.20	0.53	(0.81)	1.39	(1.00)	7.34
EPVIX	0.88	0.16	0.13	0.33	0.76	(1.03)	1.80	(1.86)	8.56
DSMLX	0.86	(0.10)	0.00	(0.03)	0.00	0.00	1.71	(2.32)	4.94
TPVIX	0.84	(0.02)	0.01	0.06	0.86	(1.08)	2.14	(1.59)	6.92
ACTIX	0.14	(0.01)	(0.38)	(0.03)	0.12	(0.21)	0.32	(0.21)	0.84
DNINX	0.80	(0.09)	0.00	(0.02)	0.00	0.00	1.40	(1.45)	11.70
TVSVX	0.81	0.07	0.09	0.14	0.70	(1.02)	1.74	(1.30)	6.76
TASCX	0.73	0.02	0.02	0.10	0.76	(0.86)	1.71	(1.35)	4.25
TGUNX	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00
FTGWX	0.51	(0.03)	(0.07)	0.03	0.72	(0.49)	1.01	(1.16)	2.80

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