International Equity Correlations

Mutual Funds . USA . 
Fund . International Equity Index
GIIYX Fund  USD 14.67  0.16  1.10%   
The current 90-days correlation between International Equity and Growth Allocation Fund is 0.89 (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

Poor diversification

The correlation between International Equity Index and DJI is 0.75 (i.e., Poor diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding International Equity Index and DJI in the same portfolio, assuming nothing else is changed.
  
Check out Risk vs Return Analysis to better understand how to build diversified portfolios, which includes a position in International Equity Index. 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 population.

Moving together with International Mutual Fund

  0.94GCOZX Growth AllocationPairCorr
  0.88GDMYX Defensive Market StrPairCorr
  0.89GDMZX Defensive Market StrPairCorr
  0.88GVEYX Value Equity InstituPairCorr
  0.88GVEZX Value Equity InvestorPairCorr
  0.84GVIYX Guidestone Value EquityPairCorr
  0.84GVIZX Guidestone Value EquityPairCorr
  0.85GEIYX Guidestone Growth EquityPairCorr
  0.85GEIZX Guidestone Growth EquityPairCorr
  0.86GEMYX Emerging Markets EquityPairCorr
  0.86GEMZX Emerging Markets EquityPairCorr
  0.87GEQYX Equity Index InstituPairCorr
  0.87GEQZX Equity Index InvestorPairCorr
  0.9GFIZX Conservative AllocationPairCorr
  0.93GGBZX Aggressive AllocationPairCorr
  0.66GGBEX Global Bond FundPairCorr
  0.78GGEYX Guidestone Fds GrowthPairCorr
  0.78GGEZX Growth Equity InvestorPairCorr
  0.93GGIZX Balanced AllocationPairCorr
  0.94GGRYX Growth AllocationPairCorr
  0.93GIEYX International EquityPairCorr
  0.93GIEZX International EquityPairCorr
  1.0GIIZX Guidestone Funds IntPairCorr
  0.66GLDYX Low Duration BondPairCorr
  0.66GLDZX Low Duration BondPairCorr
  0.73GMDYX Medium Duration BondPairCorr
  0.73GMDZX Medium Duration BondPairCorr
  0.94GMFZX Mydestination 2045PairCorr
  0.93GMHYX Mydestination 2035PairCorr
  0.93GMHZX Mydestination 2035PairCorr
  0.94GMGYX Mydestination 2055PairCorr
  0.94GMGZX Mydestination 2055PairCorr
  0.91GMTYX Mydestination 2015PairCorr
  0.91GMTZX Mydestination 2015PairCorr

Related Correlations Analysis


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 DeviationJensen AlphaSortino RatioTreynor RatioSemi DeviationExpected ShortfallPotential UpsideValue @RiskMaximum Drawdown
GCOZX  0.43  0.00 (0.02) 0.06  0.58 
(0.44)
 0.91 
(0.96)
 2.71 
GDMYX  0.34  0.01 (0.03) 0.08  0.48 
(0.33)
 0.72 
(0.57)
 2.36 
GDMZX  0.33  0.01 (0.03) 0.07  0.48 
(0.34)
 0.72 
(0.64)
 2.37 
GVEYX  0.49 (0.01)(0.03) 0.05  0.62 
(0.53)
 1.16 
(1.12)
 3.29 
GVEZX  0.50 (0.01)(0.03) 0.05  0.62 
(0.53)
 1.16 
(1.12)
 3.29 
GVIYX  0.49  0.00 (0.02) 0.06  0.58 
(0.55)
 1.04 
(1.01)
 3.38 
GVIZX  0.49 (0.01)(0.02) 0.06  0.58 
(0.55)
 1.12 
(1.01)
 3.38 
GEIYX  0.77  0.02  0.02  0.08  1.09 
(0.76)
 1.75 
(1.71)
 4.29 
GEIZX  0.77  0.02  0.02  0.08  1.09 
(0.76)
 1.70 
(1.71)
 4.29 
GEMYX  0.70  0.08  0.07  0.17  0.84 
(0.80)
 1.54 
(1.18)
 4.73 

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