International Government Correlations

VCIFX Fund

USD 9.91 0.01 0.10%

The current 90-days correlation between International Government and Mid Cap Index is 0.15 (i.e., Average diversification). The correlation of International Government 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 Government Correlation With Market

Average diversification

The correlation between International Government Bond and DJI is 0.19 (i.e., Average diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding International Government Bond 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 Government Bond. 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 census.

Moving together with International Mutual Fund

0.94	VCBDX	Valic Company I	Pair Corr
0.79	VCGEX	Emerging Economies	Pair Corr
0.96	VCGSX	Government Securities	Pair Corr
0.89	VCFVX	Foreign Value	Pair Corr
0.9	VCIEX	International Equities	Pair Corr
0.63	VCIGX	Valic Company I	Pair Corr
0.95	VCTPX	Inflation Protected	Pair Corr
0.93	VCSOX	Global Social Awareness	Pair Corr
0.74	VGCLX	Valic Company I	Pair Corr
0.88	VGREX	Global Real Estate	Pair Corr
0.94	VIOPX	Valic Company I	Pair Corr
0.92	FGBRX	Templeton Global Bond	Pair Corr
0.91	FBNRX	Templeton Global Bond	Pair Corr
0.94	FCWBX	Capital World Bond	Pair Corr
0.97	RCWBX	Capital World Bond	Pair Corr

Moving against International Mutual Fund

0.35	VCBCX	Blue Chip Growth	Pair Corr
0.35	VCULX	Growth Fund Growth	Pair Corr
0.34	VAPPX	Valic Company I	Pair Corr

Related Correlations Analysis

	VMIDX	VMSGX	VSRDX	VSSVX	VBCVX	VCAAX	VCBCX	VCGAX	VCGSX	VCFVX
VMIDX		0.92	0.92	0.95	0.91	0.9	0.35	0.82	0.49	0.34	VMIDX
VMSGX	0.92		0.84	0.83	0.74	0.85	0.61	0.94	0.32	0.08	VMSGX
VSRDX	0.92	0.84		0.91	0.91	0.97	0.3	0.78	0.62	0.5	VSRDX
VSSVX	0.95	0.83	0.91		0.94	0.88	0.22	0.72	0.52	0.38	VSSVX
VBCVX	0.91	0.74	0.91	0.94		0.83	-0.01	0.58	0.59	0.54	VBCVX
VCAAX	0.9	0.85	0.97	0.88	0.83		0.43	0.85	0.63	0.46	VCAAX
VCBCX	0.35	0.61	0.3	0.22	-0.01	0.43		0.81	-0.19	-0.42	VCBCX
VCGAX	0.82	0.94	0.78	0.72	0.58	0.85	0.81		0.23	-0.01	VCGAX
VCGSX	0.49	0.32	0.62	0.52	0.59	0.63	-0.19	0.23		0.85	VCGSX
VCFVX	0.34	0.08	0.5	0.38	0.54	0.46	-0.42	-0.01	0.85		VCFVX
	VMIDX	VMSGX	VSRDX	VSSVX	VBCVX	VCAAX	VCBCX	VCGAX	VCGSX	VCFVX

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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

VCAAX	+ 0.97	VSRDX
VSSVX	+ 0.95	VMIDX
VCGAX	+ 0.94	VMSGX
VBCVX	+ 0.94	VSSVX
VMSGX	+ 0.92	VMIDX
VSRDX	+ 0.92	VMIDX

High negative correlations

VCFVX	- 0.42	VCBCX
VCGSX	- 0.19	VCBCX
VCFVX	- 0.01	VCGAX
VCBCX	- 0.01	VBCVX

Risk-Adjusted Indicators

There is a big difference between International Mutual Fund performing well and International Government 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 Government'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
VMIDX	0.70	0.02	0.01	0.07	0.96	(0.72)	1.44	(1.19)	8.00
VMSGX	0.81	0.04	0.02	0.09	1.13	(0.78)	1.70	(1.40)	7.16
VSRDX	0.59	(0.01)	(0.03)	(0.02)	0.89	(0.57)	1.15	(1.39)	5.12
VSSVX	0.82	0.00	(0.01)	0.01	1.02	(0.86)	1.55	(1.21)	9.72
VBCVX	0.54	(0.01)	(0.04)	(0.02)	0.68	(0.62)	1.18	(0.91)	5.58
VCAAX	0.41	(0.01)	(0.04)	(0.03)	0.61	(0.44)	0.74	(0.89)	3.81
VCBCX	0.80	0.08	0.05	0.26	1.10	(0.80)	1.67	(1.85)	5.85
VCGAX	0.58	0.03	0.02	0.10	0.84	(0.56)	1.18	(1.36)	5.70
VCGSX	0.24	(0.03)	0.00	(0.44)	0.00	0.00	0.43	(0.54)	1.50
VCFVX	0.56	(0.07)	0.00	(0.24)	0.00	0.00	1.09	(1.18)	3.51

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