International Equity Correlations

Mutual Funds . USA . 
Fund . International Equity Portfolio
SIEYX Fund  USD 11.52  0.10  0.88%   
The current 90-days correlation between International Equity and Salient Alternative Beta is -0.14 (i.e., Good 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

Very weak diversification

The correlation between International Equity Portfolio 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 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 manufacturing.

Moving together with International Mutual Fund

  1.0SIECX International EquityPairCorr
  1.0SIEPX International EquityPairCorr

Moving against International Mutual Fund

  0.51SFPAX Financial ServicesPairCorr
  0.51SFPIX Financial ServicesPairCorr
  0.5SFPCX Financial ServicesPairCorr
  0.33SPMAX Mid CapitalizationPairCorr

Related Correlations Analysis

Click cells to compare fundamentals   Check Volatility   Backtest Portfolio

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 DeviationJensen AlphaSortino RatioTreynor RatioSemi DeviationExpected ShortfallPotential UpsideValue @RiskMaximum Drawdown
SABAX  0.46  0.06 (0.09) 0.87  0.50 
(0.51)
 0.95 
(0.92)
 2.97 
SABIX  0.43  0.02 (0.06) 0.16  0.37 
(0.53)
 1.16 
(0.80)
 2.94 
SABCX  0.47  0.00 (0.07) 0.12  0.46 
(0.53)
 0.91 
(0.99)
 2.92 
SAMAX  0.42  0.06 (0.11) 0.79  0.44 
(0.47)
 0.85 
(0.83)
 2.62 
SAMCX  0.42  0.05 (0.11) 0.75  0.44 
(0.47)
 0.83 
(0.84)
 2.75 
SAMIX  0.42  0.00 (0.08) 0.13  0.38 
(0.48)
 0.89 
(0.90)
 2.68 
SSCCX  1.00  0.09 (0.01) 0.59  0.95 
(1.62)
 2.59 
(1.77)
 7.85 
SSCPX  0.90 (0.04) 0.01  0.10  0.91 
(1.05)
 2.18 
(1.77)
 7.19 
SSCYX  0.91 (0.05) 0.01  0.10  0.94 
(1.04)
 2.10 
(1.79)
 7.25 
SBCCX  0.38  0.00 (0.11) 0.13  0.37 
(0.43)
 0.92 
(0.73)
 2.18 

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