Foreign Smaller Correlations

TFSCX Fund

USD 16.25 0.07 0.43%

The current 90-days correlation between Foreign Smaller Panies and Fidelity Advisor Diversified is 0.54 (i.e., Very weak diversification). The correlation of Foreign Smaller 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.

Foreign Smaller Correlation With Market

Weak diversification

The correlation between Foreign Smaller Panies and DJI is 0.32 (i.e., Weak diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Foreign Smaller Panies 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 Foreign Smaller Panies. 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 main economic indicators.

Moving together with Foreign Mutual Fund

0.65	TEDIX	Franklin Mutual Global	Pair Corr
0.65	TEDSX	Franklin Mutual Global	Pair Corr
0.66	TEDRX	Franklin Mutual Global	Pair Corr
0.83	TEMWX	Templeton World	Pair Corr
0.82	TEMTX	Franklin Mutual Shares	Pair Corr
0.81	SAIFX	Clearbridge Large Cap	Pair Corr
0.8	TWDAX	Templeton World	Pair Corr
0.81	TESIX	Franklin Mutual Shares	Pair Corr
0.81	TESRX	Franklin Mutual Shares	Pair Corr
0.83	TEWTX	Templeton World	Pair Corr

Moving against Foreign Mutual Fund

0.48

WAADX

Western Asset Smash

Pair Corr

Related Correlations Analysis

	FZABX	BMDIX	HISCX	FDVIX	TFEQX
FZABX		-0.5	-0.53	0.94	0.74	FZABX
BMDIX	-0.5		0.99	-0.54	-0.51	BMDIX
HISCX	-0.53	0.99		-0.57	-0.54	HISCX
FDVIX	0.94	-0.54	-0.57		0.76	FDVIX
TFEQX	0.74	-0.51	-0.54	0.76		TFEQX
	FZABX	BMDIX	HISCX	FDVIX	TFEQX

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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

HISCX	+ 0.99	BMDIX
FDVIX	+ 0.94	FZABX
TFEQX	+ 0.76	FDVIX
TFEQX	+ 0.74	FZABX

High negative correlations

FDVIX	- 0.57	HISCX
TFEQX	- 0.54	HISCX
FDVIX	- 0.54	BMDIX
HISCX	- 0.53	FZABX
TFEQX	- 0.51	BMDIX
BMDIX	- 0.5	FZABX

Risk-Adjusted Indicators

There is a big difference between Foreign Mutual Fund performing well and Foreign Smaller 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 Foreign Smaller'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
FZABX	0.74	0.09	0.10	0.11	1.00	(0.72)	1.45	(1.37)	6.16
BMDIX	0.88	(0.15)	0.00	(0.19)	0.00	0.00	1.59	(2.06)	4.92
HISCX	1.13	(0.17)	0.00	(0.19)	0.00	0.00	1.78	(3.11)	5.61
FDVIX	0.74	0.06	0.09	(0.29)	0.99	(0.73)	1.40	(1.40)	6.14
TFEQX	0.87	(0.04)	0.00	(0.12)	0.00	0.00	1.47	(1.42)	11.14

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