International Equity Correlations

MSQLX Fund

USD 10.24 0.09 0.87%

The current 90-days correlation between International Equity and Ft 7934 Corporate is 0.09 (i.e., Significant diversification). The correlation of International Equity 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 Equity Correlation With Market

Average diversification

The correlation between International Equity Portfolio and DJI is 0.15 (i.e., Average diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding International Equity Portfolio 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 International Equity Portfolio. 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 bureau of economic analysis.

Moving together with International Mutual Fund

0.7	MLNSX	Global Centrated Por	Pair Corr
0.69	MLNCX	Global Centrated Por	Pair Corr
0.68	MLNAX	Global Centrated Por	Pair Corr
0.69	MMKBX	Emerging Markets Por	Pair Corr
0.73	TIEUX	International Equity	Pair Corr
0.66	TIIUX	Core Fixed Income	Pair Corr
0.67	TILUX	Inflation Linked Fixed	Pair Corr
0.8	MAAQX	Morgan Stanley Insti	Pair Corr
0.78	MSACX	Active International	Pair Corr

Related Correlations Analysis

	FZNQEX	EIPIX	IHIAX	PRNHX	LMUSX	HSUAX	OPTCX
FZNQEX		0.66	0.66	0.78	0.74	0.18	-0.01	FZNQEX
EIPIX	0.66		0.46	0.69	0.66	0.01	-0.01	EIPIX
IHIAX	0.66	0.46		0.45	0.45	0.37	-0.04	IHIAX
PRNHX	0.78	0.69	0.45		0.92	0.44	0.31	PRNHX
LMUSX	0.74	0.66	0.45	0.92		0.57	0.47	LMUSX
HSUAX	0.18	0.01	0.37	0.44	0.57		0.82	HSUAX
OPTCX	-0.01	-0.01	-0.04	0.31	0.47	0.82		OPTCX
	FZNQEX	EIPIX	IHIAX	PRNHX	LMUSX	HSUAX	OPTCX

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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

LMUSX	+ 0.92	PRNHX
OPTCX	+ 0.82	HSUAX
PRNHX	+ 0.78	FZNQEX
LMUSX	+ 0.74	FZNQEX
PRNHX	+ 0.69	EIPIX
EIPIX	+ 0.66	FZNQEX

High negative correlations

OPTCX	- 0.04	IHIAX
OPTCX	- 0.01	EIPIX
OPTCX	- 0.01	FZNQEX

Risk-Adjusted Indicators

There is a big difference between International Mutual Fund performing well and International Equity 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 Equity'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
FZNQEX	0.08	(0.01)	0.00	(0.33)	0.00	0.00	0.29	(0.15)	0.66
EIPIX	0.86	(0.05)	(0.04)	(0.01)	1.81	(0.73)	1.68	(1.72)	9.39
IHIAX	0.19	0.01	(0.17)	0.16	0.12	(0.25)	0.51	(0.39)	1.55
PRNHX	0.87	0.05	0.01	0.15	1.17	(0.91)	1.80	(1.60)	7.56
LMUSX	0.74	0.01	(0.02)	0.08	1.20	(0.70)	1.27	(1.59)	6.30
HSUAX	0.70	0.14	0.08	0.48	0.88	(0.75)	1.31	(1.20)	6.61
OPTCX	0.13	0.02	(0.20)	0.54	0.00	(0.22)	0.31	(0.31)	1.35

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