International Equity Correlations

SIEPX Fund

USD 11.37 0.08 0.70%

The current 90-days correlation between International Equity and Salient Alternative Beta is 0.63 (i.e., Poor 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

Good diversification

The correlation between International Equity Portfolio and DJI is -0.01 (i.e., Good 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 World Market Map 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 american community survey.

Moving together with International Mutual Fund

0.9	SIEYX	International Equity	Pair Corr
1.0	SIECX	International Equity	Pair Corr

Moving against International Mutual Fund

0.33	SFPCX	Financial Services	Pair Corr
0.33	SFPAX	Financial Services	Pair Corr
0.33	SFPIX	Financial Services	Pair Corr

Related Correlations Analysis

	SABAX	SABIX	SABCX	SAMAX	SAMCX	SAMIX	SSCCX	SSCPX	SSCYX	SBCCX
SABAX		0.96	0.95	0.95	0.95	0.95	0.88	0.89	0.89	0.94	SABAX
SABIX	0.96		0.99	0.99	0.99	0.99	0.93	0.94	0.94	0.99	SABIX
SABCX	0.95	0.99		1.0	1.0	1.0	0.95	0.96	0.96	1.0	SABCX
SAMAX	0.95	0.99	1.0		1.0	1.0	0.94	0.95	0.95	1.0	SAMAX
SAMCX	0.95	0.99	1.0	1.0		1.0	0.94	0.96	0.95	1.0	SAMCX
SAMIX	0.95	0.99	1.0	1.0	1.0		0.94	0.95	0.95	1.0	SAMIX
SSCCX	0.88	0.93	0.95	0.94	0.94	0.94		1.0	1.0	0.94	SSCCX
SSCPX	0.89	0.94	0.96	0.95	0.96	0.95	1.0		1.0	0.95	SSCPX
SSCYX	0.89	0.94	0.96	0.95	0.95	0.95	1.0	1.0		0.95	SSCYX
SBCCX	0.94	0.99	1.0	1.0	1.0	1.0	0.94	0.95	0.95		SBCCX
	SABAX	SABIX	SABCX	SAMAX	SAMCX	SAMIX	SSCCX	SSCPX	SSCYX	SBCCX

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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
SABAX	0.48	0.07	(0.05)	0.94	0.46	(0.54)	1.09	(0.92)	3.15
SABIX	0.45	0.03	(0.04)	0.16	0.37	(0.56)	1.16	(0.80)	2.94
SABCX	0.48	(0.01)	(0.08)	0.10	0.51	(0.53)	0.91	(0.99)	2.92
SAMAX	0.42	(0.01)	(0.09)	0.11	0.44	(0.47)	0.85	(0.83)	2.62
SAMCX	0.42	(0.01)	(0.10)	0.10	0.45	(0.47)	0.83	(0.84)	2.75
SAMIX	0.42	(0.01)	(0.10)	0.11	0.41	(0.50)	0.89	(0.90)	2.68
SSCCX	1.00	(0.07)	0.00	0.07	0.95	(1.62)	2.59	(1.77)	7.85
SSCPX	0.92	(0.06)	0.00	0.08	1.00	(1.08)	2.18	(1.77)	7.19
SSCYX	0.94	(0.06)	0.00	0.08	1.03	(1.06)	2.10	(1.79)	7.25
SBCCX	0.38	(0.01)	(0.13)	0.11	0.38	(0.44)	0.92	(0.73)	2.18

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