European Equity Correlations

EEA Fund

USD 10.21 0.05 0.49%

The current 90-days correlation between European Equity Closed and New Germany Closed is 0.68 (i.e., Poor diversification). The correlation of European 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.

European Equity Correlation With Market

Weak diversification

The correlation between European Equity Closed and DJI is 0.37 (i.e., Weak diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding European Equity Closed and DJI in the same portfolio, assuming nothing else is changed.

Check out Investing Opportunities to better understand how to build diversified portfolios, which includes a position in European Equity Closed. Also, note that the market value of any fund could be closely tied with the direction of predictive economic indicators such as signals in income.

Moving together with European Fund

0.83	NEA	Nuveen Amt Free	Pair Corr
0.76	NVG	Nuveen Amt Free	Pair Corr
0.78	NAD	Nuveen Dividend Advantage	Pair Corr
0.94	EDD	Morgan Stanley Emerging	Pair Corr
0.92	PTY	Pimco Corporate Income	Pair Corr
0.81	NZF	Nuveen Municipal Credit	Pair Corr
0.96	LQFLX	Lord Abbett Focused	Pair Corr
0.96	JHJIX	John Hancock Esg	Pair Corr
0.87	AWSHX	Washington Mutual	Pair Corr
0.96	AIEVX	Invesco International	Pair Corr
0.97	ECAMX	Eaton Vance Multi	Pair Corr
0.9	STABX	Pioneer Short Term	Pair Corr
0.96	CBLCX	Columbia Balanced	Pair Corr
0.95	FIRQX	Fidelity Income Repl	Pair Corr
0.79	WAGXX	Wilmington Funds	Pair Corr
0.94	TEPSX	Technology Ultrasector	Pair Corr
0.98	SBIYX	Clearbridge International	Pair Corr
0.81	CCMAX	Columbia Large Cap	Pair Corr
0.96	FBANJX	Fbanjx	Pair Corr
0.96	ABHIX	High Yield Fund	Pair Corr
0.75	NHS	Neuberger Berman High	Pair Corr
0.96	MFECX	Mfs Growth Fund	Pair Corr
0.96	HERCX	Hartford Emerging Markets	Pair Corr
0.93	BMRRX	Blackrock Mid Cap	Pair Corr
0.94	AEF	Abrdn Emerging Markets	Pair Corr
0.97	PLTFX	Principal Lifetime Hybrid	Pair Corr
0.91	ODMCX	Jpmorgan Intrepid Mid	Pair Corr
0.94	REBYX	Us Small Cap	Pair Corr
0.98	VIESX	Virtus Emerging Markets	Pair Corr
0.61	PMUNX	Pimco Municipal Bond	Pair Corr
0.97	ERBIX	Eaton Vance Richard	Pair Corr
0.86	PKSCX	Virtus Kar Small	Pair Corr
0.94	NQVAX	Nuveen Nwq Multi	Pair Corr
0.97	JDHCX	Janus Henderson High	Pair Corr
0.97	TAIWX	Tiaa Cref International	Pair Corr
0.74	URIFX	Income Fund Income	Pair Corr
0.89	PQSAX	Virtus Kar Small	Pair Corr
0.89	RRGTX	Deutsche Global Real	Pair Corr
0.96	LFRIX	Floating Rate	Pair Corr

Moving against European Fund

0.87

RSMMX

Victory Rs Small

Pair Corr

Related Correlations Analysis

	GF	EIC	HYI	NNY	JEQ	SWZ	MXE	CEE
GF		-0.18	0.84	0.23	0.94	-0.26	0.95	0.69	GF
EIC	-0.18		0.06	0.4	-0.11	0.02	-0.07	0.17	EIC
HYI	0.84	0.06		0.19	0.83	-0.26	0.87	0.66	HYI
NNY	0.23	0.4	0.19		0.33	-0.13	0.17	0.56	NNY
JEQ	0.94	-0.11	0.83	0.33		-0.26	0.94	0.76	JEQ
SWZ	-0.26	0.02	-0.26	-0.13	-0.26		-0.29	-0.35	SWZ
MXE	0.95	-0.07	0.87	0.17	0.94	-0.29		0.71	MXE
CEE	0.69	0.17	0.66	0.56	0.76	-0.35	0.71		CEE
	GF	EIC	HYI	NNY	JEQ	SWZ	MXE	CEE

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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

MXE	+ 0.95	GF
JEQ	+ 0.94	GF
MXE	+ 0.94	JEQ
MXE	+ 0.87	HYI
HYI	+ 0.84	GF
JEQ	+ 0.83	HYI

High negative correlations

CEE	- 0.35	SWZ
MXE	- 0.29	SWZ
SWZ	- 0.26	JEQ
SWZ	- 0.26	HYI
SWZ	- 0.26	GF
EIC	- 0.18	GF

Risk-Adjusted Indicators

There is a big difference between European Fund performing well and European Equity 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 European 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
GF	0.85	0.29	0.20	1.22	0.53	(0.99)	2.06	(1.19)	4.49
EIC	0.93	(0.05)	(0.04)	0.05	2.42	(0.89)	2.30	(1.53)	14.77
HYI	0.34	0.04	(0.13)	0.34	0.32	(0.40)	1.11	(0.59)	2.88
NNY	0.32	0.01	(0.24)	0.27	0.37	(0.40)	0.63	(0.74)	2.34
JEQ	0.84	0.12	0.07	0.31	0.84	(0.96)	2.00	(1.42)	6.55
SWZ	1.15	(0.61)	0.00	(0.87)	0.00	0.00	1.12	(1.42)	31.77
MXE	0.79	0.25	0.19	1.27	0.37	(1.00)	2.15	(1.11)	4.50
CEE	1.16	0.20	0.08	0.54	1.39	(1.20)	2.98	(1.96)	9.61

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