Royce International Correlations

RIPIX Fund

USD 11.93 0.07 0.59%

The current 90-days correlation between Royce International and Guggenheim High Yield is 0.51 (i.e., Very weak diversification). The correlation of Royce 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.

Royce International Correlation With Market

Weak diversification

The correlation between Royce International Premier and DJI is 0.34 (i.e., Weak diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Royce International Premier and DJI in the same portfolio, assuming nothing else is changed.

Check out Your Equity Center to better understand how to build diversified portfolios, which includes a position in Royce International Premier. Also, note that the market value of any mutual fund could be closely tied with the direction of predictive economic indicators such as various price indices.

Moving together with Royce Mutual Fund

0.83	OSMYX	Oppenheimer Intl Small	Pair Corr
0.83	OSCIX	Oppenheimer Intl Small	Pair Corr
0.81	OSMNX	Oppenheimer Intl Small	Pair Corr
0.97	TIDDX	T Rowe Price	Pair Corr
0.78	MIDGX	Mfs International New	Pair Corr
0.79	MIDHX	Mfs International New	Pair Corr
0.79	MIDRX	Mfs International New	Pair Corr
0.67	IFN	India Closed	Pair Corr
0.61	USA	Liberty All Star	Pair Corr
0.8	DD	Dupont De Nemours Earnings Call This Week	Pair Corr
0.62	TRV	The Travelers Companies	Pair Corr
0.76	CAT	Caterpillar Earnings Call This Week	Pair Corr
0.66	JNJ	Johnson Johnson	Pair Corr

Moving against Royce Mutual Fund

0.67	VZ	Verizon Communications	Pair Corr
0.46	BA	Boeing	Pair Corr

Related Correlations Analysis

	SHYIX	DNHYX	CRDOX	SGYAX	SEIYX	FPIOX	FAGIX	RIMOX
SHYIX		0.81	0.94	0.96	0.82	0.86	0.91	0.72	SHYIX
DNHYX	0.81		0.83	0.79	0.94	0.95	0.7	0.71	DNHYX
CRDOX	0.94	0.83		0.91	0.8	0.85	0.89	0.69	CRDOX
SGYAX	0.96	0.79	0.91		0.85	0.84	0.84	0.77	SGYAX
SEIYX	0.82	0.94	0.8	0.85		0.97	0.68	0.72	SEIYX
FPIOX	0.86	0.95	0.85	0.84	0.97		0.76	0.66	FPIOX
FAGIX	0.91	0.7	0.89	0.84	0.68	0.76		0.6	FAGIX
RIMOX	0.72	0.71	0.69	0.77	0.72	0.66	0.6		RIMOX
	SHYIX	DNHYX	CRDOX	SGYAX	SEIYX	FPIOX	FAGIX	RIMOX

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Risk-Adjusted Indicators

There is a big difference between Royce Mutual Fund performing well and Royce 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 Royce 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
SHYIX	0.13	0.01	(0.35)	0.42	0.00	(0.21)	0.25	(0.25)	1.11
DNHYX	0.14	0.02	(0.25)	1.05	0.00	(0.19)	0.23	(0.23)	1.04
CRDOX	0.12	0.01	(0.33)	0.22	0.00	(0.16)	0.23	(0.23)	0.90
SGYAX	0.14	0.02	(0.30)	0.45	0.00	(0.25)	0.28	(0.28)	1.27
SEIYX	0.15	0.02	(0.28)	0.88	0.00	(0.27)	0.39	(0.20)	1.18
FPIOX	0.15	0.02	(0.28)	0.54	0.00	(0.24)	0.57	(0.23)	1.04
FAGIX	0.30	0.02	(0.10)	0.18	0.35	(0.33)	0.59	(0.39)	2.24
RIMOX	0.06	0.01	(0.40)	1.29	0.00	(0.08)	0.15	(0.10)	0.57

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