Sprucegrove International Correlations

SPRDX Fund

USD 69.80 0.64 0.91%

The current 90-days correlation between Sprucegrove International and Sprucegrove International Equity is 1.0 (i.e., No risk reduction). The correlation of Sprucegrove International 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.

Sprucegrove International Correlation With Market

Modest diversification

The correlation between Sprucegrove International Equi and DJI is 0.2 (i.e., Modest diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Sprucegrove International Equi 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 Sprucegrove International 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 unemployment.

Moving together with Sprucegrove Mutual Fund

1.0	SPRNX	Sprucegrove International	Pair Corr
1.0	SPRVX	Sprucegrove International	Pair Corr
0.93	DOXFX	Dodge Cox International	Pair Corr
0.94	OANIX	Oakmark International	Pair Corr
0.93	DODFX	Dodge International Stock	Pair Corr
0.94	OAKIX	Oakmark International	Pair Corr
0.94	OAYIX	Oakmark International	Pair Corr
0.94	OAZIX	Oakmark International	Pair Corr
0.93	FINVX	Fidelity Series Inte	Pair Corr
0.97	VTRIX	Vanguard International	Pair Corr
0.97	RRIGX	T Rowe Price	Pair Corr
0.66	USPSX	Profunds Ultrashort	Pair Corr
0.63	PDI	Pimco Dynamic Income	Pair Corr
0.66	USPIX	Profunds Ultrashort	Pair Corr
0.71	UIPIX	Ultrashort Mid Cap Steady Growth	Pair Corr

Moving against Sprucegrove Mutual Fund

0.83	FTCAX	Templeton Strained Bond	Pair Corr
0.54	PYAIX	Payden Absolute Return	Pair Corr
0.83	CCLFX	Cliffwater Corporate	Pair Corr
0.77	QRSVX	Queens Road Small	Pair Corr
0.76	ZVNIX	Zevenbergen Growth	Pair Corr
0.75	PYARX	Payden Absolute Return	Pair Corr
0.75	LMUSX	Qs Large Cap	Pair Corr
0.74	ADNAX	American Beacon Ark	Pair Corr
0.73	LVAQX	Lsv Small Cap	Pair Corr
0.67	BRLGX	American Beacon Bridgeway	Pair Corr
0.66	MRAGX	Meridian Growth	Pair Corr
0.65	DXQLX	Direxion Monthly Nasdaq	Pair Corr
0.62	BCAAX	Brandywineglobal C	Pair Corr
0.52	AVGCX	Dynamic Total Return	Pair Corr
0.37	JABPX	John Hancock Funds	Pair Corr
0.36	SROCX	Calamos Antetokounmpo	Pair Corr
0.33	AAOTX	American Funds 2065	Pair Corr
0.86	TORTX	Tortoise Mlp Pipeline	Pair Corr
0.81	INFRX	Advisory Research Mlp	Pair Corr
0.8	FCCVX	Fidelity Vertible	Pair Corr
0.78	FDLSX	Leisure Portfolio Leisure	Pair Corr

Related Correlations Analysis

	SPRDX	SPRNX	FLRUX	FTQGX	JHEIX	VIGAX	MLUFX	AMEIX	ECDAX	KNPAX
SPRDX		1.0	0.12	-0.57	-0.57	-0.73	-0.52	-0.73	0.32	-0.87	SPRDX
SPRNX	1.0		0.12	-0.57	-0.57	-0.72	-0.51	-0.73	0.33	-0.87	SPRNX
FLRUX	0.12	0.12		0.25	0.27	0.37	0.34	0.36	0.07	0.07	FLRUX
FTQGX	-0.57	-0.57	0.25		0.81	0.83	0.81	0.89	0.12	0.79	FTQGX
JHEIX	-0.57	-0.57	0.27	0.81		0.66	0.83	0.78	0.05	0.85	JHEIX
VIGAX	-0.73	-0.72	0.37	0.83	0.66		0.58	0.98	0.04	0.8	VIGAX
MLUFX	-0.52	-0.51	0.34	0.81	0.83	0.58		0.67	-0.1	0.75	MLUFX
AMEIX	-0.73	-0.73	0.36	0.89	0.78	0.98	0.67		0.06	0.86	AMEIX
ECDAX	0.32	0.33	0.07	0.12	0.05	0.04	-0.1	0.06		-0.1	ECDAX
KNPAX	-0.87	-0.87	0.07	0.79	0.85	0.8	0.75	0.86	-0.1		KNPAX
	SPRDX	SPRNX	FLRUX	FTQGX	JHEIX	VIGAX	MLUFX	AMEIX	ECDAX	KNPAX

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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

SPRNX	+ 1.0	SPRDX
AMEIX	+ 0.98	VIGAX
AMEIX	+ 0.89	FTQGX
KNPAX	+ 0.86	AMEIX
KNPAX	+ 0.85	JHEIX
VIGAX	+ 0.83	FTQGX

High negative correlations

KNPAX	- 0.87	SPRNX
KNPAX	- 0.87	SPRDX
AMEIX	- 0.73	SPRNX
AMEIX	- 0.73	SPRDX
VIGAX	- 0.73	SPRDX
VIGAX	- 0.72	SPRNX

Risk-Adjusted Indicators

There is a big difference between Sprucegrove Mutual Fund performing well and Sprucegrove International 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 Sprucegrove International'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
SPRDX	0.60	(0.08)	0.00	(0.30)	0.00	0.00	1.31	(1.32)	3.42
SPRNX	0.60	(0.08)	0.00	(0.29)	0.00	0.00	1.32	(1.31)	3.41
FLRUX	0.23	(0.02)	(0.28)	0.01	0.25	(0.26)	0.47	(0.47)	1.23
FTQGX	0.84	(0.06)	(0.03)	0.03	1.86	(0.75)	1.49	(1.75)	5.27
JHEIX	0.46	(0.03)	(0.13)	0.04	0.40	(0.58)	0.95	(0.75)	3.07
VIGAX	0.64	0.12	0.10	0.25	0.64	(0.66)	1.64	(1.40)	5.18
MLUFX	0.68	(0.18)	0.00	(0.12)	0.00	0.00	1.10	(0.86)	3.18
AMEIX	0.50	0.07	0.07	0.18	0.46	(0.57)	1.10	(0.86)	3.88
ECDAX	0.16	0.02	(0.31)	(0.23)	0.00	(0.33)	0.54	(0.36)	0.91
KNPAX	1.86	0.48	0.16	0.51	2.42	(1.89)	3.90	(4.25)	19.40

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