International Value Correlations

MEQAX Fund

USD 9.62 0.15 1.58%

The current 90-days correlation between International Value and Mid Cap Value is 0.52 (i.e., Very weak diversification). The correlation of International Value 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 Value Correlation With Market

Very weak diversification

The correlation between International Value Fund and DJI is 0.56 (i.e., Very weak diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding International Value Fund and DJI in the same portfolio, assuming nothing else is changed.

Check out Correlation Analysis to better understand how to build diversified portfolios, which includes a position in International Value Fund. 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 nation.

Moving together with International Mutual Fund

0.79	CDBCX	Diversified Bond	Pair Corr
0.92	TWACX	Short Term Government	Pair Corr
0.92	TWARX	Short Term Government	Pair Corr
0.93	TWAVX	Short Term Government	Pair Corr
0.73	TWGAX	International Growth	Pair Corr
0.73	TWIEX	International Growth	Pair Corr
0.67	TWTIX	Intermediate Term Tax	Pair Corr
0.63	TWWOX	Intermediate Term Tax	Pair Corr

Moving against International Mutual Fund

0.66	TWCCX	Ultra Fund C	Pair Corr
0.62	TWCAX	Select Fund A	Pair Corr
0.62	TWCIX	Select Fund Investor	Pair Corr
0.61	TWCGX	Growth Fund Investor	Pair Corr
0.48	AMEIX	Equity Growth	Pair Corr
0.43	TWBIX	Balanced Fund Investor	Pair Corr
0.7	TWCUX	Ultra Fund Investor	Pair Corr
0.67	TWUAX	Ultra Fund A	Pair Corr
0.62	TWSIX	Select Fund I	Pair Corr
0.61	TWGIX	Growth Fund I	Pair Corr
0.6	TWRCX	Growth Fund C	Pair Corr
0.38	TWHIX	Heritage Fund Investor	Pair Corr
0.67	TWUIX	Ultra Fund I	Pair Corr
0.52	ANOCX	Small Cap Growth	Pair Corr
0.51	ANORX	Small Cap Growth	Pair Corr
0.51	ANOIX	Small Cap Growth	Pair Corr
0.5	ANONX	Small Cap Growth	Pair Corr
0.5	ANOGX	Small Cap Growth	Pair Corr

Related Correlations Analysis

	AMDVX	AMEIX	AMGIX	CDBCX	AMKIX	TWACX	TWADX	TWCCX	TWCAX	TWCIX
AMDVX		0.44	0.67	0.46	0.39	0.02	0.99	0.55	0.54	0.53	AMDVX
AMEIX	0.44		0.91	-0.35	0.17	-0.62	0.36	0.89	0.93	0.93	AMEIX
AMGIX	0.67	0.91		-0.07	0.23	-0.36	0.62	0.79	0.82	0.82	AMGIX
CDBCX	0.46	-0.35	-0.07		0.53	0.81	0.55	-0.37	-0.36	-0.37	CDBCX
AMKIX	0.39	0.17	0.23	0.53		0.33	0.44	0.05	0.09	0.09	AMKIX
TWACX	0.02	-0.62	-0.36	0.81	0.33		0.13	-0.76	-0.74	-0.74	TWACX
TWADX	0.99	0.36	0.62	0.55	0.44	0.13		0.46	0.45	0.44	TWADX
TWCCX	0.55	0.89	0.79	-0.37	0.05	-0.76	0.46		0.99	0.99	TWCCX
TWCAX	0.54	0.93	0.82	-0.36	0.09	-0.74	0.45	0.99		1.0	TWCAX
TWCIX	0.53	0.93	0.82	-0.37	0.09	-0.74	0.44	0.99	1.0		TWCIX
	AMDVX	AMEIX	AMGIX	CDBCX	AMKIX	TWACX	TWADX	TWCCX	TWCAX	TWCIX

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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

TWCIX	+ 1.0	TWCAX
TWADX	+ 0.99	AMDVX
TWCAX	+ 0.99	TWCCX
TWCIX	+ 0.99	TWCCX
TWCAX	+ 0.93	AMEIX
TWCIX	+ 0.93	AMEIX

High negative correlations

TWCCX	- 0.76	TWACX
TWCIX	- 0.74	TWACX
TWCAX	- 0.74	TWACX
TWACX	- 0.62	AMEIX
TWCIX	- 0.37	CDBCX
TWCCX	- 0.37	CDBCX

Risk-Adjusted Indicators

There is a big difference between International Mutual Fund performing well and International Value 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 Value'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
AMDVX	0.73	(0.05)	0.00	(0.17)	0.00	0.00	1.19	(1.57)	7.12
AMEIX	0.81	(0.06)	0.00	(0.18)	0.00	0.00	1.25	(1.83)	4.56
AMGIX	0.63	(0.06)	0.00	(0.20)	0.00	0.00	1.04	(1.46)	2.73
CDBCX	0.25	(0.01)	0.00	(0.38)	0.00	0.00	0.56	(0.44)	1.34
AMKIX	0.77	0.06	0.11	0.04	1.07	(0.75)	1.40	(1.68)	6.19
TWACX	0.09	0.00	0.85	0.57	0.00	(0.14)	0.22	(0.11)	0.45
TWADX	0.70	(0.04)	0.00	(0.15)	0.00	0.00	1.12	(1.51)	8.36
TWCCX	1.16	(0.15)	0.00	(0.23)	0.00	0.00	1.87	(2.78)	6.73
TWCAX	1.10	(0.11)	0.00	(0.21)	0.00	0.00	1.81	(2.57)	6.32
TWCIX	1.10	(0.11)	0.00	(0.20)	0.00	0.00	1.82	(2.58)	6.32

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