European Equity Correlations

EEA Fund

USD 9.20 0.01 0.11%

The correlation of European 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.

European Equity Correlation With Market

Significant diversification

The correlation between European Equity Closed and DJI is 0.04 (i.e., Significant diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding European Equity Closed and DJI in the same portfolio, assuming nothing else is changed.

Check out Investing Opportunities to better understand how to build diversified portfolios, which includes a position in European Equity Closed. Also, note that the market value of any fund could be closely tied with the direction of predictive economic indicators such as signals in income.

Moving together with European Fund

0.94	CEE	Central Europe Russia	Pair Corr
0.86	KF	Korea Closed	Pair Corr
0.91	TDF	Templeton Dragon Closed	Pair Corr
0.98	NSIVX	North Square Investments	Pair Corr
0.69	THNYX	Thornburg New York	Pair Corr
0.84	FFVTX	Fidelity Advisor Freedom	Pair Corr
0.71	TSSIX	Thornburg Strategic	Pair Corr
0.87	AINGX	Inflation Adjusted Bond	Pair Corr
0.77	BRXVX	Mfs Blended Research	Pair Corr
0.82	WAVLX	Wavelength Interest Rate	Pair Corr
0.79	COICX	Calvert International	Pair Corr
0.86	PSHYX	Pioneer Short Term	Pair Corr
0.88	AILCX	American Beacon Inte	Pair Corr
0.82	QBDAX	Quantified Managed Income	Pair Corr
0.98	HLIDX	Harding Loevner Inte	Pair Corr
0.87	TIKPX	Tiaa-cref Inflation-linked	Pair Corr
0.94	LSBDX	Loomis Sayles Bond	Pair Corr
0.69	GMTYX	Mydestination 2015	Pair Corr
0.77	INVYX	Pioneer International	Pair Corr
0.9	LIDRX	Lord Abbett International	Pair Corr
0.85	THRRX	Thornburg Limited Term	Pair Corr
0.75	THMCX	Thornburg Intermediate	Pair Corr
0.98	SCINX	Deutsche Croci Inter	Pair Corr
0.78	RNWHX	New World Fund	Pair Corr
0.8	THNIX	Thornburg New Mexico	Pair Corr
0.92	THOIX	Thornburg Global Opp	Pair Corr
0.87	THOVX	Thornburg Global Opp	Pair Corr
0.88	GAMDX	Goldman Sachs Local	Pair Corr
0.8	TPISX	Tiaa Cref Intl	Pair Corr
0.89	GHQYX	Amer Beacon Garcia	Pair Corr
0.81	VMPYX	Wells Fargo Advantage	Pair Corr

Moving against European Fund

0.68	TWN	Taiwan Closed	Pair Corr
0.55	CCD	Calamos Dynamic Conv	Pair Corr
0.32	SRV	Cushing Mlp Total	Pair Corr
0.31	BTO	John Hancock Financial	Pair Corr

Related Correlations Analysis

	XFLT-PA	MCR	NNY	IHTA	HYI	CEE	FRRPF	HIO	GDO
XFLT-PA		0.61	0.72	0.0	0.75	0.69	-0.64	0.6	0.7	XFLT-PA
MCR	0.61		0.74	0.0	0.89	0.54	-0.3	0.28	0.45	MCR
NNY	0.72	0.74		0.0	0.87	0.85	-0.78	0.78	0.82	NNY
IHTA	0.0	0.0	0.0		0.0	0.0	0.0	0.0	0.0	IHTA
HYI	0.75	0.89	0.87	0.0		0.73	-0.53	0.55	0.62	HYI
CEE	0.69	0.54	0.85	0.0	0.73		-0.83	0.8	0.88	CEE
FRRPF	-0.64	-0.3	-0.78	0.0	-0.53	-0.83		-0.94	-0.91	FRRPF
HIO	0.6	0.28	0.78	0.0	0.55	0.8	-0.94		0.88	HIO
GDO	0.7	0.45	0.82	0.0	0.62	0.88	-0.91	0.88		GDO
	XFLT-PA	MCR	NNY	IHTA	HYI	CEE	FRRPF	HIO	GDO

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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

HYI	+ 0.89	MCR
GDO	+ 0.88	CEE
GDO	+ 0.88	HIO
HYI	+ 0.87	NNY
CEE	+ 0.85	NNY
GDO	+ 0.82	NNY

High negative correlations

HIO	- 0.94	FRRPF
GDO	- 0.91	FRRPF
FRRPF	- 0.83	CEE
FRRPF	- 0.78	NNY
FRRPF	- 0.64	XFLT-PA
FRRPF	- 0.53	HYI

Risk-Adjusted Indicators

There is a big difference between European Fund performing well and European Equity 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 European 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
XFLT-PA	0.15	0.01	0.21	(0.34)	0.09	(0.19)	0.40	(0.28)	1.20
MCR	0.36	0.02	0.09	4.65	0.43	(0.47)	0.63	(0.80)	3.89
NNY	0.37	0.06	0.23	(0.56)	0.28	(0.47)	0.88	(0.62)	1.96
IHTA	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00
HYI	0.37	0.02	0.12	0.80	0.41	(0.37)	0.68	(0.67)	1.61
CEE	2.02	0.51	0.20	13.93	2.18	(2.27)	5.96	(3.52)	20.37
FRRPF	1.30	(0.63)	0.00	(1.17)	0.00	0.00	0.52	(5.27)	12.36
HIO	0.41	0.07	0.22	9.72	0.27	(0.58)	0.99	(0.52)	3.23
GDO	0.40	0.08	0.29	1.33	0.21	(0.56)	1.05	(0.69)	2.57

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