International Equities Correlations

VCIEX Fund

USD 8.15 0.01 0.12%

The current 90-days correlation between International Equities and Mid Cap Index is 0.45 (i.e., Very weak diversification). The correlation of International Equities 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 Equities Correlation With Market

Very weak diversification

The correlation between International Equities Index and DJI is 0.41 (i.e., Very weak diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding International Equities Index 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 Equities Index. 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 income.

Moving together with International Mutual Fund

0.75	VCBDX	Valic Company I	Pair Corr
0.98	VCFVX	Foreign Value	Pair Corr
0.84	VCIFX	International Government	Pair Corr
0.82	VCTPX	Inflation Protected	Pair Corr
1.0	VCSOX	Global Social Awareness	Pair Corr
0.72	VGREX	Global Real Estate	Pair Corr
0.98	VIOPX	Valic Company I	Pair Corr
0.86	VGTSX	Vanguard Total Inter	Pair Corr
0.86	VTIAX	Vanguard Total Inter	Pair Corr
0.86	VTSNX	Vanguard Total Inter	Pair Corr
0.86	VTPSX	Vanguard Total Inter	Pair Corr
0.85	VTISX	Vanguard Total Inter	Pair Corr
0.99	VTMGX	Vanguard Developed	Pair Corr
0.99	VDVIX	Vanguard Developed	Pair Corr
0.99	VTMNX	Vanguard Developed	Pair Corr
0.99	VDIPX	Vanguard Developed	Pair Corr

Moving against International Mutual Fund

0.6	VMSGX	Mid Cap Strategic	Pair Corr
0.59	VBCVX	Broad Cap Value	Pair Corr
0.56	VAPPX	Valic Company I	Pair Corr
0.55	VCBCX	Blue Chip Growth	Pair Corr
0.54	VCGAX	Growth Income	Pair Corr
0.53	VSSVX	Small Cap Special	Pair Corr
0.52	VMIDX	Mid Cap Index	Pair Corr
0.52	VSTIX	Stock Index Fund	Pair Corr
0.49	VCNIX	Nasdaq 100 Index	Pair Corr
0.48	VCSTX	Science Technology	Pair Corr
0.46	VSRDX	Valic Company I	Pair Corr
0.44	VCIGX	Valic Company I	Pair Corr
0.42	VCAAX	Asset Allocation	Pair Corr
0.55	VCSLX	Small Cap Index	Pair Corr
0.53	VVMCX	Valic Company I	Pair Corr
0.51	VCULX	Growth Fund Growth	Pair Corr
0.51	VVSCX	Valic Company I	Pair Corr

Related Correlations Analysis

	VMIDX	VMSGX	VAPPX	VSRDX	VSTIX	VSSVX	VBCVX	VCAAX	VCBDX	VCBCX
VMIDX		0.98	0.96	0.95	0.96	0.95	0.97	0.93	-0.7	0.95	VMIDX
VMSGX	0.98		0.97	0.95	0.97	0.9	0.97	0.93	-0.72	0.96	VMSGX
VAPPX	0.96	0.97		0.98	0.99	0.85	0.95	0.95	-0.77	1.0	VAPPX
VSRDX	0.95	0.95	0.98		0.99	0.83	0.96	0.98	-0.68	0.98	VSRDX
VSTIX	0.96	0.97	0.99	0.99		0.85	0.97	0.98	-0.72	0.99	VSTIX
VSSVX	0.95	0.9	0.85	0.83	0.85		0.89	0.82	-0.6	0.85	VSSVX
VBCVX	0.97	0.97	0.95	0.96	0.97	0.89		0.94	-0.73	0.94	VBCVX
VCAAX	0.93	0.93	0.95	0.98	0.98	0.82	0.94		-0.58	0.96	VCAAX
VCBDX	-0.7	-0.72	-0.77	-0.68	-0.72	-0.6	-0.73	-0.58		-0.75	VCBDX
VCBCX	0.95	0.96	1.0	0.98	0.99	0.85	0.94	0.96	-0.75		VCBCX
	VMIDX	VMSGX	VAPPX	VSRDX	VSTIX	VSSVX	VBCVX	VCAAX	VCBDX	VCBCX

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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

VCBCX	+ 1.0	VAPPX
VSTIX	+ 0.99	VAPPX
VSTIX	+ 0.99	VSRDX
VCBCX	+ 0.99	VSTIX
VMSGX	+ 0.98	VMIDX
VSRDX	+ 0.98	VAPPX

High negative correlations

VCBDX	- 0.77	VAPPX
VCBCX	- 0.75	VCBDX
VCBDX	- 0.73	VBCVX
VCBDX	- 0.72	VSTIX
VCBDX	- 0.72	VMSGX
VCBDX	- 0.7	VMIDX

Risk-Adjusted Indicators

There is a big difference between International Mutual Fund performing well and International Equities 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 Equities' 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
VMIDX	0.72	0.00	0.03	0.12	0.64	(0.79)	1.73	(1.19)	5.20
VMSGX	0.71	0.06	0.08	0.18	0.64	(0.81)	1.60	(1.17)	4.39
VAPPX	0.75	0.01	0.01	0.13	1.17	(0.73)	1.50	(2.13)	4.99
VSRDX	0.58	(0.01)	(0.04)	0.11	0.65	(0.62)	1.12	(1.39)	3.62
VSTIX	0.56	0.00	(0.02)	0.12	0.65	(0.60)	1.17	(1.31)	3.85
VSSVX	0.86	(0.03)	0.02	0.10	0.75	(1.04)	1.84	(1.23)	7.23
VBCVX	0.53	0.02	0.01	0.15	0.32	(0.62)	1.18	(0.88)	3.80
VCAAX	0.36	(0.01)	(0.13)	0.09	0.39	(0.42)	0.74	(0.84)	2.63
VCBDX	0.23	(0.02)	0.00	0.52	0.00	0.00	0.41	(0.61)	1.42
VCBCX	0.72	0.00	(0.01)	0.12	1.03	(0.69)	1.69	(2.18)	4.92

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