European Equity Correlations

EEA Fund

USD 9.07 0.06 0.67%

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

Modest diversification

The correlation between European Equity Closed and DJI is 0.23 (i.e., Modest 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

0.89	NHS	Neuberger Berman High	Pair Corr
0.86	HLDSX	Hartford Emerging	Pair Corr
0.96	VTMNX	Vanguard Developed	Pair Corr
0.72	SDGFX	Sdit Short Duration	Pair Corr
0.65	NUW	Nuveen Amt Free	Pair Corr
0.87	GUHYX	Victory High Yield	Pair Corr
0.83	NLSAX	Neuberger Berman Long	Pair Corr
0.98	IAFEX	Fisher All Foreign	Pair Corr
0.77	BATIX	Bmo Tch Porate	Pair Corr
0.87	CYBAX	Calvert High Yield	Pair Corr
0.84	TREMX	T Rowe Price	Pair Corr
0.86	RBNCX	Robinson Opportunistic	Pair Corr
0.67	TTABX	T Rowe Price	Pair Corr
0.96	BISAX	Brandes International	Pair Corr
0.9	PIMIX	Pimco Income	Pair Corr
0.65	USIAX	Ubs Ultra Short	Pair Corr
0.7	PYUSX	Payden Government	Pair Corr
0.96	TIIEX	Tiaa Cref International	Pair Corr
0.91	RNOTX	Rivernorthoaktree High	Pair Corr
0.81	NCMFX	Virtus Multi Sector	Pair Corr
0.92	GHVIX	Gmo High Yield	Pair Corr
0.8	VRSAX	Voya Retirement Solution	Pair Corr
0.66	PAIDX	Pimco Short Asset	Pair Corr
0.88	VWEAX	Vanguard High Yield	Pair Corr
0.82	VTRSX	Voya Target Retirement	Pair Corr
0.83	LIFAX	Lord Abbett Inflation	Pair Corr
0.85	DFXIX	Dfa Diversified Fixed	Pair Corr
0.83	DNYMX	Dfa Ny Municipal	Pair Corr
0.87	RWDNX	Redwood Managed Vola	Pair Corr
0.88	GSZAX	Goldman Sachs Strategic	Pair Corr
0.64	DILYX	Davis International	Pair Corr
0.77	VFSUX	Vanguard Short Term	Pair Corr
0.88	EMBYX	Unconstrained Emerging	Pair Corr
0.81	MIAKX	Mfs Inflation Adjusted	Pair Corr
0.64	NEARX	Near Term Tax	Pair Corr
0.62	TRIZX	T Rowe Price	Pair Corr
0.87	GSHRX	Goldman Sachs High	Pair Corr

Related Correlations Analysis

	XFLT-PA	MCR	NNY	IHTA	HYI	CEE	FRRPF	HIO	GDO
XFLT-PA		0.72	-0.02	0.0	0.55	0.69	-0.92	0.71	0.04	XFLT-PA
MCR	0.72		0.42	0.0	0.81	0.78	-0.8	0.8	0.46	MCR
NNY	-0.02	0.42		0.0	0.7	0.47	-0.01	0.33	0.87	NNY
IHTA	0.0	0.0	0.0		0.0	0.0	0.0	0.0	0.0	IHTA
HYI	0.55	0.81	0.7	0.0		0.79	-0.58	0.74	0.71	HYI
CEE	0.69	0.78	0.47	0.0	0.79		-0.75	0.77	0.49	CEE
FRRPF	-0.92	-0.8	-0.01	0.0	-0.58	-0.75		-0.78	-0.02	FRRPF
HIO	0.71	0.8	0.33	0.0	0.74	0.77	-0.78		0.43	HIO
GDO	0.04	0.46	0.87	0.0	0.71	0.49	-0.02	0.43		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

GDO	+ 0.87	NNY
HYI	+ 0.81	MCR
HIO	+ 0.8	MCR
CEE	+ 0.79	HYI
CEE	+ 0.78	MCR
HIO	+ 0.77	CEE

High negative correlations

FRRPF	- 0.92	XFLT-PA
FRRPF	- 0.8	MCR
HIO	- 0.78	FRRPF
FRRPF	- 0.75	CEE
FRRPF	- 0.58	HYI
GDO	- 0.02	FRRPF

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	0.20	0.01	0.02	0.46	0.18	(0.22)	0.44	(0.36)	1.20
MCR	0.39	0.08	0.12	13.44	0.38	(0.50)	0.80	(0.80)	3.75
NNY	0.36	0.02	0.04	0.14	0.37	(0.43)	0.87	(0.62)	1.74
IHTA	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00
HYI	0.40	0.03	0.06	0.13	0.43	(0.44)	0.85	(0.84)	2.38
CEE	1.89	0.42	0.18	6.31	2.11	(2.24)	5.26	(3.06)	20.37
FRRPF	0.96	(0.46)	0.00	5.55	0.00	0.00	0.52	(3.68)	9.50
HIO	0.45	0.08	0.14	0.28	0.27	(0.71)	1.04	(0.77)	3.64
GDO	0.47	0.02	0.02	0.12	0.66	(0.51)	0.98	(0.92)	3.70

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