International Equity Correlations

TFESX Fund

USD 11.50 0.02 0.17%

The current 90-days correlation between International Equity and Foreign Smaller Panies is 0.95 (i.e., Almost no diversification). The correlation of International 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. If the correlation is 0, the equities are not correlated; they are entirely random.

International Equity Correlation With Market

Modest diversification

The correlation between International Equity Series 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 International Equity Series 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 International Equity Series. 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 state.

Moving together with International Mutual Fund

0.92	TEBIX	Franklin Mutual Beacon	Pair Corr
0.98	TEDIX	Franklin Mutual Global	Pair Corr
0.98	TEDSX	Franklin Mutual Global	Pair Corr
0.98	TEDRX	Franklin Mutual Global	Pair Corr
0.84	TEGBX	Templeton Global Bond	Pair Corr
0.74	TEGRX	Templeton Growth	Pair Corr
0.83	TEMGX	Templeton Global Smaller	Pair Corr
0.92	TEMEX	Franklin Mutual Beacon	Pair Corr
0.93	TEMWX	Templeton World	Pair Corr
0.93	TEMTX	Franklin Mutual Shares	Pair Corr
0.8	FQCTX	Franklin Necticut Tax	Pair Corr
0.92	SAIFX	Clearbridge Large Cap	Pair Corr
0.79	SAGYX	Clearbridge Aggressive	Pair Corr
0.71	FQCHX	Franklin Templeton Smacs	Pair Corr
0.73	TEPLX	Templeton Growth	Pair Corr
0.93	TWDAX	Templeton World	Pair Corr
0.93	TESIX	Franklin Mutual Shares	Pair Corr
0.84	TESGX	Templeton Global Smaller	Pair Corr
0.94	TESRX	Franklin Mutual Shares	Pair Corr
0.7	LGIEX	Qs International Equity	Pair Corr
0.83	FQLAX	Franklin Louisiana Tax	Pair Corr
0.89	TEWTX	Templeton World	Pair Corr
0.79	SAPYX	Clearbridge Appreciation	Pair Corr
0.74	SASMX	Clearbridge Small Cap	Pair Corr
0.79	FQNCX	Franklin North Carolina	Pair Corr
0.82	FQMDX	Franklin Maryland Tax	Pair Corr

Moving against International Mutual Fund

0.72	WAADX	Western Asset Smash	Pair Corr
0.33	SBAYX	Western Asset Adjustable	Pair Corr

Related Correlations Analysis

	TFSCX	TFEQX	RPBAX	FGTRX	TESRX
TFSCX		0.96	0.9	0.53	0.93	TFSCX
TFEQX	0.96		0.91	0.6	0.94	TFEQX
RPBAX	0.9	0.91		0.74	0.93	RPBAX
FGTRX	0.53	0.6	0.74		0.55	FGTRX
TESRX	0.93	0.94	0.93	0.55		TESRX
	TFSCX	TFEQX	RPBAX	FGTRX	TESRX

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Risk-Adjusted Indicators

There is a big difference between International Mutual Fund performing well and International Equity 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 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
TFSCX	0.67	(0.12)	0.00	(0.33)	0.00	0.00	1.16	(1.28)	9.76
TFEQX	0.77	(0.07)	0.00	(0.20)	0.00	0.00	1.27	(1.32)	12.16
RPBAX	0.48	(0.04)	0.00	(0.13)	0.00	0.00	0.89	(0.84)	7.39
FGTRX	0.48	0.01	0.03	0.00	0.74	(0.45)	0.88	(1.16)	2.95
TESRX	0.59	(0.11)	0.00	(0.22)	0.00	0.00	1.03	(1.24)	6.77

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