Brandes Global Correlations

BGVCX Fund

USD 31.42 0.02 0.06%

The current 90-days correlation between Brandes Global Equity and Brandes Small Cap is 0.05 (i.e., Significant diversification). The correlation of Brandes Global 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.

Brandes Global Correlation With Market

Poor diversification

The correlation between Brandes Global Equity and DJI is 0.74 (i.e., Poor diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Brandes Global Equity and DJI in the same portfolio, assuming nothing else is changed.

Check out Trending Equities to better understand how to build diversified portfolios, which includes a position in Brandes Global Equity. 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 main economic indicators.

Moving together with Brandes Mutual Fund

0.64	BSCMX	Brandes Small Cap	Pair Corr
0.64	BSCAX	Brandes Small Cap	Pair Corr
1.0	BGEAX	Brandes Global Equity	Pair Corr
1.0	BGVIX	Brandes Global Equity	Pair Corr
0.68	TEDRX	Franklin Mutual Global	Pair Corr
0.71	FMDRX	Franklin Mutual Global	Pair Corr
0.72	DOXWX	Dodge Cox Global	Pair Corr
0.63	DODWX	Dodge Global Stock	Pair Corr
0.71	TRZRX	T Rowe Price	Pair Corr
0.69	TEDIX	Franklin Mutual Global	Pair Corr
0.7	MDISX	Franklin Mutual Global	Pair Corr
0.69	PRAFX	T Rowe Price	Pair Corr
0.67	BEGRX	Franklin Mutual Beacon	Pair Corr
0.81	ASG	Liberty All Star	Pair Corr
0.84	CII	Blackrock Enhanced	Pair Corr
0.72	ETV	Eaton Vance Tax	Pair Corr
0.81	USA	Liberty All Star	Pair Corr

Moving against Brandes Mutual Fund

0.46	BCPIX	Brandes E Plus	Pair Corr
0.45	BCPRX	Brandes E Plus	Pair Corr
0.44	BCPAX	Brandes E Plus	Pair Corr
0.4	SMARX	Brandes Separately	Pair Corr

Related Correlations Analysis

	BSCRX	BSCMX	BSCAX	BCPRX	BCPIX	BCPAX	BEMIX	BEMCX	BEMAX	BEMRX
BSCRX		0.97	0.97	-0.58	-0.59	-0.6	-0.19	-0.25	-0.23	-0.23	BSCRX
BSCMX	0.97		1.0	-0.59	-0.6	-0.61	-0.19	-0.24	-0.22	-0.21	BSCMX
BSCAX	0.97	1.0		-0.59	-0.6	-0.61	-0.2	-0.24	-0.22	-0.21	BSCAX
BCPRX	-0.58	-0.59	-0.59		1.0	0.97	-0.17	-0.07	-0.09	-0.09	BCPRX
BCPIX	-0.59	-0.6	-0.6	1.0		0.97	-0.16	-0.06	-0.08	-0.09	BCPIX
BCPAX	-0.6	-0.61	-0.61	0.97	0.97		-0.12	-0.02	-0.04	-0.04	BCPAX
BEMIX	-0.19	-0.19	-0.2	-0.17	-0.16	-0.12		0.95	0.95	0.95	BEMIX
BEMCX	-0.25	-0.24	-0.24	-0.07	-0.06	-0.02	0.95		1.0	1.0	BEMCX
BEMAX	-0.23	-0.22	-0.22	-0.09	-0.08	-0.04	0.95	1.0		1.0	BEMAX
BEMRX	-0.23	-0.21	-0.21	-0.09	-0.09	-0.04	0.95	1.0	1.0		BEMRX
	BSCRX	BSCMX	BSCAX	BCPRX	BCPIX	BCPAX	BEMIX	BEMCX	BEMAX	BEMRX

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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

BSCAX	+ 1.0	BSCMX
BCPIX	+ 1.0	BCPRX
BEMAX	+ 1.0	BEMCX
BEMRX	+ 1.0	BEMCX
BEMRX	+ 1.0	BEMAX
BSCMX	+ 0.97	BSCRX

High negative correlations

BCPAX	- 0.61	BSCAX
BCPAX	- 0.61	BSCMX
BCPIX	- 0.6	BSCAX
BCPIX	- 0.6	BSCMX
BCPAX	- 0.6	BSCRX
BCPRX	- 0.59	BSCAX

Risk-Adjusted Indicators

There is a big difference between Brandes Mutual Fund performing well and Brandes Global 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 Brandes Global'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
BSCRX	0.84	0.16	0.07	0.98	0.68	(1.07)	2.15	(1.39)	5.61
BSCMX	0.85	0.04	0.06	0.14	0.69	(1.07)	2.15	(1.37)	5.68
BSCAX	0.85	0.04	0.06	0.14	0.70	(1.10)	2.14	(1.39)	5.77
BCPRX	0.20	(0.01)	0.00	0.30	0.00	0.00	0.36	(0.48)	1.19
BCPIX	0.21	(0.01)	0.00	0.25	0.00	0.00	0.47	(0.48)	1.17
BCPAX	0.20	(0.02)	0.00	(0.33)	0.00	0.00	0.48	(0.48)	1.09
BEMIX	0.77	0.01	(0.10)	(0.01)	0.95	(0.86)	1.57	(1.75)	5.51
BEMCX	0.77	(0.04)	(0.10)	(0.02)	0.96	(0.85)	1.60	(1.77)	5.83
BEMAX	0.75	(0.04)	(0.10)	0.00	0.91	(0.86)	1.58	(1.64)	5.67
BEMRX	0.74	(0.03)	(0.10)	0.00	0.92	(0.85)	1.55	(1.62)	5.69

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