International Equity Correlations

TFESX Fund

USD 11.60 0.10 0.85%

The current 90-days correlation between International Equity and Foreign Smaller Panies is 0.87 (i.e., Very poor 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

Very weak diversification

The correlation between International Equity Series and DJI is 0.52 (i.e., Very weak 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

0.71	TEBIX	Franklin Mutual Beacon	Pair Corr
0.81	TEDMX	Templeton Developing	Pair Corr
0.78	TEDIX	Franklin Mutual Global	Pair Corr
0.78	TEDSX	Franklin Mutual Global	Pair Corr
0.78	TEDRX	Franklin Mutual Global	Pair Corr
0.78	TEFRX	Templeton Foreign	Pair Corr
0.78	TEFTX	Templeton Foreign	Pair Corr
0.79	TEGBX	Templeton Global Bond	Pair Corr
0.78	TEMFX	Templeton Foreign	Pair Corr
0.86	TEMEX	Franklin Mutual Beacon	Pair Corr
0.94	TEMIX	Franklin Mutual European	Pair Corr
0.94	TEMQX	Mutual Quest	Pair Corr
0.89	TEQIX	Franklin Mutual Quest	Pair Corr
0.88	LGGAX	Clearbridge International	Pair Corr
0.95	TEURX	Franklin Mutual European	Pair Corr
0.92	LGIEX	Qs International Equity Potential Growth	Pair Corr
0.96	WAARX	Western Asset Total	Pair Corr

Moving against International Mutual Fund

0.36	TEMGX	Templeton Global Smaller	Pair Corr
0.37	SAGYX	Clearbridge Aggressive	Pair Corr
0.36	TESGX	Templeton Global Smaller	Pair Corr
0.43	SASMX	Clearbridge Small Cap	Pair Corr

Related Correlations Analysis

	TFSCX	TFEQX	RPBAX	FGTRX	TESRX
TFSCX		0.66	0.7	0.64	0.71	TFSCX
TFEQX	0.66		0.37	0.06	0.37	TFEQX
RPBAX	0.7	0.37		0.66	0.77	RPBAX
FGTRX	0.64	0.06	0.66		0.78	FGTRX
TESRX	0.71	0.37	0.77	0.78		TESRX
	TFSCX	TFEQX	RPBAX	FGTRX	TESRX

Click cells to compare fundamentals

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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	0.61	0.01	0.01	0.02	0.79	(0.60)	1.28	(1.28)	3.92
TFEQX	0.67	0.14	0.18	0.28	0.63	(0.72)	1.47	(1.31)	3.39
RPBAX	0.57	(0.07)	0.00	0.24	0.00	0.00	0.93	(1.07)	6.78
FGTRX	0.62	(0.02)	0.00	(0.04)	0.00	0.00	1.06	(1.23)	3.37
TESRX	0.60	0.03	0.05	(0.48)	0.71	(0.66)	1.15	(1.24)	3.16

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